Solving the incomplete markets model with aggregate uncertainty using explicit aggregation

DOI10.1016/j.jedc.2008.12.008zbMath1179.91014OpenAlexW3121620056MaRDI QIDQ1046047

Pontus Rendahl, Wouter J. Den Haan

Publication date: 21 December 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2008.12.008

zbMATH Keywords

projection methodsnumerical solutions

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Dynamic stochastic general equilibrium theory (91B51) Heterogeneous agent models (91B69)

Related Items

Solving the multi-country real business cycle model using a monomial rule Galerkin method ⋮ Applying the explicit aggregation algorithm to heterogeneous agent models in continuous time ⋮ Adaptive learning and distributional dynamics in an incomplete markets model ⋮ Comparison of solutions to the incomplete markets model with aggregate uncertainty ⋮ Solving the incomplete markets model with aggregate uncertainty using the Krusell-Smith algorithm ⋮ Solving the incomplete markets model with aggregate uncertainty using parameterized cross-sectional distributions ⋮ Assessing the accuracy of the aggregate law of motion in models with heterogeneous agents

Cites Work

• Solving heterogeneous-agent models with parameterized cross-sectional distributions
• Computational suite of models with heterogeneous agents: incomplete markets and aggregate uncertainty
• Solving the incomplete markets model with aggregate uncertainty by backward induction
• Solving the incomplete markets model with aggregate uncertainty using parameterized cross-sectional distributions
• Assessing the accuracy of the aggregate law of motion in models with heterogeneous agents
• The method of endogenous gridpoints for solving dynamic stochastic optimization problems