Solving the incomplete markets model with aggregate uncertainty using the Krusell-Smith algorithm

DOI10.1016/j.jedc.2009.03.009zbMath1179.91009OpenAlexW1985582088MaRDI QIDQ1046042

Fernando Valli, Serguei Maliar, Lilia Maliar

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.2009.03.009

zbMATH Keywords

heterogeneous agentssimulationsnumerical solutionsdynamic stochastic modelsaggregate uncertaintyEuler-equation methods

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 (3)

Solving the multi-country real business cycle model using a monomial rule Galerkin method ⋮ Adaptive learning and distributional dynamics in an incomplete markets model ⋮ Comparison of solutions to the incomplete markets model with aggregate uncertainty

Cites Work

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• Comparison of solutions to the incomplete markets model with aggregate uncertainty
• Solving the incomplete markets model with aggregate uncertainty using explicit aggregation
• Assessing the accuracy of the aggregate law of motion in models with heterogeneous agents
• Algorithms for solving dynamic models with occasionally binding constraints
• SOLVING DYNAMIC MODELS WITH AGGREGATE SHOCKS AND HETEROGENEOUS AGENTS

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