Solving the incomplete market model with aggregate uncertainty using a perturbation method

DOI10.1016/j.jedc.2008.11.011zbMath1179.91008OpenAlexW1966008169MaRDI QIDQ1046044

Sunghyun Henry Kim, Jinill Kim, Robert Kollmann

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.2008.11.011

zbMATH Keywords

barrier methodheterogeneous agentsoccasionally binding inequality constraints

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 an incomplete markets model with a large cross-section of agents ⋮ Solving the multi-country real business cycle model using a perturbation method ⋮ Leaning against boom-bust cycles in credit and housing prices ⋮ Adaptive learning and distributional dynamics in an incomplete markets model ⋮ Comparison of solutions to the incomplete markets model with aggregate uncertainty

Uses Software

• Gensys

Cites Work

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• Computational suite of models with heterogeneous agents: incomplete markets and aggregate uncertainty
• Comparison of solutions to the incomplete markets model with aggregate uncertainty
• Solving linear rational expectations models
• Solving heterogeneous-agent models by projection and perturbation
• Calculating and using second-order accurate solutions of discrete time dynamic equilibrium models
• SOLVING DYNAMIC MODELS WITH AGGREGATE SHOCKS AND HETEROGENEOUS AGENTS