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Creator: Geweke, John. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 526 Keyword: Simulation, Monte Carlo, and Econometrics Subject (JEL): C15  Econometric and statistical methods : General  Simulation methods and C63  Mathematical methods and programming  Computational techniques ; Simulation modeling 




Creator: Den Haan, Wouter J., 1962 Series: Macroeconomics with heterogenous agents, incomplete markets, liquidity constraints, and transaction costs Abstract: This paper is part of a project to model the interaction between heterogeneous agents in intertemporal stochastic models and to develop numerical algorithms to solve these kind of models. It is wellknown that solving dynamic heterogeneous agent models is a challenging problem, since in these models the distribution of wealth and other characteristics evolve endogenously over time. Existing dynamic models in the literature contain therefore just two agents or other simplifying assumptions to limit the heterogeneity.
Subject (JEL): D52  General equilibrium and disequilibrium  Incomplete markets and C63  Mathematical methods and programming  Computational techniques ; Simulation modeling 


Creator: Baxter, Marianne, 1956 Series: Nonlinear rational expectations modeling group Abstract: This paper develops a new method for approximating dynamic competitive equilibria in economies in which competitive equilibrium is not necessarily Pareto optimal. The method involves finding approximate equilibrium policy functions by iterating on the stochastic Euler equations which characterize the economy's equilibrium. Two applications are presented: the stochastic growth model of Brock and Mirman (1971) modified to allow distortionary taxation, and a model of inflation and capital accumulation based on Stockman (1981). The computational speed and accuracy of this approach suggests that it may be a feasible method for studying suboptimal economies with large state spaces.
Subject (JEL): C61  Mathematical methods and programming  Optimization techniques ; Programming models ; Dynamic analysis, E51  Monetary policy, central banking, and the supply of money and credit  Money supply ; Credit ; Money multipliers, and C63  Mathematical methods and programming  Computational techniques ; Simulation modeling