Solving the incomplete markets model with aggregate uncertainty using parameterized cross-sectional distributions

Journal of Economic Dynamics and Control

Volumn 34, Issue 1, 2010, Pages 59-68

  Algan, Yann ^a   Allais, Olivier ^b   Den Haan, Wouter J ^c  

^a OFCE   (France)

^b INRA ALISS   (France)

^c UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

Numerical solutions; Projection methods; Simulations

Indexed keywords

EID: 70350335379     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2009.03.010     Document Type: Article

References (12)

1. Algan Y., Allais O., and Den Haan W.J. Solving heterogeneous agent models with parameterized cross-sectional distributions. Journal of Economic Dynamics and Control 32 (2008) 875-908
2. Christiano L.J., and Fischer J.D. Algorithms for solving dynamic models with occasionally binding constraints. Journal of Economic Dynamics and Control 24 (2000) 1179-1232
3. Den Haan W.J. Solving dynamic models with aggregate shocks and heterogeneous agents. Macroeconomic Dynamics 1 (1997) 355-386
4. Den Haan, W.J., 2009. Comparison of solutions to the incomplete markets model with aggregate uncertainty. Journal of Economic Dynamics and Control, doi:10.1016/j.edc.2008.12.010.
5. Den Haan, W.J., Judd, K.L., Juillard, M., 2009. Computational suite of models with heterogenous agents: incomplete markets and aggregate uncertainty. Journal of Economic Dynamics and Control, doi:10.1016/j.edc.2009.07.010.
6. Den Haan, W.J., Rendahl, P., 2009. Solving the incomplete markets model with aggregate uncertainty using explicit aggregation. Journal of Economic Dynamics and Control, doi:10.1016/j.edc.2008.12.008.
7. Heathcote J. Fiscal policy with heterogeneous agents and incomplete markets. Review of Economic Studies 72 (2005) 161-188
8. Judd K.L. Numerical Methods in Economics (1998), MIT Press, Cambridge, MA
9. Krusell P., and Smith A. Income and wealth heterogeneity in the macroeconomy. Journal of Political Economy (1998) 868-896
10. Reiter, M., 2009. Solving the incomplete markets model with aggregate uncertainty by backward induction. Journal of Economic Dynamics and Control, doi:10.1016/j.edc.2008.11.009.
11. Ríos-Rull J.V. Computation of equilibria in heterogeneous agent models. Federal Reserve Bank of Minneapolis Staff Report 231 (1997) 238-264
12. Young, E., 2009. Solving the incomplete markets model with aggregate uncertainty using the Krusell-Smith algorithm and non-stochastic simulations. Journal of Economic Dynamics and Control, doi:10.1016/j.edc.2008.11.010.