PROBLEMS IN THE NUMERICAL SIMULATION OF MODELS WITH HETEROGENEOUS AGENTS AND ECONOMIC DISTORTIONS

• 成果类型: Article; Proceedings Paper
• 署名作者: Peralta-Alva, Adrian; Santos, Manuel S.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - St. Louis; University of Miami
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1111/j.1542-4774.2010.tb00531.x
• 发表日期: 2010
• 页码: 617-625
• 关键词: stationary markov equilibria; rational-expectations; incomplete markets

摘要

Our work has been concerned with the numerical simulation of dynamic economies with heterogeneous agents and economic distortions. Recent research has drawn attention to inherent difficulties in the computation of competitive equilibria for these economies: A continuous Markovian solution may fail to exist, and some commonly used numerical algorithms may not deliver accurate approximations. We consider a reliable algorithm set forth in Feng et al. ( 2009), and discuss problems related to the existence and computation of Markovian equilibria, as well as convergence and accuracy properties. We offer new insights into numerical simulation. (JEL: C6, D5, E2)