NUMERICAL SIMULATION OF NONOPTIMAL DYNAMIC EQUILIBRIUM MODELS

• 成果类型: Article
• 署名作者: Feng, Zhigang; Miao, Jianjun; Peralta-Alva, Adrian; Santos, Manuel S.
• 署名单位: Purdue University System; Purdue University; Boston University; Zhejiang University; Central University of Finance & Economics; Federal Reserve System - USA; Federal Reserve Bank - St. Louis; University of Miami
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12042
• 发表日期: 2014
• 页码: 83-110
• 关键词: stationary markov equilibria; Overlapping-generations; life-cycle; incomplete markets; business cycles; economies; tax; consumption; taxation

摘要

In this article, we propose a recursive equilibrium algorithm for the numerical simulation of nonoptimal dynamic economies. This algorithm builds upon a convergent operator over an expanded set of state variables. The fixed point of this operator defines the set of all Markovian equilibria. We study approximation properties of the operator. We also apply our recursive equilibrium algorithm to various models with heterogeneous agents, incomplete financial markets, endogenous and exogenous borrowing constraints, taxes, and money.