Article
Numerical Simulation of Nonoptimal Dynamic Equilibrium Models
International Economic Review
Document Type
Article
Publication Date
1-1-2014
Disciplines
Abstract
In this paper 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.
Citation Information
Zhigang Feng, Jianjun Miao, Adrian Peralta-Alva and Manuel S. Santos. "Numerical Simulation of Nonoptimal Dynamic Equilibrium Models" International Economic Review Vol. 55 Iss. 1 (2014) p. 83 - 110 Available at: http://works.bepress.com/zhigang-feng/1/
This is the peer reviewed version of the following article: Feng, Z., Miao, J., Peralta‐Alva, A., & Santos, M. S. (2014). Numerical simulation of nonoptimal dynamic equilibrium models. International Economic Review, 55(1), 83-110., which has been published in final form at http://onlinelibrary.wiley.com/wol1/doi/10.1111/iere.12042/abstract. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.