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SUMMARY:Computing the Cross-Sectional Distribution to Approximate Stationa
 ry Markov Equilibria with Heterogeneous Agents and Incomplete Markets
DTSTART:20150505T120000
DTEND:20150505T130000
DTSTAMP:20260406T214403Z
UID:2a1a8d8eb5ee2009d1dc1d7931e1e3522d427f75263a8ed6d84827e3
CATEGORIES:Conferences - Seminars
DESCRIPTION:Elisabeth PROHL (PhD Candidate\, University of Geneva and Swis
 s Finance Institute)\nDynamic stochastic general equilibrium models with h
 eterogeneous agents and incomplete markets usually have to be solved numer
 ically. Existing algorithms approximate the law of motion of aggregate var
 iables parametrically using a limited number of moments of the cross-secti
 onal distribution. None of these algorithms takes full advantage of the st
 ationary state distribution of such equilibria. In this paper\, a computab
 le expression for the exact law of motion is introduced which lead to the 
 stationary state distribution of the Markov equilibrium. The algorithm whi
 ch is a hybrid of projection and perturbation methods is shown to converge
 . Using the introduced methodology\, the well-known approximation and conv
 ergence issues of some existing algorithms\, most prominently the Krusell-
 Smith algorithm\, are rationalized. It is shown why these algorithms do no
 t converge under certain circumstances.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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