Solving the incomplete markets model with aggregate uncertainty using the Krusell–Smith algorithm and non-stochastic simulations |
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Authors: | Eric R Young |
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Institution: | aDepartment of Economics, University of Virginia, PO Box 400182, Charlottesville, VA 22904, USA |
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Abstract: | This article describes the approach to computing the version of the stochastic growth model with idiosyncratic and aggregate risk that relies on collapsing the aggregate state space down to a small number of moments used to forecast future prices. One innovation relative to most of the literature is the use of a non-stochastic simulation routine. |
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Keywords: | Idiosyncratic risk Business cycles Numerical methods |
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