Grasl, Tobias (2013) Solving incomplete markets models by derivative aggregation. Working Paper. Birkbeck College, University of London, London, UK.
|
Text
6531.pdf - Published Version of Record Download (293kB) | Preview |
Abstract
This article presents a novel computational approach to solving models with both uninsurable idiosyncratic and aggregate risk that uses projection methods, simulation and perturbation. The approach is shown to be both as efficient and as accurate as existing methods on a model based on Krusell and Smith (1998), for which prior solutions exist. The approach has the advantage of extending straightforwardly, and with reasonable computational cost, to models with a greater range of diversity between agents, which is demonstrated by solving both a model with heterogeneity in discount-rates and a lifecycle model with incomplete markets.
Metadata
| Item Type: | Monograph (Working Paper) |
|---|---|
| Keyword(s) / Subject(s): | Idiosyncratic Risk, Business Cycles, Numerical Methods |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Administrator |
| Date Deposited: | 30 Apr 2013 11:07 |
| Last Modified: | 02 Aug 2023 17:03 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/6531 |
Statistics
Additional statistics are available via IRStats2.
Archive Staff Only (login required)
