کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5098999 1376976 2010 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Solving the incomplete markets model with aggregate uncertainty by backward induction
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
Solving the incomplete markets model with aggregate uncertainty by backward induction
چکیده انگلیسی
This paper describes a method to solve models with a continuum of agents, incomplete markets and aggregate uncertainty. I use backward induction on a finite grid of points in the aggregate state space. The aggregate state includes a small number of statistics (moments) of the cross-sectional distribution of capital. For any given set of moments, agents use a specific cross-sectional distribution, called “proxy distribution”, to compute the equilibrium. Information from the steady state distribution as well as from simulations can be used to chose a suitable proxy distribution.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 34, Issue 1, January 2010, Pages 28-35
نویسندگان
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