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on Dynamic General Equilibrium |
| By: | Lilia Maliar (Universidad de Alicante); Serguei Maliar (Universidad de Alicante) |
| Abstract: | This paper presents an algorithm for solving nonlinear dynamic stochastic models that computes value function by simulations. We argue that the proposed algorithm can be a useful alternative to the existing methods in some applications. |
| Keywords: | Nonlinear stochastic models; Value function; Parameterized expectations; Monte Carlo simulations; Numerical solutions |
| JEL: | C6 C63 C68 |
| Date: | 2004–10 |
| URL: | http://d.repec.org/n?u=RePEc:ivi:wpasad:2004-37&r=dge |
| By: | Lilia Maliar (Universidad de Alicante); Serguei Maliar (Universidad de Alicante) |
| Abstract: | Euler-equation methods for solving nonlinear dynamic models involve parameterizing some policy functions. We argue that in the typical macroeconomic model with valuable leisure, labor function is particularly convenient for parameterizing. This is because under the labor-function parameterization, the intratemporal first-order condition admits a closed-form solution, while under other parameterizations, there should be a numerical solution. In the context of a simulation-based parameterized expectations algorithm, we find that using the labor-function parameterization instead of the standard consumption-function parameterization reduces computational time by more than a factor of ten. |
| Keywords: | Nonlinear models, Parameterized expectations, PEA, Monte Carlo simulation, Numerical solution |
| JEL: | C6 C63 C68 |
| Date: | 2004–10 |
| URL: | http://d.repec.org/n?u=RePEc:ivi:wpasad:2004-40&r=dge |
| By: | Jana Hromcová (Universitat de Girona) |
| Abstract: | A stochastic growth model with money introduced via a cash-in-advance constraint is used to analyze the behaviour of the income velocity of real monetary balances. Agents can purchase consumption goods only using government issued money and capital is a credit good. The cash-in-advance constraint may become nonbinding because of the uncertainty about the realization of the state of the economy. Changes in the income velocity of money due to a precautionary money demand are studied. We find that despite the precautionary money demand does not introduce significant changes into the volatility of the income velocity, its presence can alter the relationship between the growth rate of money supply and the income velocity. |
| Keywords: | Cash-in-advance; Income velocity; Precautionary money demand. |
| JEL: | E40 |
| Date: | 2004–05 |
| URL: | http://d.repec.org/n?u=RePEc:ivi:wpasad:2004-21&r=dge |
| By: | Lilia Maliar (Universidad de Alicante); Dmytro Kylymnyuk (Universidad de Alicante); Serguei Maliar (Universidad de Alicante) |
| Abstract: | This paper presents a two-sector growth model of international trade that can account for the key features of the postwar world development experience. Two sectors represent the traditional primitive production and the modern sophisticated production. Due to increasing returns in the modern sector, the open-economy version of our model gives rise to three different equilibria: one in which the country produces only primitive goods and converges to a low-income steady state; another in which it produces both primitive and sophisticated goods and converges to the world-average steady state; and a third in which it specializes in the production of sophisticated goods and converges to a balanced growth path. We argue that the development experiences of poor, rich and growth-miracle countries are well described by these three equilibria. |
| Keywords: | International trade, small-open economy, multiple equilibria, poverty trap, growth miracles, coordination proble |
| JEL: | C00 F12 O14 O30 O41 |
| Date: | 2004–10 |
| URL: | http://d.repec.org/n?u=RePEc:ivi:wpasad:2004-39&r=dge |
| By: | Jorge Durán (Universidad de Alicante); Charles Figuieres (INRA); Alexandra Rillaers (Universidad de Alicante) |
| Abstract: | We explore an economy with two regions and independent local administrations. Local governments collect taxes to finance public education, but once educated agents can choose to migrate to the other region. The Nash equilibrium of the long-run game between the two governments is compared to a golden rule-type social optimum. Preliminary results show that the Nash equilibrium will result in over- or under-investment depending on the extent to which public education is subject to congestion. |
| Keywords: | Successive generations, Public education, Federal and local government, Fiscal games. |
| JEL: | E13 O41 I29 |
| Date: | 2004–11 |
| URL: | http://d.repec.org/n?u=RePEc:ivi:wpasad:2004-43&r=dge |