Computing Economic Equilibria Using Projection Methods

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Dynamic General Equilibrium Modeling

Author : Burkhard Heer
Publisher : Springer Science & Business Media
ISBN 13 : 364203148X
Total Pages : 720 pages
Book Rating : 4.6/5 (42 download)

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Book Synopsis Dynamic General Equilibrium Modeling by : Burkhard Heer

Download or read book Dynamic General Equilibrium Modeling written by Burkhard Heer and published by Springer Science & Business Media. This book was released on 2009-08-12 with total page 720 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern business cycle theory and growth theory uses stochastic dynamic general equilibrium models. In order to solve these models, economists need to use many mathematical tools. This book presents various methods in order to compute the dynamics of general equilibrium models. In part I, the representative-agent stochastic growth model is solved with the help of value function iteration, linear and linear quadratic approximation methods, parameterised expectations and projection methods. In order to apply these methods, fundamentals from numerical analysis are reviewed in detail. In particular, the book discusses issues that are often neglected in existing work on computational methods, e.g. how to find a good initial value. In part II, the authors discuss methods in order to solve heterogeneous-agent economies. In such economies, the distribution of the individual state variables is endogenous. This part of the book also serves as an introduction to the modern theory of distribution economics. Applications include the dynamics of the income distribution over the business cycle or the overlapping-generations model. In an accompanying home page to this book, computer codes to all applications can be downloaded.

Numerical Methods in Economics

Author : Kenneth L. Judd
Publisher : MIT Press
ISBN 13 : 0262547740
Total Pages : 657 pages
Book Rating : 4.2/5 (625 download)

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Book Synopsis Numerical Methods in Economics by : Kenneth L. Judd

Download or read book Numerical Methods in Economics written by Kenneth L. Judd and published by MIT Press. This book was released on 2023-04-04 with total page 657 pages. Available in PDF, EPUB and Kindle. Book excerpt: To harness the full power of computer technology, economists need to use a broad range of mathematical techniques. In this book, Kenneth Judd presents techniques from the numerical analysis and applied mathematics literatures and shows how to use them in economic analyses. The book is divided into five parts. Part I provides a general introduction. Part II presents basics from numerical analysis on R^n, including linear equations, iterative methods, optimization, nonlinear equations, approximation methods, numerical integration and differentiation, and Monte Carlo methods. Part III covers methods for dynamic problems, including finite difference methods, projection methods, and numerical dynamic programming. Part IV covers perturbation and asymptotic solution methods. Finally, Part V covers applications to dynamic equilibrium analysis, including solution methods for perfect foresight models and rational expectation models. A website contains supplementary material including programs and answers to exercises.

Computational Economic Systems

Author : Manfred Gilli
Publisher : Springer Science & Business Media
ISBN 13 : 9401587434
Total Pages : 284 pages
Book Rating : 4.4/5 (15 download)

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Book Synopsis Computational Economic Systems by : Manfred Gilli

Download or read book Computational Economic Systems written by Manfred Gilli and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: The approach to many problems in economic analysis has changed drastically with the development and dissemination of new and more efficient computational techniques. Computational Economic Systems: Models, Methods & Econometrics presents a selection of papers illustrating the use of new computational methods and computing techniques to solve economic problems. Part I of the volume consists of papers which focus on modelling economic systems, presenting computational methods to investigate the evolution of behavior of economic agents, techniques to solve complex inventory models on a parallel computer and an original approach for the construction and solution of multicriteria models involving logical conditions. Contributions to Part II concern new computational approaches to economic problems. We find an application of wavelets to outlier detection. New estimation algorithms are presented, one concerning seemingly related regression models, a second one on nonlinear rational expectation models and a third one dealing with switching GARCH estimation. Three contributions contain original approaches for the solution of nonlinear rational expectation models.

Computational Methods in Decision-Making, Economics and Finance

Author : Erricos John Kontoghiorghes
Publisher : Springer Science & Business Media
ISBN 13 : 1475736134
Total Pages : 626 pages
Book Rating : 4.4/5 (757 download)

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Book Synopsis Computational Methods in Decision-Making, Economics and Finance by : Erricos John Kontoghiorghes

Download or read book Computational Methods in Decision-Making, Economics and Finance written by Erricos John Kontoghiorghes and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 626 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computing has become essential for the modeling, analysis, and optimization of systems. This book is devoted to algorithms, computational analysis, and decision models. The chapters are organized in two parts: optimization models of decisions and models of pricing and equilibria.

Monetary Policy, Inflation, and the Business Cycle

Author : Jordi Galí
Publisher : Princeton University Press
ISBN 13 : 1400866278
Total Pages : 295 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Monetary Policy, Inflation, and the Business Cycle by : Jordi Galí

Download or read book Monetary Policy, Inflation, and the Business Cycle written by Jordi Galí and published by Princeton University Press. This book was released on 2015-06-09 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: The classic introduction to the New Keynesian economic model This revised second edition of Monetary Policy, Inflation, and the Business Cycle provides a rigorous graduate-level introduction to the New Keynesian framework and its applications to monetary policy. The New Keynesian framework is the workhorse for the analysis of monetary policy and its implications for inflation, economic fluctuations, and welfare. A backbone of the new generation of medium-scale models under development at major central banks and international policy institutions, the framework provides the theoretical underpinnings for the price stability–oriented strategies adopted by most central banks in the industrialized world. Using a canonical version of the New Keynesian model as a reference, Jordi Galí explores various issues pertaining to monetary policy's design, including optimal monetary policy and the desirability of simple policy rules. He analyzes several extensions of the baseline model, allowing for cost-push shocks, nominal wage rigidities, and open economy factors. In each case, the effects on monetary policy are addressed, with emphasis on the desirability of inflation-targeting policies. New material includes the zero lower bound on nominal interest rates and an analysis of unemployment’s significance for monetary policy. The most up-to-date introduction to the New Keynesian framework available A single benchmark model used throughout New materials and exercises included An ideal resource for graduate students, researchers, and market analysts

Handbook of Computational Economics

Author : Karl Schmedders
Publisher : Newnes
ISBN 13 : 0080931782
Total Pages : 680 pages
Book Rating : 4.0/5 (89 download)

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Book Synopsis Handbook of Computational Economics by : Karl Schmedders

Download or read book Handbook of Computational Economics written by Karl Schmedders and published by Newnes. This book was released on 2013-12-31 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Computational Economics summarizes recent advances in economic thought, revealing some of the potential offered by modern computational methods. With computational power increasing in hardware and algorithms, many economists are closing the gap between economic practice and the frontiers of computational mathematics. In their efforts to accelerate the incorporation of computational power into mainstream research, contributors to this volume update the improvements in algorithms that have sharpened econometric tools, solution methods for dynamic optimization and equilibrium models, and applications to public finance, macroeconomics, and auctions. They also cover the switch to massive parallelism in the creation of more powerful computers, with advances in the development of high-power and high-throughput computing. Much more can be done to expand the value of computational modeling in economics. In conjunction with volume one (1996) and volume two (2006), this volume offers a remarkable picture of the recent development of economics as a science as well as an exciting preview of its future potential. - Samples different styles and approaches, reflecting the breadth of computational economics as practiced today - Focuses on problems with few well-developed solutions in the literature of other disciplines - Emphasizes the potential for increasing the value of computational modeling in economics

The Oxford Handbook of Computational Economics and Finance

Author : Shu-Heng Chen
Publisher : Oxford University Press
ISBN 13 : 0199844380
Total Pages : 785 pages
Book Rating : 4.1/5 (998 download)

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Book Synopsis The Oxford Handbook of Computational Economics and Finance by : Shu-Heng Chen

Download or read book The Oxford Handbook of Computational Economics and Finance written by Shu-Heng Chen and published by Oxford University Press. This book was released on 2018-01-12 with total page 785 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Oxford Handbook of Computational Economics and Finance provides a survey of both the foundations of and recent advances in the frontiers of analysis and action. It is both historically and interdisciplinarily rich and also tightly connected to the rise of digital society. It begins with the conventional view of computational economics, including recent algorithmic development in computing rational expectations, volatility, and general equilibrium. It then moves from traditional computing in economics and finance to recent developments in natural computing, including applications of nature-inspired intelligence, genetic programming, swarm intelligence, and fuzzy logic. Also examined are recent developments of network and agent-based computing in economics. How these approaches are applied is examined in chapters on such subjects as trading robots and automated markets. The last part deals with the epistemology of simulation in its trinity form with the integration of simulation, computation, and dynamics. Distinctive is the focus on natural computationalism and the examination of the implications of intelligent machines for the future of computational economics and finance. Not merely individual robots, but whole integrated systems are extending their "immigration" to the world of Homo sapiens, or symbiogenesis.

Computational Techniques for Econometrics and Economic Analysis

Author : D.A. Belsley
Publisher : Springer Science & Business Media
ISBN 13 : 9780792323563
Total Pages : 258 pages
Book Rating : 4.3/5 (235 download)

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Book Synopsis Computational Techniques for Econometrics and Economic Analysis by : D.A. Belsley

Download or read book Computational Techniques for Econometrics and Economic Analysis written by D.A. Belsley and published by Springer Science & Business Media. This book was released on 1994 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is unlikely that any frontier of economics/econometrics is being pushed faster, further than that of computational techniques. The computer has become a tool for performing as well as an environment in which to perform economics and econometrics, taking over where theory bogs down, allowing at least approximate answers to questions that defy closed mathematical or analytical solutions. Tasks may now be attempted that were hitherto beyond human potential, and all the forces available can now be marshalled efficiently, leading to the achievement of desired goals. Computational Techniques for Econometrics and Economic Analysis is a collection of recent studies which exemplify all these elements, demonstrating the power that the computer brings to the economic analysts. The book is divided into four parts: 1 -- the computer and econometric methods; 2 -- the computer and economic analysis; 3 -- computational techniques for econometrics; and 4 -- the computer and econometric studies.

Frontiers in Applied General Equilibrium Modeling

Author : Timothy J. Kehoe
Publisher : Cambridge University Press
ISBN 13 : 1139443720
Total Pages : 452 pages
Book Rating : 4.1/5 (394 download)

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Book Synopsis Frontiers in Applied General Equilibrium Modeling by : Timothy J. Kehoe

Download or read book Frontiers in Applied General Equilibrium Modeling written by Timothy J. Kehoe and published by Cambridge University Press. This book was released on 2005-01-17 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 2005 volume brings together twelve papers by many of the most prominent applied general equilibrium modelers honoring Herbert Scarf, the father of equilibrium computation in economics. It deals with developments in applied general equilibrium, a field which has broadened greatly since the 1980s. The contributors discuss some traditional as well as some modern topics in the field, including non-convexities in economy-wide models, tax policy, developmental modeling and energy modeling. The book also covers a range of distinct approaches, conceptual issues and computational algorithms, such as calibration and areas of application such as macroeconomics of real business cycles and finance. An introductory chapter written by the editors maps out issues and scenarios for the future evolution of applied general equilibrium.

Computational Aspects of General Equilibrium Theory

Author : Donald Brown
Publisher : Springer Science & Business Media
ISBN 13 : 3540765913
Total Pages : 204 pages
Book Rating : 4.5/5 (47 download)

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Book Synopsis Computational Aspects of General Equilibrium Theory by : Donald Brown

Download or read book Computational Aspects of General Equilibrium Theory written by Donald Brown and published by Springer Science & Business Media. This book was released on 2008-01-08 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph presents a general equilibrium methodology for microeconomic policy analysis. It is intended to serve as an alternative to the now classical, axiomatic general equilibrium theory as exposited in Debreu`s Theory of Value (1959) or Arrow and Hahn`s General Competitive Analysis (1971). The monograph consists of several essays written over the last decade. It also contains an appendix by Charles Steinhorn on the elements of O-minimal structures.

Economic Dynamics in Discrete Time, second edition

Author : Jianjun Miao
Publisher : MIT Press
ISBN 13 : 026235733X
Total Pages : 849 pages
Book Rating : 4.2/5 (623 download)

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Book Synopsis Economic Dynamics in Discrete Time, second edition by : Jianjun Miao

Download or read book Economic Dynamics in Discrete Time, second edition written by Jianjun Miao and published by MIT Press. This book was released on 2020-03-03 with total page 849 pages. Available in PDF, EPUB and Kindle. Book excerpt: A unified and comprehensive introduction to the analytical and numerical tools for solving dynamic economic problems; substantially revised for the second edition. This book offers a unified, comprehensive, and up-to-date treatment of analytical and numerical tools for solving dynamic economic problems. The focus is on introducing recursive methods—an important part of every economist's set of tools—and readers will learn to apply recursive methods to a variety of dynamic economic problems. The book is notable for its combination of theoretical foundations and numerical methods. Each topic is first described in theoretical terms, with explicit definitions and rigorous proofs; numerical methods and computer codes to implement these methods follow. Drawing on the latest research, the book covers such cutting-edge topics as asset price bubbles, recursive utility, robust control, policy analysis in dynamic New Keynesian models with the zero lower bound on interest rates, and Bayesian estimation of dynamic stochastic general equilibrium (DSGE) models. This second edition has been substantially updated. Responding to renewed interest in modeling with multiple equilibria, it incorporates new material on this topic throughout. It offers an entirely new chapter on deterministic nonlinear systems, and provides new material on such topics as linear planar systems, chaos, bifurcations, indeterminacy and sunspot solutions, pruning nonlinear solutions, the bandit problem, rational inattention models, bequests, self-fulfilling prophecies, the cyclical behavior of unemployment and vacancies, and the long-run risk model. The exposition of each chapter has been revised and improved, and many new figures, Matlab codes, and exercises have been added. A student solutions manual can be purchased separately.

Advances in Economics and Econometrics: Volume 2

Author : Bo Honoré
Publisher : Cambridge University Press
ISBN 13 : 1108243975
Total Pages : 381 pages
Book Rating : 4.1/5 (82 download)

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Book Synopsis Advances in Economics and Econometrics: Volume 2 by : Bo Honoré

Download or read book Advances in Economics and Econometrics: Volume 2 written by Bo Honoré and published by Cambridge University Press. This book was released on 2017-11-02 with total page 381 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the second of two volumes containing papers and commentaries presented at the Eleventh World Congress of the Econometric Society, held in Montreal, Canada in August 2015. These papers provide state-of-the-art guides to the most important recent research in economics. The book includes surveys and interpretations of key developments in economics and econometrics, and discussion of future directions for a wide variety of topics, covering both theory and application. These volumes provide a unique, accessible survey of progress on the discipline, written by leading specialists in their fields. The second volume addresses topics such as big data, macroeconomics, financial markets, and partially identified models.

Network Economics

Author : Anna Nagurney
Publisher : Springer Science & Business Media
ISBN 13 : 1475730055
Total Pages : 423 pages
Book Rating : 4.4/5 (757 download)

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Book Synopsis Network Economics by : Anna Nagurney

Download or read book Network Economics written by Anna Nagurney and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 423 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the publication of the first edition of Network Economics: A Variational Inequality Approach in 1993, there have been many ad vances in both methodological developments, as well as, applications in this field. These have occurred in an environment of an increasingly networked global economy, in which the importance of transportation networks and communication networks is now well-recognized, with net works such as knowledge networks, environmental networks, and finan cial networks receiving growing attention. This edition adds recent research progress in new and evolving ar eas of network economics through common and unifying principles. In addition, it includes dynamic models of traffic, of spatially separated markets, of oligopolistic markets, and of financial markets. In order to expand the range and reach of this material, we have also included a series of problems in an appendix for self-study purposes and for use in the classroom. We note that computational economics has been at the forefront in stimulating the development of mathematical methodologies for the analysis and solution of complex, large-scale problems. The past fifteen years, in particular, have witnessed a dramatic growth of interest in this area. Supported by the increasing availability of data and by advances in computer architectures, the scale and dimensions of problems that can now be handled are unveiling new horizons in both theoretical modeling and policy analysis.

Assets, Beliefs, and Equilibria in Economic Dynamics

Author : Charalambos D. Aliprantis
Publisher : Springer Science & Business Media
ISBN 13 : 3662058588
Total Pages : 733 pages
Book Rating : 4.6/5 (62 download)

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Book Synopsis Assets, Beliefs, and Equilibria in Economic Dynamics by : Charalambos D. Aliprantis

Download or read book Assets, Beliefs, and Equilibria in Economic Dynamics written by Charalambos D. Aliprantis and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 733 pages. Available in PDF, EPUB and Kindle. Book excerpt: A collection of papers dealing with a broad range of topics in mathematical economics, game theory and economic dynamics. The contributions present both theoretical and applied research. The volume is dedicated to Mordecai Kurz. The papers were presented in a special symposium co-hosted by the Stanford University Department of Economics and by the Stanford Institute of Economic Policy Research in August 2002.

Handbook of Macroeconomics

Author : Michael Woodford
Publisher : Elsevier
ISBN 13 : 9780444501561
Total Pages : 822 pages
Book Rating : 4.5/5 (15 download)

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Book Synopsis Handbook of Macroeconomics by : Michael Woodford

Download or read book Handbook of Macroeconomics written by Michael Woodford and published by Elsevier. This book was released on 1999 with total page 822 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Recursive Macroeconomic Theory, fourth edition

Author : Lars Ljungqvist
Publisher : MIT Press
ISBN 13 : 0262038668
Total Pages : 1477 pages
Book Rating : 4.2/5 (62 download)

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Book Synopsis Recursive Macroeconomic Theory, fourth edition by : Lars Ljungqvist

Download or read book Recursive Macroeconomic Theory, fourth edition written by Lars Ljungqvist and published by MIT Press. This book was released on 2018-09-11 with total page 1477 pages. Available in PDF, EPUB and Kindle. Book excerpt: The substantially revised fourth edition of a widely used text, offering both an introduction to recursive methods and advanced material, mixing tools and sample applications. Recursive methods provide powerful ways to pose and solve problems in dynamic macroeconomics. Recursive Macroeconomic Theory offers both an introduction to recursive methods and more advanced material. Only practice in solving diverse problems fully conveys the advantages of the recursive approach, so the book provides many applications. This fourth edition features two new chapters and substantial revisions to other chapters that demonstrate the power of recursive methods. One new chapter applies the recursive approach to Ramsey taxation and sharply characterizes the time inconsistency of optimal policies. These insights are used in other chapters to simplify recursive formulations of Ramsey plans and credible government policies. The second new chapter explores the mechanics of matching models and identifies a common channel through which productivity shocks are magnified across a variety of matching models. Other chapters have been extended and refined. For example, there is new material on heterogeneous beliefs in both complete and incomplete markets models; and there is a deeper account of forces that shape aggregate labor supply elasticities in lifecycle models. The book is suitable for first- and second-year graduate courses in macroeconomics. Most chapters conclude with exercises; many exercises and examples use Matlab or Python computer programming languages.

Handbook of Computational Econometrics

Author : David A. Belsley
Publisher : John Wiley & Sons
ISBN 13 : 0470748907
Total Pages : 514 pages
Book Rating : 4.4/5 (77 download)

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Book Synopsis Handbook of Computational Econometrics by : David A. Belsley

Download or read book Handbook of Computational Econometrics written by David A. Belsley and published by John Wiley & Sons. This book was released on 2009-08-18 with total page 514 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Computational Econometrics examines the state of the art of computational econometrics and provides exemplary studies dealing with computational issues arising from a wide spectrum of econometric fields including such topics as bootstrapping, the evaluation of econometric software, and algorithms for control, optimization, and estimation. Each topic is fully introduced before proceeding to a more in-depth examination of the relevant methodologies and valuable illustrations. This book: Provides self-contained treatments of issues in computational econometrics with illustrations and invaluable bibliographies. Brings together contributions from leading researchers. Develops the techniques needed to carry out computational econometrics. Features network studies, non-parametric estimation, optimization techniques, Bayesian estimation and inference, testing methods, time-series analysis, linear and nonlinear methods, VAR analysis, bootstrapping developments, signal extraction, software history and evaluation. This book will appeal to econometricians, financial statisticians, econometric researchers and students of econometrics at both graduate and advanced undergraduate levels.