DSpace Repository

Transition paths for Bewley-Huggett-Aiyagari models: Comparison of some solution algorithms

Show simple item record

dc.contributor.author Kirkby, Robert
dc.date.accessioned 2017-01-24T22:35:47Z
dc.date.accessioned 2022-07-07T22:01:14Z
dc.date.available 2017-01-24T22:35:47Z
dc.date.available 2022-07-07T22:01:14Z
dc.date.copyright 2017
dc.date.issued 2017
dc.identifier.uri https://ir.wgtn.ac.nz/handle/123456789/19669
dc.description.abstract We analyse general equilibrium transition paths for Bewley-Huggett-Aiyagari models: general equilibrium models with heterogeneous agents, incomplete markets, and idiosyncratic but no aggregate uncertainty. We first provide precise definitions of the theoretical problem to be solved. We then consider a variety of algorithms for computation of the finite horizon general equilibrium transition paths. These algorithms can solve for unannounced one-off changes, pre-announced one-off changes, or even any finite series of one-off changes (such as announcing today a series of tax increases to be rolled out over the next few years). The algorithms are all based on shooting-algorithms but differ in how they update the price paths during convergence. Evaluation of the algorithms in terms of both robustness and runtime is performed by applying them to looking at capital tax reforms in the model of Aiyagari (1994) and its extension to endogenous labour. Simulation results show that the literature standard of simply using a fixed factor to update the entire path performs both fast and robustly; and that a weight of 0.9 on the old path is typically the best by these criterion. en_NZ
dc.format pdf en_NZ
dc.language.iso en_NZ
dc.publisher Te Herenga Waka—Victoria University of Wellington en_NZ
dc.relation.ispartofseries SEF Working paper ; 01/2017 en_NZ
dc.subject Bewley-Huggett-Aiyagari models en_NZ
dc.subject Numerical methods en_NZ
dc.subject Transition Path en_NZ
dc.subject General Equilibrium en_NZ
dc.title Transition paths for Bewley-Huggett-Aiyagari models: Comparison of some solution algorithms en_NZ
dc.type Text en_NZ
vuwschema.contributor.unit School of Economics and Finance en_NZ
vuwschema.subject.anzsrcfor 140103 Mathematical Economics en_NZ
vuwschema.type.vuw Working or Occasional Paper en_NZ
vuwschema.subject.anzsrcforV2 380303 Mathematical economics en_NZ
dc.rights.rightsholder http://www.victoria.ac.nz/sef/research/sef-working-papers en_NZ

Files in this item

This item appears in the following Collection(s)

Show simple item record

Search DSpace


My Account