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on Computational Economics |
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Issue of 2017‒09‒03
three papers chosen by |
| By: | Eduardo Amaral Haddad; Fatna El Hattab; Abdelaaziz Aït Ali |
| Abstract: | This paper reports on the recent developments in the construction of an interregional input-output matrix for Morocco (IIOM-MOR). As part of an ongoing project that aims to specify and calibrate an interregional CGE (ICGE) model for the country, a fully specified interregional input-output database was developed under conditions of limited information. Such database is needed for future calibration of the ICGE model. We conduct an analysis of the intraregional and interregional shares for the average total output multipliers. Furthermore, we also show detailed figures for the output decomposition, taking into account the structure of final demand. |
| Date: | 2017–08 |
| URL: | http://d.repec.org/n?u=RePEc:ocp:rpaper:rp-1702&r=cmp |
| By: | Yves Achdou; Jiequn Han; Jean-Michel Lasry; Pierre-Louis Lions; Benjamin Moll |
| Abstract: | We recast the Aiyagari-Bewley-Huggett model of income and wealth distribution in continuous time. This workhorse model – as well as heterogeneous agent models more generally – then boils down to a system of partial differential equations, a fact we take advantage of to make two types of contributions. First, a number of new theoretical results: (i) an analytic characterization of the consumption and saving behavior of the poor, particularly their marginal propensities to consume; (ii) a closed-form solution for the wealth distribution in a special case with two income types; (iii) a proof that there is a unique stationary equilibrium if the intertemporal elasticity of substitution is weakly greater than one; (iv) characterization of “soft” borrowing constraints. Second, we develop a simple, efficient and portable algorithm for numerically solving for equilibria in a wide class of heterogeneous agent models, including – but not limited to – the Aiyagari-Bewley-Huggett model. |
| JEL: | D31 E00 E21 |
| Date: | 2017–08 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:23732&r=cmp |
| By: | Chatelain, Jean-Bernard; Ralf, Kirsten |
| Abstract: | This algorithm extends Ljungqvist and Sargent (2012) algorithm of Stackelberg dynamic game to the case of dynamic stochastic general equilibrium models including exogenous forcing variables. It is based Anderson, Hansen, McGrattan, Sargent (1996) discounted augmented linear quadratic regulator. It adds an intermediate step in solving a Sylvester equation. Forward-looking variables are also optimally anchored on forcing variables. This simple algorithm calls for already programmed routines for Ricatti, Sylvester and Inverse matrix in Matlab and Scilab. A final step using a change of basis vector computes a vector auto regressive representation including Ramsey optimal policy rule function of lagged observable variables, when the exogenous forcing variables are not observable. |
| Keywords: | Ramsey optimal policy, Stackelberg dynamic game, algorithm, forcing variables, augmented linear quadratic regulator. |
| JEL: | C61 C62 C73 E47 E52 E61 E63 |
| Date: | 2017–08–26 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:81006&r=cmp |