Mostrar o rexistro simple do ítem
Equilibrium models with heterogeneous agents under rational expectations and its numerical solution
dc.contributor.author | Ráfales, Jonatan | |
dc.contributor.author | Vázquez, Carlos | |
dc.date.accessioned | 2024-07-03T11:50:25Z | |
dc.date.available | 2024-07-03T11:50:25Z | |
dc.date.issued | 2021-05 | |
dc.identifier.citation | J. Ráfales, and C. Vázquez, "Equilibrium models with heterogeneous agents under rational expectations and its numerical solution", Communications in Nonlinear Science and Numerical Simulation, Vol. 96, article number 105673, May 2021, doi: 10.1016/j.cnsns.2020.105673 | es_ES |
dc.identifier.issn | 1007-5704 | |
dc.identifier.uri | http://hdl.handle.net/2183/37677 | |
dc.description.abstract | [Abstract]: In this work we assume rational expectations to pose general equilibrium models with heterogeneous firms that can enter or exit the industry. More precisely, we assume a general Ito process for the dynamics of the agents productivity, including the main dynamics in the literature. A Hamilton-Jacobi-Bellman (HJB) formulation models the endogenous decision of firms to remain or exit the industry. All firms that exit are immediately replaced by a group of new ones, so that the probability density function of firms satisfies an appropriate Kolmogorov-Fokker-Plank (KFP) equation with source term. Equilibrium models are completed with the household problem formulation and the feasibility conditions. In the evolutive and general stationary settings, analytical or semi-analytical formulas are not available, so that appropriate numerical methods are required. We propose a Crank-Nicolson scheme for the time discretization of the evolutive problems. Moreover, we use an augmented Lagrangian active set (ALAS) method combined with a finite difference discretization for the HJB formulation and a suitable finite differences discretization for the KFP problem. For the global equilibrium problem we propose a Steffensen algorithm. Numerical examples illustrate the performance of the proposed numerical methodologies as well as the expected behaviours of the computed economic variables. | es_ES |
dc.description.sponsorship | This work has been funded by Spanish MINECO with grants MTM2016-76497-R and PID2019-108584RB-I00 and by Galician Government with the grant ED431C2018/033, both including FEDER financial support. Both authors acknowledge the support received from the Centro de Investigación de Galicia “CITIC”, funded by Xunta de Galicia and the European Union (European Regional Development Fund- Galicia 2014-2020 Program), by grant ED431G 2019/01. | es_ES |
dc.description.sponsorship | Xunta de Galicia; ED431C2018/033 | es_ES |
dc.description.sponsorship | Xunta de Galicia; ED431G 2019/01 | es_ES |
dc.language.iso | eng | es_ES |
dc.publisher | Elsevier B.V. | es_ES |
dc.relation | info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2013-2016/MTM2016-76497-R/ES/METODOS MATEMATICOS Y SIMULACION NUMERICA PARA RETOS EN FINANZAS CUANTITATIVAS, MEDIOAMBIENTE, BIOTECNOLOGIA Y EFICIENCIA INDUSTRIAL | es_ES |
dc.relation | info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PID2019-108584RB-I00/ES/METODOS MATEMATICOS Y COMPUTACIONALES PARA NUEVOS RETOS EN FINANZAS CUANTITATIVAS, MEDIAMBIENTE, BIOTECNOLOGIA E INGENIERIA | es_ES |
dc.relation.uri | https://doi.org/10.1016/j.cnsns.2020.105673 | es_ES |
dc.rights | Atribución-NoComercial-SinDerivadas 3.0 España | es_ES |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | * |
dc.subject | Augmented Lagrangian active set | es_ES |
dc.subject | Complementarity problems | es_ES |
dc.subject | Economic equilibrium models | es_ES |
dc.subject | Finite differences methods | es_ES |
dc.subject | Heterogeneous agents | es_ES |
dc.subject | HJB-KFP PDE system | es_ES |
dc.title | Equilibrium models with heterogeneous agents under rational expectations and its numerical solution | es_ES |
dc.type | info:eu-repo/semantics/article | es_ES |
dc.rights.access | info:eu-repo/semantics/openAccess | es_ES |
UDC.journalTitle | Communications in Nonlinear Science and Numerical Simulation | es_ES |
UDC.volume | 96 | es_ES |
UDC.issue | 105673 | es_ES |
dc.identifier.doi | 10.1016/j.cnsns.2020.105673 |
Ficheiros no ítem
Este ítem aparece na(s) seguinte(s) colección(s)
-
GI-M2NICA - Artigos [74]