Computation of Equilibria in OLG Models with Many Heterogeneous Households
This paper develops a decomposition algorithm by which a market economy with many households may be solved through the computation of equilibria for a sequence of representative agent economies. The paper examines local and global convergence properties of the sequential recalibration (SR) algori...
| Main Authors: | , |
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| Outros Autores: | |
| Formato: | Artigo |
| Idioma: | en_US |
| Publicado em: |
Springer Netherlands
2011
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| Acesso em linha: | http://hdl.handle.net/1721.1/67034 |
| Resumo: | This paper develops a decomposition algorithm by which a market
economy with many households may be solved through the computation of equilibria
for a sequence of representative agent economies. The paper examines local and
global convergence properties of the sequential recalibration (SR) algorithm. The SR
algorithm is then demonstrated to efficiently solve Auerbach–Kotlikoff OLG models
with a large number of heterogeneous households. We approximate equilibria in
OLG models by solving a sequence of related Ramsey optimal growth problems. This
approach can provide improvements in both efficiency and robustness as compared
with integrated complementarity-based solution methods. |
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