Computational suite of models with heterogeneous agents: Multi-country real business cycle models

Wouter J. den Haan (1) , Kenneth L. Judd (2) , Michel Juillard

1 Advisory Board of OA Cancer
2 Stanford University

This paper describes the second model considered in the computational suite project that compares the performance of different numerical algorithms. It is a multi-country model in which countries face different productivity shocks. Solving such models is a challenging numerical problem unless the number of countries is small. The solutions are functions of a large set of arguments and the functional forms are unknown. Moreover, the solution procedures have to deal with high-dimensional integration problems.

Mots clés: Numerical solutions; Simulations; Approximations

Domaines: Économie et finance quantitative [q-fin]

Wouter J. den Haan, Kenneth L. Judd, Michel Juillard. Computational suite of models with heterogeneous agents: Multi-country real business cycle models. Journal of Economic Dynamics and Control, 2010, 35 (2), pp.175. ⟨10.1016/j.jedc.2010.09.010⟩. ⟨hal-00765828⟩