Solving the incomplete markets model with aggregate uncertainty using the Krusell-Smith algorithm

1. Maliar, Lilia
2. Maliar, Serguei
3. Valli, Fernando

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Zusammenfassung

This paper studies the properties of the solution to the heterogeneous agents model in Den Haan, Judd and Juillard (2008). To solve for the individual policy rules, we use an Euler-equation method iterating on a grid of prespecified points. To compute the aggregate law of motion, we use the stochastic-simulation approach of Krusell and Smith (1998). We also compare the stochastic- and non-stochasticsimulation versions of the Krusell-Smith algorithm, and we find that the two versions are similar in terms of their speed and accuracy.

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