Header

UZH-Logo

Maintenance Infos

Solving the Multi-Country Real Business Cycle Model using a Smolyak-Collocation Method


Malin, Benjamin A; Krüger, Dirk; Kübler, Felix (2010). Solving the Multi-Country Real Business Cycle Model using a Smolyak-Collocation Method. Journal of Economic Dynamics and Control, 35(2):229-239.

Abstract

We describe a sparse-grid collocation method to compute recursive solutions of dynamic economies with a sizable number of state variables. We show how powerful this method can be in applications by computing the non-linear recursive solution of an international real business cycle model with a substantial number of countries, complete insurance markets and frictions that impede frictionless international capital flows. In this economy, the aggregate state vector includes the distribution of world capital across different countries as well as the exogenous country-specific technology shocks. We use the algorithm to efficiently solve models with up to 10 countries (i.e., up to 20 continuous-valued state variables).

Abstract

We describe a sparse-grid collocation method to compute recursive solutions of dynamic economies with a sizable number of state variables. We show how powerful this method can be in applications by computing the non-linear recursive solution of an international real business cycle model with a substantial number of countries, complete insurance markets and frictions that impede frictionless international capital flows. In this economy, the aggregate state vector includes the distribution of world capital across different countries as well as the exogenous country-specific technology shocks. We use the algorithm to efficiently solve models with up to 10 countries (i.e., up to 20 continuous-valued state variables).

Statistics

Citations

Dimensions.ai Metrics
20 citations in Web of Science®
24 citations in Scopus®
63 citations in Microsoft Academic
Google Scholar™

Altmetrics

Downloads

109 downloads since deposited on 28 Jan 2011
30 downloads since 12 months
Detailed statistics

Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Language:English
Date:1 October 2010
Deposited On:28 Jan 2011 08:35
Last Modified:17 Feb 2018 17:55
Publisher:Elsevier
ISSN:0165-1889
OA Status:Green
Free access at:Publisher DOI. An embargo period may apply.
Publisher DOI:https://doi.org/10.1016/j.jedc.2010.09.015
Official URL:http://www.sciencedirect.com/science/article/pii/S0165188910002198

Download

Download PDF  'Solving the Multi-Country Real Business Cycle Model using a Smolyak-Collocation Method'.
Preview
Filetype: PDF
Size: 248kB
View at publisher