Liquidity constraints and time non-separable preferences: simulating models with large state spaces

Repositorio e-Archivo

Mostrar el registro sencillo del ítem

dc.contributor.author Adda, Jerome
dc.contributor.author Boucekkine, Raouf
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Economía
dc.date.accessioned 2009-04-08T09:19:48Z
dc.date.available 2009-04-08T09:19:48Z
dc.date.issued 1995-05
dc.identifier.issn 2340-5031
dc.identifier.uri http://hdl.handle.net/10016/3911
dc.description.abstract This paper presents an alternative method for the stochastic simulation of nonlinear and possibly non-differentiable models with large state spaces. We compare our method to other existing methods, and show that the accuracy is satisfactory. We then use the method to analyze the features of an intertemporal optimizing consumption-saving model, when the utility function is time non-separable and when liquidity constraints are imposed. Two non-separabilities are studied, habit persistence and durability of the commodity. As the model has no closed-form solution, we compute deterministic and stochastic solution paths. It enables us to compare income and consumption volatility, and to describe the density of consumption under the different hypotheses on the utility function.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working Paper. Economics
dc.relation.ispartofseries 1995-20-14
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Stochastic simulations
dc.subject.other Liquidity constraints
dc.subject.other Habit formation
dc.subject.other Durability
dc.title Liquidity constraints and time non-separable preferences: simulating models with large state spaces
dc.type workingPaper
dc.subject.eciencia Economía
dc.rights.accessRights openAccess
 Find Full text

Ficheros en el ítem

*Click en la imagen del fichero para previsualizar.(Los elementos embargados carecen de esta funcionalidad)


El ítem tiene asociada la siguiente licencia:

Este ítem aparece en la(s) siguiente(s) colección(es)

Mostrar el registro sencillo del ítem