Computational Methods for Production-Based Asset Pricing Models with Recursive Utility

We compare local and global polynomial solution methods for DSGE models with Epstein- Zin-Weil utility. We show that model implications for macroeconomic quantities are relatively invariant to choice of solution method but that a global method can yield substantial improvements for asset prices and...

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Veröffentlicht in:	Studies in nonlinear dynamics and econometrics 2021-02, Vol.25 (1), p.1-26
Hauptverfasser:	Aldrich, Eric Mark, Kung, Howard
Format:	Artikel
Sprache:	eng
Schlagworte:	Asset pricing Assets DSGE models Macroeconomics nonlinear solution methods numerical dynamic programming Parameter sensitivity Polynomials Prices Pricing Pricing policies Production methods recursive utility Volatility Welfare
Online-Zugang:	Volltext
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