Optimal Control of General Equilibrium Models

Identifiability of Dynamic Stochastic General Equilibrium Models with Covariance Restrictions

This article is concerned with identification problem of parameters of Dynamic Stochastic General Equilibrium Models with emphasis on structural constraints, so that the number of observable variables is equal to the number of exogenous variables. We derived a set of identifiability conditions and suggested a procedure for a thorough analysis of identification at each point in the parameters sp...

Affine General Equilibrium Models

No-arbitrage models are extremely flexible modelling tools, but often lack economic motivation. This paper describes an equilibrium consumption based CAPM framework based on Epstein-Zin preferences, which produces analytic pricing formulas for stocks and bonds under the assumption that macro growth rates follow affine processes. This allows the construction of equilibrium pricing formulas while...

Money in General Equilibrium Models

This essay describes and critically evaluates the important features of some approaches to the problem of incorporating money in general equilibrium models and ensuring a positive demand for money. The types of approaches considered are introducing money into the utility function, and modelling the transactions demand for money through the use of cash-in-advance constraints, real resource costs...

Testing Calibrated General Equilibrium Models

This paper illustrates the philosophy which forms the basis of calibration exercises in general equilibriummacroeconomic models and the details of the procedure, the advantages and the disadvantages of the approach, with particular reference to the issue of testing \false" economic models. We provide an overview of the most recent simulation-based approaches to the testing problem and compare t...

The Structure of Applied General Equilibrium Models