For more information about this meeting, contact Victor Nistor, Jinchao Xu, Xiantao Li, Yuxi Zheng, Kris Jenssen, Hope Shaffer.
|Title:||Recent advances in computing general equilibrium models and its application to the asset pricing models with time non-separable preferences|
|Seminar:||Computational and Applied Mathematics Colloquium|
|Speaker:||Olesya Grishchenko, Federal Reserve|
|I will discuss a recently developed algorithm of Dumas and Lyasoff (2010) to compute general equilibria in complete and incomplete markets. I will demonstrate then how this algorithm can be used in a setting where equilibrium prices are computed in the economy characterized by heterogeneous agents who have time nonseparable preferences, namely, external (catching up with Joneses) habits and internal (habit persistence) habits. We compute interest rate, interest rate volatility, equity premium, volatility of equity return, and Sharpe ratio. Our results suggest that habit persistence along with habit heterogeneity provide for a considerable improvement in matching aggregate asset pricing quantities with respect to time nonseparable models with representative agent.|
Room Reservation Information
|Date:||09 / 09 / 2011|
|Time:||03:35pm - 04:25pm|