Dynamic General Equilibrium Modeling: Computational Methods and Applications [Hardcover]

Burkhard Heer (Author), Alfred Maußner (Author)

Book Description

Publication Date: December 1, 2009 | ISBN-10: 3540856846 | ISBN-13: 978-3540856849 | Edition: 2nd ed 2009. Corr. 2nd printing

Modern business cycle theory and growth theory uses stochastic dynamic general equilibrium models. In order to solve these models, economists need to use many mathematical tools. This book presents various methods in order to compute the dynamics of general equilibrium models. In part I, the representative-agent stochastic growth model is solved with the help of value function iteration, linear and linear quadratic approximation methods, parameterised expectations and projection methods. In order to apply these methods, fundamentals from numerical analysis are reviewed in detail. In particular, the book discusses issues that are often neglected in existing work on computational methods, e.g. how to find a good initial value. In part II, the authors discuss methods in order to solve heterogeneous-agent economies. In such economies, the distribution of the individual state variables is endogenous. This part of the book also serves as an introduction to the modern theory of distribution economics. Applications include the dynamics of the income distribution over the business cycle or the overlapping-generations model. In an accompanying home page to this book, computer codes to all applications can be downloaded.

Editorial Reviews

Review

"This is perhaps the perfect book to learn how to solve quantitative macroeconomics models. Its balance between theory, choice of models, computational insights and use of examples make it an excellent teaching tool. One of the very few books a professional macroeconomist should have: I always learn something important when I consult it." José-Víctor Ríos Rull, University of Minnesota  "This is an excellent book for economists who do quantitative research. It will be an invaluable teaching tool for graduate macroeconomic courses. In addition to having a great set of examples, the programs that accompany them are also made available. It will help the new generation of graduate students to progress much faster with solving what used to be complicated model economies." Ayse Imrohoroglu, Marshall Business School, University of Southern California "Heer and Maussner's book provides the reader with exactly the necessary computational tools to solve the dynamic general equilibrium models macroeconomists care about. It is therefore the perfect complement to Stokey, Lucas and Prescott's and Sargent and Ljungqvist's theoretical treatment of modern macroeconomics. Both students and producers of quantitative macroeconomic research will find this book essential." Dirk Krueger, University of Pennsylvania, Department of Economics "The use of computational tools in macroeconomic analysis has increased enormously over the past decade. This book not only does an excellent job in explaining the existing tools, but it also teaches the reader on how to write her/his own programs and it rovides the reader with the tools to help advance the state of the art of dynamic macroeconomics. This book will be useful to those who are new to this field and would like a systematic approach as will be useful to those who are more advanced and who are looking for a comprehensive overview of existing techniques." Wouter J. Den Haan, University of Amsterdam

From the Back Cover

Modern business cycle theory and growth theory uses stochastic dynamic general equilibrium models. In order to solve these models, economists need to use many mathematical tools. This book presents various methods in order to compute the dynamics of general equilibrium models. In part I, the representative-agent stochastic growth model is solved with the help of value function iteration, linear and linear quadratic approximation methods, parameterised expectations and projection methods. In order to apply these methods, fundamentals from numerical analysis are reviewed in detail. In part II, the authors discuss methods in order to solve heterogeneous-agent economies. This part of the book also serves as an introduction to the modern theory of distribution economics. Applications include the dynamics of the income distribution over the business cycle or the demographic transition in a large-scale overlapping generations model. In an accompanying home page to this book, computer codes to all applications can be downloaded. "This is perhaps the perfect book to learn how to solve quantitative macroeconomics models. Its balance between theory, choice of models, computational insights and use of examples make it an excellent teaching tool. One of the very few books a professional macroeconomist should have: I always learn something important when I consult it." José-Víctor Ríos Rull, University of Minnesota "This book not only does an excellent job in explaining the existing tools, but it also teaches the reader on how to write her/his own programs and it provides the reader with the tools to help advance the state of the art of dynamic macroeconomics. " Wouter J. Den Haan, University of Amsterdam  "This is an excellent book for economists who do quantitative research. It will be an invaluable teaching tool for graduate macroeconomic courses." Ayse Imrohoroglu, University of Southern California  "… provides the reader with exactly the necessary computational tools to solve the dynamic general equilibrium models macroeconomists care about. It is therefore the perfect complement to Stokey, Lucas and Prescott's and Sargent and Ljungqvist's theoretical treatment of modern macroeconomics." Dirk Krueger, University of Pennsylvania    

Product Details

• Hardcover: 735 pages
• Publisher: Springer; 2nd ed 2009. Corr. 2nd printing edition (December 1, 2009)
• Language: English
• ISBN-10: 3540856846
• ISBN-13: 978-3540856849
• Product Dimensions: 9.4 x 6.5 x 1.7 inches
• Shipping Weight: 2.1 ounces (View shipping rates and policies)
• Average Customer Review: 5.0 out of 5 stars  See all reviews (4 customer reviews)
• Amazon Best Sellers Rank: #1,215,976 in Books (See Top 100 in Books)

Customer Reviews

Most Helpful Customer Reviews

3 of 3 people found the following review helpful:

5.0 out of 5 stars Great Book, January 14, 2010

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B. Taska (New York) - See all my reviews
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This review is from: Dynamic General Equilibrium Modeling: Computational Methods and Applications (Paperback)

I am PhD student in economics and I do research in heterogeneous agents models.I found this book to be extremely useful. It provides you with all the tools that you need in order to start and do your own research. Also most topics are up to date. The book comes also with a web page with the computer codes for the examples in the book. My only complain is that there are no MatLab codes, but only Gauss and FORTRAN.

1 of 1 people found the following review helpful:

5.0 out of 5 stars Very helpful book full of codes, April 11, 2010

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G. Gunnarsson (Reykjavik, Iceland) - See all my reviews
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This review is from: Dynamic General Equilibrium Modeling: Computational Methods and Applications (Paperback)

This book is unique. It gives a clear and systematic account of the practical aspect of solving dynamic general equilibrium models. It proved extremely useful to me in writing my thesis. The codes for solving the models are very valuable. You are given the codes for solving several types of models. Furthermore, I e.mailed dr. Heer regarding a coding issue that arose because I was running a newer version of GAUSS than the one the codes were written in and he was very helpful. He replied promptly and solved the issue. That helpful attitude from the authors is evident throughout the book, it helps you solve models. Springer quality - Five stars from me no question.

2 of 3 people found the following review helpful:

5.0 out of 5 stars A good link between the theory and computational aspects, January 20, 2010

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Mauricio Medinaceli - See all my reviews

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This review is from: Dynamic General Equilibrium Modelling: Computational Methods and Applications (Hardcover)

If you want to learn how to solve the dynamic macroeconomic models from a theoretical and practical perspectives, you should buy this book. But what I like the most it's the extended development in each model, contrary to other macroeconomic books, you can find in this one, a very detailed explanation of the algebra inside the macro models. Maybe next editions could improve with the answer to each chapter problems in some web page.