B The Separability of Aggregate and Idiosyncratic Risk

  • Published 2009


Implementation The algorithm works as follows. We start with a matrix ĝ(s, s). Given this matrix, we can compute the aggregate state price in the stationary version of the economy, denoted P̂ (s)/P̂ (s). In computing the equilibrium, we find it more convenient to keep track of agents by their consumption share c rather than their (normalized) multiplier… (More)


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