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Technische Universität Dresden >
Fakultät Wirtschaftswissenschaften, Technische Universität Dresden >
Dresden Discussion Paper Series in Economics, Faculty of Business and Economics, TU Dresden >
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http://hdl.handle.net/10419/22709
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| Title: | | Analytical and Numerical Solution of a Poisson RBC model  |
| Authors: | | Schlegel, Christoph |
| Issue Date: | | 2004 |
| Series/Report no.: | | Dresden discussion paper in economics 05/04 |
| Abstract: | | This paper analyses a RBC model in continuous time featuring deterministic incremental development of technology and stochastic fundamental inventions arriving according to a Poisson process. Other than in standard RBC models, shocks are uncorrelated, irregular and rather seldom. In two special cases analytical solutions are presented. In the general case a delay differential equation (DDE) has to be solved. Standard numerical solution methods fail, because the steady state is path dependent. A new solution based on a modified method of steps for DDEs provides not only approximations but also upper and lower bounds for optimal consumption path and steady state. |
| Subjects: | | Business cycle models with poisson shocks RBC models in continuous time Delay differential equations |
| JEL: | | E32 O41 C61 C65 C68 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Dresden Discussion Paper Series in Economics, Faculty of Business and Economics, TU Dresden
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