Accelerating the resolution of sovereign debt models using an endogenous grid method

Sébastien Villemot

No 17, Dynare Working Papers from CEPREMAP

Abstract: State-of-the-art algorithms for solving sovereign debt models with endogenous default rely on value function iterations. These algorithms are consequently very slow and quickly become intractable, even for a state space of dimension as low as three. This paper shows how to adapt the endogenous grid method for sovereign debt models, leading to a dramatic speed gain by a factor comprised between 5 and 10. A second contribution is to quantify and compare the accuracy of the computed solutions by both the value function iterations and the endogenous grid method.

Keywords: sovereign debt; endogenous default; endogenous grid method; solution accuracy (search for similar items in EconPapers)
JEL-codes: C63 F34 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2012-11
New Economics Papers: this item is included in nep-cmp and nep-dge
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
https://www.dynare.org/wp-repo/dynarewp017.pdf Main text (application/pdf)
https://www.dynare.org/wp-repo/dynarewp017.tar.gz Source code of programs used in the paper (application/x-gzip)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpm:dynare:017

Access Statistics for this paper

More papers in Dynare Working Papers from CEPREMAP Contact information at EDIRC.
Bibliographic data for series maintained by Sébastien Villemot ().