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Workshop: Advances in Numerical Methods for Economics

Joint IMF/PSE Workshop

In the aftermath of the crisis, DSGE modeling using perturbation-based methods has been challenged, as the objective of fine-tuning business cycle fluctuations has been (temporarily) postponed. In addition, models with non-linear constraints have attracted considerable interest as the zero-lower bound on interest or downward nominal rigidities became prominent features of the macroeconomic environment in advanced countries. This has renewed interest from academia and institutional partners toward global, nonlinear, solution methods as a powerful tool to investigate the theory of nonlinear models and to draw quantitative conclusions.

Global methods are also used for a wide range of models where decision rules need to be solved for a large state space, for instance models in which policymakers cannot commit to future policies, dynamic games, etc.

For this reason, the IMF and the Chaire Banque de France at Paris School of Economics are organizing a specialized workshop about recent advances in computational economics. The workshop will focus on the following topics:

  • (i) Advances in global methods;
  • (ii) Dealing with nonlinearities, and occasionally binding constraints;
  • (iii) Delaying the curse of dimensionality (sparse grids, heterogeneous agents);
  • (iv) Advanced computational techniques (algorithmic improvements, parallel computing, gpu programming);
  • (v) Alternatives to classic rational expectation models (learning, heterogeneous beliefs, agent-based models); and
  • (vi) Relations with other computational fields (physics, biology, applied mathematics).

Workshop: Advances in Numerical Methods for Economics
June 28, 2013
IMF Headquaters 2, Conference Hall HQ2-01A-280A&B
Washington, D.C.
8:15–8:45 am


Coffee and tea are served.

8:45–9:00 am

Opening Remarks — Wouter den Haan (London School of Economics and Centre for Macroeconomics (CFM))

9:00–9:40 am

Merging Simulation and Projection Approaches to Solve High-Dimensional Problems

Yongyang Cai, Kenneth L. Judd (Hoover Institution), and Rong Xu

9:40–10:20 am

Margin Regulation and Asset Prices

Johannes Brumm, Michael Grill, Felix Kubler, and Karl Schmedders (Northwestern University)

10:20–10:40 am

Coffee Break

10:40–11:20 am

Idiosyncratic Risk and the Dynamics of Aggregate Consumption: a Likelihood-Based Perspective

Alisdair McKay (Boston University)

11:20 am–12:00 pm

The Method of Moderation

Christopher Carroll (John Hopkins)

12:00–12:40 pm

Financing Investment with Long-Term Debt and Uncertainty Shocks

Michael Michaux (University of Southern California) and Francois Gourio

12:40–1:40 pm


1:40–2:20 pm

GPU Computing in economics

Eric Aldrich (University of California Santa Cruz)

2:20–3:00 pm

Advances in Numerical Dynamic Programming and New Applications

Yongyang Cai (Hoover Institution) and Kenneth L. Judd

3:00–3:40 pm

Model Standardization, Efficient Compilation Schemes and Solution Algorithms

Pablo Winant (Paris School of Economics and London Business School)

3:40–4:00 pm

Coffee Break

4:00–4:40 pm

Unemployment (Fear), Precautionary Savings, and Aggregate Demand

Wouter den Haan (London School of Economics and Centre for Macroeconomics (CFM)), and Pontus Rendahl

4:40–5:20 pm

Solving Nonlinear Rational Expectations Models by Approximating the Stochastic Equilibrium System

Michael Evers (University of Bonn)

Workshop Coordinators

  • Raphael Espinoza—International Monetary Fund
  • Romain Ranciere—International Monetary Fund and Paris School of Economics
  • Pablo Winant—Paris School of Economics and London Business School
  • Wouter den Haan—London School of Economics and Centre for Macroeconomics (CFM)
  • Chifundo Moya—International Monetary Fund

Event Details

  • Date: Friday, June 28, 2013
  • Time: 8:15 am – 5:20 pm
  • Place: IMF Headquaters 2, Conference Hall HQ2-01A-280A&B
    720 19th Street, NW, Washington, DC
  • We have reached our maximum capacity for the Workshop. Unfortunately, we are not able to accept any additional registrations at this point.