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Solving discrete time heterogeneous agent models with aggregate risk and many idiosyncratic states by perturbation
Quantitative Economics ( IF 2.190 ) Pub Date : 2020-11-20 , DOI: 10.3982/qe1243
Christian Bayer 1, 2, 3 , Ralph Luetticke 2, 4, 5
Affiliation  

This paper describes a method for solving heterogeneous agent models with aggregate risk and many idiosyncratic states formulated in discrete time. It extends the method proposed by Reiter (2009) and complements recent work by Ahn, Kaplan, Moll, Winberry, and Wolf (2017) on how to solve such models in continuous time. We suggest first solving for the stationary equilibrium of the model without aggregate risk. We then write the functionals that describe the dynamic equilibrium as sparse expansions around their stationary equilibrium counterparts. Finally, we use the perturbation method of Schmitt‐Grohé and Uribe (2004) to approximate the aggregate dynamics of the model.

中文翻译:

通过扰动求解具有总风险和许多特质状态的离散时间异构主体模型

本文介绍了一种求解具有离散风险的总风险和许多特质状态的异构主体模型的方法。它扩展了Reiter(2009)提出的方法,并补充了Ahn,Kaplan,Moll,Winberry和Wolf(2017)关于如何连续时间求解此类模型的最新工作。我们建议先解决没有总风险的模型的静态平衡。然后,我们编写将动态平衡描述为围绕它们的固定平衡对等体的稀疏展开的函数。最后,我们使用Schmitt-Grohé和Uribe(2004)的摄动方法来近似模型的总体动力学。
更新日期:2020-11-20
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