Journal of Economic Dynamics and Control ( IF 1.620 ) Pub Date : 2021-06-24 , DOI: 10.1016/j.jedc.2021.104185 Karl Harmenberg
I introduce a method for simulating aggregate dynamics of heterogeneous-agent models where log permanent income follows a random walk. The idea is to simulate the model using a counterfactual permanent-income-neutral measure which incorporates the effect that permanent income shocks have on macroeconomic aggregates. With the permanent-income-neutral measure, one does not need to keep track of the permanent-income distribution. The permanent-income-neutral measure is both useful for the analytical characterization of aggregate consumption-savings behavior and for simulating numerical models. Furthermore, it is trivial to implement with a few lines of code.
中文翻译:
聚合具有永久性收入冲击的异质代理模型
我介绍了一种模拟异构代理模型聚合动态的方法,其中对数永久收入遵循随机游走。这个想法是使用反事实的永久性收入中性衡量标准来模拟模型,该衡量标准结合了永久性收入冲击对宏观经济总量的影响。使用永久收入中性措施,人们不需要跟踪永久收入分配。永久收入中性测度对于总消费储蓄行为的分析表征和模拟数值模型都很有用。此外,用几行代码来实现是微不足道的。