This paper recasts the Aiyagari-Bewley-Huggett incomplete-markets model in continuous time, showing it reduces to a coupled system of a Hamilton-Jacobi-Bellman equation and a Kolmogorov Forward …
This paper builds a two-asset Heterogeneous Agent New Keynesian (HANK) model matching the empirical joint distribution of income, liquid, and illiquid wealth, and finds that the indirect effect of an …
PublishedClassicPhilosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering SciencesOnline 13 Nov 2014Published Nov 2014
Written explicitly to get mathematicians interested in macroeconomics, this review collects the systems of coupled nonlinear partial differential equations that arise once a macro model tracks a whole …
PublishedQuarterly Journal of EconomicsOnline 10 Sep 2024Published Jan 2025
Maxted, Laibson, and Moll study fiscal and monetary policy in a partial-equilibrium heterogeneous-agent model in which homeowners have present-biased time preferences (Instantaneous Gratification …
By replacing the cross-sectional distribution with low-dimensional current prices as the state variable and letting agents learn equilibrium price dynamics from simulated paths -- while still …
PublishedClassicThe Economic JournalOnline 14 Nov 2025Published May 2026
This essay argues that rational expectations about equilibrium prices -- which in heterogeneous-agent models means forecasting prices by forecasting the entire cross-sectional distribution, via an …
This paper develops a continuous-time method for solving heterogeneous-agent models with aggregate shocks by linearizing around a nonlinearly computed stationary equilibrium (extending Reiter's …