C63

Thomas Winberry

A method for solving heterogeneous-agent models with aggregate shocks that replaces the infinite-dimensional distribution with a flexible parametric family, treats that family's moments as endogenous …

Christian Bayer · Ralph Luetticke · M. Weiss · Yannik Winkelmann

This paper introduces the Distributional Endogenous Gridpoint Method (DEGM), a novel numerical technique for solving the distributional dynamics that arise in heterogeneous agent macroeconomic models. …

Jiequn Han · Yucheng Yang · Weinan E

DeepHAM represents the distribution of agents through a small set of algorithmically-learned "generalized moments" and uses deep neural networks trained on directly simulated paths to globally solve …

Adrien Auclert · Evan Majic · Matthew Rognlie · Ludwig Straub

Auclert, Majic, Rognlie, and Straub show that the sequence-space Jacobians used to solve macro models with rich heterogeneity have a special "quasi-Toeplitz" mathematical structure, which yields a …

Emanuele Ciola · Gabriele Tedeschi

This paper investigates how the endogenous structure of credit, deposit, and interbank networks shapes business cycle fluctuations and large financial crises in the U.S. economy.

Hanbaek Lee

The repeated transition method solves rich heterogeneous-agent models globally and without perfect foresight by exploiting the ergodicity of a long simulated path -- matching periods with similar …

Adrien Auclert · Rodolfo Rigato · Matthew Rognlie · Ludwig Straub

This paper extends the "certainty equivalence" shortcut that makes first-order sequence-space methods fast for heterogeneous-agent models to second and third order, showing that these higher-order …

Per Krusell · Anthony A. Smith, Jr.

In a calibrated stochastic growth model where a continuum of households face partially uninsurable employment risk and can self-insure only by holding aggregate capital, the macroeconomic aggregates …

Andreas Schaab

Using a new global solution method for a HANK model with counter-cyclical unemployment risk and a zero lower bound, this job-market paper shows that the dominant transmission channel of macroeconomic …

Sandra Daudignon · Oreste Tristani

This paper analyzes how monetary policy should respond to a long-run natural interest rate that can drift permanently — following a bounded random walk with upper bound 3 percent and lower bound 0 …

Christian Bayer · Ralph Luetticke

A solution method for discrete-time heterogeneous-agent models with aggregate risk that extends Reiter's perturbation approach by compressing the state space after the no-aggregate-risk stationary …

Michael Reiter

This paper proposes a numerical method for solving general-equilibrium models with a continuum of heterogeneous agents that combines projection (a fully nonlinear, high-dimensional representation of …

Yucheng Yang · Chiyuan Wang · Andreas Schaab · Benjamin Moll

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 …

Benjamin Moll

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 …

Adrien Auclert · Bence Bardóczy · Matthew Rognlie · Ludwig Straub

Auclert, Bardóczy, Rognlie, and Straub introduce the "sequence-space Jacobian," a fast algorithm for computing the first-order derivatives of general-equilibrium heterogeneous-agent models with …