Solving discrete time heterogeneous agent models with aggregate risk and many idiosyncratic states by perturbation

Artikel

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Quantitative Economics ; ISSN: 1759-7331 ; Volume: 11 ; Year: 2020 ; Issue: 4 ; Pages: 1253-1288 ; New Haven, CT: The Econometric Society

Classification and Topics

• Classification: Wirtschaft ; Computational Techniques; Simulation Modeling ; Business Fluctuations; Cycles
• Subject: Numerical methods ; heterogeneous agent models ; linearization ; in-complete markets

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Bayer, Christian ; Luetticke, Ralph
• Event: Veröffentlichung
• (who): The Econometric Society
• (where): New Haven, CT
• (when): 2020

Further information

• DOI: doi:10.3982/QE1243
• Handle: http://hdl.handle.net/10419/253577
• Last update: 10.03.2025, 11:44 AM CET