| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13071 |
| DP13071 Solving heterogeneous agent models in discrete time with many idiosyncratic states by perturbation methods | |
| Christian Bayer; Ralph Luetticke | |
| 发表日期 | 2018-07-24 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | 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 et al. (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. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Numerical methods Heterogeneous agent models Linearization Incomplete markets |
| URL | https://cepr.org/publications/dp13071-0 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541876 |
| 推荐引用方式 GB/T 7714 | Christian Bayer,Ralph Luetticke. DP13071 Solving heterogeneous agent models in discrete time with many idiosyncratic states by perturbation methods. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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