| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15614 |
| DP15614 Household Savings and Monetary Policy under Individual and Aggregate Stochastic Volatility | |
| Yuriy Gorodnichenko; Serguei Maliar; Christopher Naubert | |
| 发表日期 | 2020-12-28 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We study a heterogeneous-agent model with sticky-prices in which total factor productivity and individual productivity are subject to stochastic volatility shocks. Agents save through liquid bonds and illiquid capital and shares. To construct equilibrium, we use a deep learning algorithm. Our method preserves non-linearities, which is essential for understanding portfolio choices. With rich heterogeneity at the household level, we are able to quantify the impact of uncertainty across the income and wealth distribution. We find that persistent high levels of uncertainty increase wealth inequality, and that in response to a contractionary monetary policy shock, illiquid wealth inequality decreases and liquid wealth inequality increases |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Machine learning Deep learning Neural network Hank Heterogeneous agents |
| URL | https://cepr.org/publications/dp15614 |
| 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/544627 |
| 推荐引用方式 GB/T 7714 | Yuriy Gorodnichenko,Serguei Maliar,Christopher Naubert. DP15614 Household Savings and Monetary Policy under Individual and Aggregate Stochastic Volatility. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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