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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w24138 |
来源ID | Working Paper 24138 |
Exploiting MIT Shocks in Heterogeneous-Agent Economies: The Impulse Response as a Numerical Derivative | |
Timo Boppart; Per Krusell; Kurt Mitman | |
发表日期 | 2017-12-25 |
出版年 | 2017 |
语种 | 英语 |
摘要 | We propose a new method for computing equilibria in heterogeneous-agent models with aggregate uncertainty. The idea relies on an assumption that linearization offers a good approximation; we share this assumption with existing linearization methods. However, unlike those methods, the approach here does not rely on direct derivation of first-order Taylor terms. It also does not use recursive methods, whereby aggregates and prices would be expressed as linear functions of the state, usually a very high-dimensional object (such as the wealth distribution). Rather, we rely merely on solving nonlinearly for a deterministic transition path: we study the equilibrium response to a single, small "MIT shock'' carefully. We then regard this impulse response path as a numerical derivative in sequence space and hence provide our linearized solution directly using this path. The method can easily be extended to the case of many shocks and computation time rises linearly in the number of shocks. We also propose a set of checks on whether linearization is a good approximation. We assert that our method is the simplest and most transparent linearization technique among currently known methods. The key numerical tool required to implement it is value-function iteration, using a very limited set of state variables. |
主题 | Microeconomics ; Mathematical Tools ; Macroeconomics ; Macroeconomic Models |
URL | https://www.nber.org/papers/w24138 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581812 |
推荐引用方式 GB/T 7714 | Timo Boppart,Per Krusell,Kurt Mitman. Exploiting MIT Shocks in Heterogeneous-Agent Economies: The Impulse Response as a Numerical Derivative. 2017. |
条目包含的文件 | ||||||
文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w24138.pdf(3364KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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