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

• 成果类型: Article
• 署名作者: Bayer, Christian; Luetticke, Ralph
• 署名单位: University of Bonn; Center for Economic & Policy Research (CEPR); IZA Institute Labor Economics; Centre for Economic Policy Research - UK; University of London; University College London
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE1243
• 发表日期: 2020
• 页码: 1253-1288
• 关键词: Numerical methods; heterogeneous agent models; linearization; incomplete markets; C63; E32

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, 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-Grohe and Uribe (2004) to approximate the aggregate dynamics of the model.