An endogenous gridpoint method for distributional dynamics

IF 4.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics Pub Date : 2026-03-01 Epub Date: 2026-01-15 DOI:10.1016/j.jmoneco.2026.103895

Christian Bayer , Ralph Luetticke , Maximilian Weiss , Yannik Winkelmann

引用次数: 0

Abstract

Modeling continuous choices in heterogeneous agent models as “lotteries” over a discretized state space is standard practice (Young, 2010), but renders the distributional dynamics linear in optimal policies. We present a novel, simple method that captures nonlinearities and solves the distributional dynamics with interpolation instead of integration using the idea of an endogenous grid. Our approach solves for a stationary equilibrium as quickly as the lottery method for a given precision, outperforms it for linear dynamics, and accommodates nonlinear dynamics and aggregate risk. We demonstrate its efficacy by studying a model with aggregate investment risk with a third-order perturbation solution.

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分布动力学的内生网格点方法

将异构智能体模型中的连续选择建模为离散状态空间上的“彩票”是标准做法（Young, 2010），但在最优策略中呈现线性分布动态。我们提出了一种新颖、简单的方法，可以捕获非线性并通过插值而不是使用内生网格的思想进行集成来解决分布动力学。在给定精度下，我们的方法与彩票方法一样快速地解决平稳平衡，优于线性动力学，并适应非线性动力学和总体风险。通过研究具有三阶扰动解的总投资风险模型，证明了该方法的有效性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Monetary Economics Multiple-

CiteScore

7.20

自引率

4.90%

发文量

审稿时长

74 days

期刊介绍： The profession has witnessed over the past twenty years a remarkable expansion of research activities bearing on problems in the broader field of monetary economics. The strong interest in monetary analysis has been increasingly matched in recent years by the growing attention to the working and structure of financial institutions. The role of various institutional arrangements, the consequences of specific changes in banking structure and the welfare aspects of structural policies have attracted an increasing interest in the profession. There has also been a growing attention to the operation of credit markets and to various aspects in the behavior of rates of return on assets. The Journal of Monetary Economics provides a specialized forum for the publication of this research.