用摄动方法求解具有总风险和许多特殊状态的离散时间异构智能体模型

IF 1.9 3区 经济学 Q2 ECONOMICS
Christian Bayer, R. Luetticke
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引用次数: 13

摘要

本文描述了一种求解在离散时间内具有总风险和许多特殊状态的异构智能体模型的方法。它扩展了Reiter(2009)提出的方法,并补充了Ahn, Kaplan, Moll, Winberry和Wolf(2017)最近关于如何在连续时间中求解此类模型的工作。我们建议首先求解无总风险模型的平稳均衡。然后,我们将描述动态平衡的泛函写成围绕其平稳平衡对应体的稀疏展开。最后,我们使用Schmitt - groh和Uribe(2004)的摄动方法来近似模型的总体动力学。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Solving discrete time heterogeneous agent models with aggregate risk and many idiosyncratic states by perturbation
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‐Grohé and Uribe (2004) to approximate the aggregate dynamics of the model.
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来源期刊
CiteScore
4.10
自引率
5.60%
发文量
28
审稿时长
52 weeks
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