Micro jumps, macro humps: Monetary policy and business cycles in an estimated HANK model

A Auclert, M Rognlie, L Straub - 2020 - nber.org
ABSTRACT We estimate a Heterogeneous-Agent New Keynesian model with sticky
household expectations that matches existing microeconomic evidence on marginal …

Using the sequence‐space Jacobian to solve and estimate heterogeneous‐agent models

A Auclert, B Bardóczy, M Rognlie, L Straub - Econometrica, 2021 - Wiley Online Library
We propose a general and highly efficient method for solving and estimating general
equilibrium heterogeneous‐agent models with aggregate shocks in discrete time. Our …

Shocks, frictions, and inequality in US business cycles

C Bayer, B Born, R Luetticke - American Economic Review, 2024 - pubs.aeaweb.org
We show how a heterogeneous agent New Keynesian (HANK) model with incomplete
markets and portfolio choice can be estimated in state space using a Bayesian approach. To …

Deepham: A global solution method for heterogeneous agent models with aggregate shocks

J Han, Y Yang - arXiv preprint arXiv:2112.14377, 2021 - arxiv.org
An efficient, reliable, and interpretable global solution method, the Deep learning-based
algorithm for Heterogeneous Agent Models (DeepHAM), is proposed for solving high …

Heterogeneity and aggregate fluctuations

M Chang, X Chen, F Schorfheide - 2021 - journals.uchicago.edu
We develop a state-space model with a transition equation that takes the form of a functional
vector autoregression and stacks macroeconomic aggregates and a crosssectional density …

The Macroeconomic and Redistributive Effects of Shielding Consumers from Rising Energy Prices: a Real Time Evaluation of the French Experiment

F Langot, S Malmberg, F Tripier, JO Hairault - 2023 - hal.science
The French government has implemented a tariff shield on energy products to dampen the
impact of the increase in energy prices started in 2021. To assess the macroeconomic and …

[图书][B] Estimating nonlinear heterogeneous agents models with neural networks

H Kase, L Melosi, M Rottner - 2022 - aeaweb.org
Economists typically make simplifying assumptions to make the solution and estimation of
their highly complex models feasible. These simplifications include approximating the true …

[PDF][PDF] HAOK and HANK Models

TJ Sargent - Keynote address for 2022 Bank of Chile conference, 2023 - tomsargent.com
Abstract I compare Heterogeneous Agent Old Keynesian with Heterogeneous New
Keynesian models. I describe evidence and data reduction techniques that convinced 20th …

Standard errors for calibrated parameters

MD Cocci, M Plagborg-Møller - arXiv preprint arXiv:2109.08109, 2021 - arxiv.org
Calibration, the practice of choosing the parameters of a structural model to match certain
empirical moments, can be viewed as minimum distance estimation. Existing standard error …

Estimating linearized heterogeneous agent models using panel data

TK Papp, M Reiter - Journal of Economic Dynamics and Control, 2020 - Elsevier
We develop a method to estimate heterogeneous agent models that uses not only time
series of macroeconomic aggregates, but can also incorporate micro level data (repeated …