Micro jumps, macro humps: Monetary policy and business cycles in an estimated HANK model
ABSTRACT We estimate a Heterogeneous-Agent New Keynesian model with sticky
household expectations that matches existing microeconomic evidence on marginal …
household expectations that matches existing microeconomic evidence on marginal …
Using the sequence‐space Jacobian to solve and estimate heterogeneous‐agent models
We propose a general and highly efficient method for solving and estimating general
equilibrium heterogeneous‐agent models with aggregate shocks in discrete time. Our …
equilibrium heterogeneous‐agent models with aggregate shocks in discrete time. Our …
Shocks, frictions, and inequality in US business cycles
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 …
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
An efficient, reliable, and interpretable global solution method, the Deep learning-based
algorithm for Heterogeneous Agent Models (DeepHAM), is proposed for solving high …
algorithm for Heterogeneous Agent Models (DeepHAM), is proposed for solving high …
Heterogeneity and aggregate fluctuations
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 …
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
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 …
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
Economists typically make simplifying assumptions to make the solution and estimation of
their highly complex models feasible. These simplifications include approximating the true …
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 …
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 …
empirical moments, can be viewed as minimum distance estimation. Existing standard error …
Estimating linearized heterogeneous agent models using panel data
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 …
series of macroeconomic aggregates, but can also incorporate micro level data (repeated …