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IIES.bib
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@article{alves_further_2020,
title = {A {Further} {Look} at the {Propagation} of {Monetary} {Policy} {Shocks} in {HANK}},
volume = {52},
issn = {0022-2879, 1538-4616},
url = {https://onlinelibrary.wiley.com/doi/10.1111/jmcb.12761},
doi = {10.1111/jmcb.12761},
abstract = {We provide quantitative guidance on whether and to what extent different elements of Heterogeneous Agent New Keynesian (HANK) models amplify or dampen the response of aggregate consumption to a monetary policy shock. We emphasize four findings. First, the introduction of capital adjustment costs does not affect the aggregate response, but does change the transmission mechanism so that a larger share of indirect effects originates from equity prices rather than from labor income. Second, incorporating estimated unequal incidence functions for aggregate labor income fluctuations leads to either amplification or dampening, depending on the data and estimation methods. Third, distribution rules for monopoly profits that allocate a larger share to liquid assets lead to greater amplification. Fourth, assumptions about the fiscal reaction to a monetary policy shock have a stronger effect on the aggregate consumption response than any of the other three elements.},
language = {en},
number = {S2},
urldate = {2022-01-26},
journal = {Journal of Money, Credit and Banking},
author = {Alves, Felipe and Kaplan, Greg and Moll, Benjamin and Violante, Giovanni L.},
month = dec,
year = {2020},
keywords = {Keynesian, monetary policy, fiscal accommodation, heterogeneous agents, investment adjustment cost, New, profit distribution, taylor rule, unequal incidence},
pages = {521--559},
file = {Alves et al. - 2020 - A Further Look at the Propagation of Monetary Poli.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\7AQ4JNXQ\\Alves et al. - 2020 - A Further Look at the Propagation of Monetary Poli.pdf:application/pdf},
}
@techreport{hagedorn_fiscal_2019,
type = {{NBER} {Working} {Paper} 25571},
title = {The {Fiscal} {Multiplier}},
author = {Hagedorn, Marcus and Manovskii, Iourii and Mitman, Kurt},
month = feb,
year = {2019},
file = {Hagedorn et al. - 2019 - The Fiscal Multiplier.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\GJCEJTD4\\Hagedorn et al. - 2019 - The Fiscal Multiplier.pdf:application/pdf},
}
@article{bayer_precautionary_2019,
title = {Precautionary {Savings}, {Illiquid} {Assets}, and the {Aggregate} {Consequences} of {Shocks} to {Household} {Income} {Risk}},
volume = {87},
copyright = {© 2019 The Econometric Society},
issn = {1468-0262},
url = {https://onlinelibrary.wiley.com/doi/abs/10.3982/ECTA13601},
doi = {10.3982/ECTA13601},
language = {en},
number = {1},
urldate = {2019-08-13},
journal = {Econometrica},
author = {Bayer, Christian and Luetticke, Ralph and Pham-Dao, Lien and Tjaden, Volker},
year = {2019},
keywords = {Incomplete markets, nominal rigidities, uncertain shocks, uncertainty shocks},
pages = {255--290},
file = {Bayer et al. - 2019 - Precautionary Savings, Illiquid Assets, and the Ag.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\9IE9JJ5L\\Bayer et al. - 2019 - Precautionary Savings, Illiquid Assets, and the Ag.pdf:application/pdf;ecta12425-sup-0001-onlineappendix.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\W7BH26D9\\ecta12425-sup-0001-onlineappendix.pdf:application/pdf},
}
@article{kaplan_microeconomic_2018,
title = {Microeconomic {Heterogeneity} and {Macroeconomic} {Shocks}},
volume = {32},
issn = {0895-3309},
url = {https://www.aeaweb.org/articles?id=10.1257/jep.32.3.167},
doi = {10.1257/jep.32.3.167},
language = {en},
number = {3},
urldate = {2019-03-20},
journal = {Journal of Economic Perspectives},
author = {Kaplan, Greg and Violante, Giovanni L.},
month = aug,
year = {2018},
keywords = {Macroeconomics: Consumption, Saving, Wealth, Keynesian, Stabilization, Cycles, Consumer Economics: Theory, General Aggregative Models: Keynes, Cycles, Comparative or Joint Analysis of Fiscal and Monetary Policy, Post-Keynesian, Macroeconomics: Consumption, Treasury Policy, Financial Crises, Wealth, Macroeconomics: Production, Business Fluctuations, Consumer Economics: Theory, Macroeconomics: Production, Business Fluct, Comparative or Joint Analysis of Fiscal an, Financial Crises, General Aggregative Mo, Post-Keynesian, Treasury Policy},
pages = {167--194},
file = {Kaplan and Violante - 2018 - Microeconomic Heterogeneity and Macroeconomic Shoc.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\3ZNDH9AA\\Kaplan and Violante - 2018 - Microeconomic Heterogeneity and Macroeconomic Shoc.pdf:application/pdf},
}
@article{kaplan_monetary_2018,
title = {Monetary {Policy} {According} to {HANK}},
volume = {108},
number = {3},
journal = {American Economic Review},
author = {Kaplan, Greg and Moll, Benjamin and Violante, Giovanni L.},
month = mar,
year = {2018},
keywords = {Aggregate Human Capital, Intergenerational Income Distribution, Saving, Unemployment, Wages, Keynesian, Post-Keynesian, Macroeconomics: Consumption, Wealth, Employment, Aggregate Labor Productivity, Interest Rates: Determination, Term Structure, and Effects, Monetary Policy, Fiscal Policy, Personal Income, Wealth, and Their Distributions, General Aggregative Models: Keynes},
pages = {697--743},
file = {Kaplan et al. - 2018 - Monetary Policy According to HANK.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\899KWPBT\\Kaplan et al. - 2018 - Monetary Policy According to HANK.pdf:application/pdf},
}
@techreport{auclert_micro_2020,
type = {{NBER} {Working} {Paper} 26647},
title = {Micro {Jumps}, {Macro} {Humps}: {Monetary} {Policy} and {Business} {Cycles} in an {Estimated} {HANK} {Model}},
author = {Auclert, Adrien and Rognlie, Matthew and Straub, Ludwig},
year = {2020},
file = {Auclert et al. - 2020 - Micro Jumps, Macro Humps Monetary Policy and Busi.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\XMEGGBNY\\Auclert et al. - 2020 - Micro Jumps, Macro Humps Monetary Policy and Busi.pdf:application/pdf},
}
@article{broer_new_2020,
title = {The {New} {Keynesian} {Transmission} {Mechanism}: {A} {Heterogeneous}-{Agent} {Perspective}},
volume = {87},
issn = {0034-6527},
doi = {10.1093/RESTUD/RDY060},
number = {1},
journal = {The Review of Economic Studies},
author = {Broer, Tobias and Harbo Hansen, Niels-Jakob and Krusell, Per and Oberg, Erik},
month = jan,
year = {2020},
pages = {77--101},
file = {Broer et al. - 2020 - The New Keynesian Transmission Mechanism A Hetero.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\2ZCLBECD\\Broer et al. - 2020 - The New Keynesian Transmission Mechanism A Hetero.pdf:application/pdf},
}
@techreport{werning_incomplete_2015,
type = {{NBER} {Working} {Paper} 21448},
title = {Incomplete {Markets} and {Aggregate} {Demand}},
author = {Werning, Iván},
month = aug,
year = {2015},
doi = {10.3386/w21448},
file = {Werning - 2015 - Incomplete Markets and Aggregate Demand.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\3ZE4NHKZ\\Werning - 2015 - Incomplete Markets and Aggregate Demand.pdf:application/pdf},
}
@article{auclert_using_2021,
title = {Using the {Sequence}-{Space} {Jacobian} to {Solve} and {Estimate} {Heterogeneous}-{Agent} {Models}},
volume = {89},
issn = {1468-0262},
url = {https://onlinelibrary.wiley.com/doi/abs/10.3982/ECTA17434},
doi = {10.3982/ECTA17434},
abstract = {We propose a general and highly efficient method for solving and estimating general equilibrium heterogeneous-agent models with aggregate shocks in discrete time. Our approach relies on the rapid computation of sequence-space Jacobians—the derivatives of perfect-foresight equilibrium mappings between aggregate sequences around the steady state. Our main contribution is a fast algorithm for calculating Jacobians for a large class of heterogeneous-agent problems. We combine this algorithm with a systematic approach to composing and inverting Jacobians to solve for general equilibrium impulse responses. We obtain a rapid procedure for likelihood-based estimation and computation of nonlinear perfect-foresight transitions. We apply our methods to three canonical heterogeneous-agent models: a neoclassical model, a New Keynesian model with one asset, and a New Keynesian model with two assets.},
language = {en},
number = {5},
urldate = {2022-01-26},
journal = {Econometrica},
author = {Auclert, Adrien and Bardóczy, Bence and Rognlie, Matthew and Straub, Ludwig},
year = {2021},
keywords = {Computational methods, heterogeneous agents, general equilibrium, linearization},
pages = {2375--2408},
file = {Auclert et al. - 2021 - Using the Sequence-Space Jacobian to Solve and Est.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\FKV9IG3M\\Auclert et al. - 2021 - Using the Sequence-Space Jacobian to Solve and Est.pdf:application/pdf;ecta200326-sup-0001-onlineappendix.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\CNDEWT3M\\ecta200326-sup-0001-onlineappendix.pdf:application/pdf},
}
@article{heathcote_quantitative_2009,
title = {Quantitative {Macroeconomics} with {Heterogeneous} {Households}},
volume = {1},
number = {1},
journal = {Annual Review of Economics},
author = {Heathcote, Jonathan and Storesletten, Kjetil and Violante, Giovanni L.},
month = sep,
year = {2009},
keywords = {\_tablet},
pages = {319--354},
file = {Heathcote et al. - 2009 - Quantitative Macroeconomics with Heterogeneous Hou.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\EJ5ZR4ZQ\\Heathcote et al. - 2009 - Quantitative Macroeconomics with Heterogeneous Hou.pdf:application/pdf},
}
@article{aiyagari_uninsured_1994,
title = {Uninsured {Idiosyncratic} {Risk} and {Aggregate} {Saving}},
volume = {109},
issn = {0033-5533},
doi = {10.2307/2118417},
abstract = {JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact support@jstor.org. We present a qualitative and quantitative analysis of the standard growth model modified to include precautionary saving motives and liquidity constraints. We address the impact on the aggregate saving rate, the importance of asset trading to individuals, and the relative inequality of wealth and income distributions.},
number = {3},
journal = {The Quarterly Journal of Economics},
author = {Aiyagari, S. R.},
month = aug,
year = {1994},
pages = {659--684},
file = {Aiyagari - 1994 - Uninsured Idiosyncratic Risk and Aggregate Saving.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\4DA4CXCH\\Aiyagari - 1994 - Uninsured Idiosyncratic Risk and Aggregate Saving.pdf:application/pdf},
}
@techreport{kirkby_transition_2017,
type = {Working {Paper}},
title = {Transition paths for {Bewley}-{Huggett}-{Aiyagari} models: {Comparison} of some solution algorithms},
author = {Kirkby, Robert},
year = {2017},
file = {Kirkby - 2017 - Transition paths for Bewley-Huggett-Aiyagari model.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\NQJTHRM2\\Kirkby - 2017 - Transition paths for Bewley-Huggett-Aiyagari model.pdf:application/pdf},
}
@article{carroll_sticky_2020,
title = {Sticky {Expectations} and {Consumption} {Dynamics}},
volume = {12},
issn = {1945-7707},
url = {https://www.aeaweb.org/articles?id=10.1257/mac.20180286},
doi = {10.1257/mac.20180286},
abstract = {To match aggregate consumption dynamics, macroeconomic models must generate "excess smoothness" in consumption expenditures. But microfounded models are calibrated to match micro data, which exhibit no "excess smoothness." So standard microfounded models fail to match the macro smoothness facts. We show that the micro and macro evidence are both consistent with a microfounded model where consumers know their personal circumstances but have "sticky expectations" about the macroeconomy. Aggregate consumption sluggishness reflects consumers' imperfect attention to aggregate shocks. Our proposed degree of inattention has negligible utility costs because aggregate shocks constitute a tiny proportion of the uncertainty that consumers face.},
language = {en},
number = {3},
urldate = {2022-04-29},
journal = {American Economic Journal: Macroeconomics},
author = {Carroll, Christopher D. and Crawley, Edmund and Slacalek, Jiri and Tokuoka, Kiichi and White, Matthew N.},
month = jul,
year = {2020},
keywords = {Aggregate Human Capital, Intergenerational Income Distribution, Saving, Unemployment, Wages, Belief, Communication, Information and Knowledge, Learning, Unawareness, Expectations, Search, Aggregate Labor Productivity, Speculations, Macroeconomics: Consumption, Wealth, Macroeconomics: Production, Employment},
pages = {40--76},
file = {Carroll et al. - 2020 - Sticky Expectations and Consumption Dynamics.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\7B6YI2EA\\Carroll et al. - 2020 - Sticky Expectations and Consumption Dynamics.pdf:application/pdf},
}
@article{kaplan_model_2014,
title = {A {Model} of the {Consumption} {Response} to {Fiscal} {Stimulus} {Payments}},
volume = {82},
issn = {1468-0262},
url = {https://onlinelibrary.wiley.com/doi/abs/10.3982/ECTA10528},
doi = {10.3982/ECTA10528},
abstract = {A wide body of empirical evidence finds that approximately 25 percent of fiscal stimulus payments (e.g., tax rebates) are spent on nondurable household consumption in the quarter that they are received. To interpret this fact, we develop a structural economic model where households can hold two assets: a low-return liquid asset (e.g., cash, checking account) and a high-return illiquid asset that carries a transaction cost (e.g., housing, retirement account). The optimal life-cycle pattern of portfolio choice implies that many households in the model are “wealthy hand-to-mouth”: they hold little or no liquid wealth despite owning sizable quantities of illiquid assets. Therefore, they display large propensities to consume out of additional transitory income, and small propensities to consume out of news about future income. We document the existence of such households in data from the Survey of Consumer Finances. A version of the model parameterized to the 2001 tax rebate episode yields consumption responses to fiscal stimulus payments that are in line with the evidence, and an order of magnitude larger than in the standard “one-asset” framework. The model's nonlinearities with respect to the rebate size and the prevailing aggregate economic conditions have implications for policy design.},
language = {en},
number = {4},
urldate = {2022-08-26},
journal = {Econometrica},
author = {Kaplan, Greg and Violante, Giovanni L.},
year = {2014},
keywords = {Consumption, liquidity, fiscal stimulus payments, hand-to-mouth},
pages = {1199--1239},
file = {Kaplan and Violante - 2014 - A Model of the Consumption Response to Fiscal Stim.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\Z5WTZ9WH\\Kaplan and Violante - 2014 - A Model of the Consumption Response to Fiscal Stim.pdf:application/pdf},
}
@article{hubmer_sources_2021,
title = {Sources of {US} {Wealth} {Inequality}: {Past}, {Present}, and {Future}},
volume = {35},
issn = {0889-3365},
shorttitle = {Sources of {US} {Wealth} {Inequality}},
url = {https://www.journals.uchicago.edu/doi/full/10.1086/712332},
doi = {10.1086/712332},
urldate = {2022-08-26},
journal = {NBER Macroeconomics Annual},
author = {Hubmer, Joachim and Krusell, Per and Smith., Anthony A.},
month = may,
year = {2021},
note = {Publisher: The University of Chicago Press},
pages = {391--455},
file = {Hubmer et al. - 2021 - Sources of US Wealth Inequality Past, Present, an.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\M87DQHMR\\Hubmer et al. - 2021 - Sources of US Wealth Inequality Past, Present, an.pdf:application/pdf},
}
@article{sommer_implications_2018,
title = {Implications of {US} {Tax} {Policy} for {House} {Prices}, {Rents}, and {Homeownership}},
volume = {108},
issn = {0002-8282},
url = {https://pubs.aeaweb.org/doi/10.1257/aer.20141751},
doi = {10.1257/aer.20141751},
language = {en},
number = {2},
urldate = {2020-03-16},
journal = {American Economic Review},
author = {Sommer, Kamila and Sullivan, Paul},
month = feb,
year = {2018},
pages = {241--274},
file = {Sommer and Sullivan - 2018 - Implications of US Tax Policy for House Prices, Re.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\I443ALRK\\Sommer and Sullivan - 2018 - Implications of US Tax Policy for House Prices, Re.pdf:application/pdf},
}
@techreport{attanasio_temptation_2020,
type = {Working {Paper}},
title = {Temptation and {Commitment}: {Understanding} {Hand}-to-{Mouth} {Behavior}},
copyright = {Creative Commons Attribution-NoDerivatives, Open Access},
abstract = {This paper presents a model of consumption behavior that explains the presence of ‘wealthy hand-to-mouth’ consumers using a mechanism that differs from those analyzed previously. We show that a two-asset model with temptation preferences generates a demand for commitment and thus illiquidity, leading to hand-to-mouth behavior even when liquid assets deliver higher returns than illiquid assets. This model fits other features of the data, such as the fact that the Marginal Propensity to Consume declines only slowly with shock size. Moreover, temptation and commitment have important policy implications: we show that housing subsidies and mandatory mortgage amortization increase household savings.},
author = {Attanasio, Orazio and Kovacs, Agnes and Moran, Patrick},
year = {2020},
keywords = {Advanced Research Computing, HPC, University of Oxford},
file = {Attanasio et al. - 2020 - Temptation and Commitment Understanding Hand-to-M.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\RYW2SIL4\\Attanasio et al. - 2020 - Temptation and Commitment Understanding Hand-to-M.pdf:application/pdf},
}
@article{harmenberg_consumption_2021,
title = {Consumption dynamics under time-varying unemployment risk},
volume = {118},
issn = {0304-3932},
url = {https://www.sciencedirect.com/science/article/pii/S030439322030129X},
doi = {10.1016/j.jmoneco.2020.10.004},
abstract = {In response to an adverse labor-market shock, a calibrated heterogeneous-agent model predicts that aggregate spending on durable goods falls mainly due to the ex-ante increase in income uncertainty caused by higher unemployment risk. In contrast, aggregate spending on nondurable goods falls mainly due to the ex-post income losses associated with realized unemployment spells. When households hold little liquid assets, the nondurable spending response is amplified, whereas the durable spending response is dampened. These differences stem from micro-level adjustment frictions involved in purchases of durable goods. The model is corroborated with evidence from micro survey data.},
language = {en},
urldate = {2022-08-26},
journal = {Journal of Monetary Economics},
author = {Harmenberg, Karl and Oberg, Erik},
month = mar,
year = {2021},
keywords = {Consumption, Durables, Adjustment costs, Precautionary savings, Real options, Wait-and-see effect},
pages = {350--365},
file = {Harmenberg and Oberg - 2021 - Consumption dynamics under time-varying unemployme.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\HN6DQHR7\\Harmenberg and Oberg - 2021 - Consumption dynamics under time-varying unemployme.pdf:application/pdf},
}
@article{young_solving_2010,
series = {Computational {Suite} of {Models} with {Heterogeneous} {Agents}: {Incomplete} {Markets} and {Aggregate} {Uncertainty}},
title = {Solving the incomplete markets model with aggregate uncertainty using the {Krusell}-{Smith} algorithm and non-stochastic simulations},
volume = {34},
issn = {0165-1889},
url = {https://www.sciencedirect.com/science/article/pii/S0165188909001316},
doi = {10.1016/j.jedc.2008.11.010},
abstract = {This article describes the approach to computing the version of the stochastic growth model with idiosyncratic and aggregate risk that relies on collapsing the aggregate state space down to a small number of moments used to forecast future prices. One innovation relative to most of the literature is the use of a non-stochastic simulation routine.},
language = {en},
number = {1},
urldate = {2022-02-23},
journal = {Journal of Economic Dynamics and Control},
author = {Young, Eric R.},
month = jan,
year = {2010},
keywords = {Idiosyncratic risk, Business cycles, Numerical methods},
pages = {36--41},
file = {Young - 2010 - Solving the incomplete markets model with aggregat.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\QH3MPCMA\\Young - 2010 - Solving the incomplete markets model with aggregat.pdf:application/pdf},
}
@article{tan_fast_2020,
title = {A fast and low computational memory algorithm for non-stochastic simulations in heterogeneous agent models},
volume = {193},
issn = {0165-1765},
url = {http://www.sciencedirect.com/science/article/pii/S0165176520301907},
doi = {10.1016/j.econlet.2020.109285},
abstract = {Heterogeneous agent models in macroeconomics generally require numerical computation of the cross-sectional distribution of agents. The standard textbook approach is to fully approximate the Markov kernel that iterates the distribution forward in time as a Markov transition matrix, which can be costly in terms of computational time and memory when the state space is large. This note provides an alternative algorithm that is simple, requires much less computational memory, and is substantially faster than the standard algorithm.},
language = {en},
urldate = {2020-06-12},
journal = {Economics Letters},
author = {Tan, Eugene},
month = aug,
year = {2020},
keywords = {Heterogeneous agent models, Non-stochastic simulation, Numerical methods},
pages = {109285},
file = {Tan - 2020 - A fast and low computational memory algorithm for .pdf:C\:\\Users\\gmf123\\Zotero\\storage\\GAUAR3ZM\\Tan - 2020 - A fast and low computational memory algorithm for .pdf:application/pdf},
}
@techreport{guvenen_macroeconomics_2011,
type = {{NBER} {Working} {Paper} 17622},
title = {Macroeconomics {With} {Heterogeneity}: {A} {Practical} {Guide}},
urldate = {2020-03-09},
author = {Guvenen, Fatih},
year = {2011},
doi = {10.3386/w17622},
file = {Guvenen - 2011 - Macroeconomics With Heterogeneity A Practical Gui.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\XABZ2AVU\\Guvenen - 2011 - Macroeconomics With Heterogeneity A Practical Gui.pdf:application/pdf},
}
@techreport{ocampo_computing_2022,
type = {Working {Paper}},
title = {Computing {Longitudinal} {Moments} for {Heterogeneous} {Agent} {Models}},
author = {Ocampo, Sergio and Robinson, Baxter},
year = {2022},
file = {Ocampo and Robinson - 2022 - Computing Longitudinal Moments for Heterogeneous A.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\IZR5NHS4\\Ocampo and Robinson - 2022 - Computing Longitudinal Moments for Heterogeneous A.pdf:application/pdf},
}
@techreport{fagereng_asset-price_2022,
type = {Working {Paper}},
title = {Asset-{Price} {Redistribution}},
author = {Fagereng, Andreas and Gomez, Matthieu and Holm, Martin and Moll, Benjamin and Natvik, Gisle},
year = {2022},
file = {Fagereng et al. - Asset-Price Redistribution.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\URFU5J8C\\Fagereng et al. - Asset-Price Redistribution.pdf:application/pdf},
}
@article{huggett_wealth_1996,
title = {Wealth distribution in life-cycle economies},
volume = {38},
issn = {03043932},
url = {https://linkinghub.elsevier.com/retrieve/pii/S0304393296012913},
doi = {10.1016/S0304-3932(96)01291-3},
abstract = {This paper compares the age wealth distribution produced in life-cycle economies to the corresponding distribution in the US economy. The idea is to calibrate the model economies to match features of the US earnings distribution and then examine the wealth distribution implications of the model economies. The findings are that the calibrated model economies with earnings and lifetime uncertainty can replicate measures of both aggregate wealth and transfer wealth in the US. Furthermore, the model economies produce the US wealth Gini and a significant fraction of the wealth inequality within age groups. However, the model economies produce less than half the fraction of wealth held by the top 1 percent of US households.},
language = {en},
number = {3},
urldate = {2022-10-05},
journal = {Journal of Monetary Economics},
author = {Huggett, Mark},
month = dec,
year = {1996},
pages = {469--494},
file = {Huggett - 1996 - Wealth distribution in life-cycle economies.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\526SMDPU\\Huggett - 1996 - Wealth distribution in life-cycle economies.pdf:application/pdf},
}
@article{de_nardi_saving_2017,
title = {Saving and wealth inequality},
volume = {26},
issn = {10942025},
url = {https://linkinghub.elsevier.com/retrieve/pii/S1094202517300546},
doi = {10.1016/j.red.2017.06.002},
language = {en},
urldate = {2022-10-05},
journal = {Review of Economic Dynamics},
author = {De Nardi, Mariacristina and Fella, Giulio},
month = oct,
year = {2017},
pages = {280--300},
file = {De Nardi and Fella - 2017 - Saving and wealth inequality.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\7CKESKLK\\De Nardi and Fella - 2017 - Saving and wealth inequality.pdf:application/pdf},
}
@techreport{azinovic_deep_2022,
type = {forthcoming in {International} {Economic} {Review}},
title = {Deep {Equilibrium} {Nets}},
language = {en},
author = {Azinovic, Marlon and Gaegauf, Luca and Scheidegger, Simon},
year = {2022},
keywords = {computational economics, deep learning, deep neural networks, global solution method, life-cycle, occasionally binding constraints, overlapping generations},
file = {Azinovic et al. - 2022 - Deep Equilibrium Nets.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\LVWAJ9W9\\Azinovic et al. - 2022 - Deep Equilibrium Nets.pdf:application/pdf},
}
@techreport{auclert_demographics_2021,
type = {Working {Paper}},
title = {Demographics, {Wealth}, and {Global} {Imbalances} in the {Twenty}-{First} {Century}},
abstract = {We use a sufficient statistic approach to quantify the general equilibrium effects of population aging on wealth accumulation, expected asset returns, and global imbalances. Combining population forecasts with household survey data from 25 countries, we measure the compositional effect of aging: how a changing age distribution affects wealth-to-GDP, holding the age profiles of assets and labor income fixed. In a baseline overlapping generations model this statistic, in conjunction with crosssectional information and two standard macro parameters, pins down general equilibrium outcomes. Since the compositional effect is positive, large, and heterogeneous across countries, our model predicts that population aging will increase wealth-toGDP ratios, lower asset returns, and widen global imbalances through the twenty-first century. These conclusions extend to a richer model in which bequests, individual savings, and the tax-and-transfer system all respond to demographic change.},
language = {en},
urldate = {2021-08-23},
author = {Auclert, Adrien and Malmberg, Hannes and Martenet, Frederic and Rognlie, Matthew},
year = {2021},
file = {Auclert et al. - 2021 - Demographics, Wealth, and Global Imbalances in the.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\9LGAEDZM\\Auclert et al. - 2021 - Demographics, Wealth, and Global Imbalances in the.pdf:application/pdf},
}
@techreport{auclert_exchange_2021,
type = {{NBER} {Working} {Paper} 28872},
title = {Exchange {Rates} and {Monetary} {Policy} with {Heterogeneous} {Agents}: {Sizing} up the {Real} {Income} {Channel}},
author = {Auclert, Adrien and Rognlie, Matthew and Souchier, Martin and Straub, Ludwig},
year = {2021},
file = {Auclert et al. - 2021 - Exchange Rates and Monetary Policy with Heterogene.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\2YP8S5CG\\Auclert et al. - 2021 - Exchange Rates and Monetary Policy with Heterogene.pdf:application/pdf},
}
@article{den_haan_unemployment_2018,
title = {Unemployment ({Fears}) and {Deflationary} {Spirals}},
volume = {16},
issn = {1542-4766},
url = {https://academic.oup.com/jeea/article/16/5/1281/4653491},
doi = {10.1093/JEEA/JVX040},
number = {5},
journal = {Journal of the European Economic Association},
author = {Den Haan, Wouter J and Rendahl, Pontus and Riegler, Markus},
month = oct,
year = {2018},
pages = {1281--1349},
file = {Den Haan et al. - 2018 - Unemployment (Fears) and Deflationary Spirals.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\DI8VG8NH\\Den Haan et al. - 2018 - Unemployment (Fears) and Deflationary Spirals.pdf:application/pdf},
}
@techreport{kase_estimating_2022,
type = {Federal {Reserve} {Bank} of {Chicago}, {WP} 2022-26},
title = {Estimating {Nonlinear} {Heterogeneous} {Agents} {Models} with {Neural} {Networks}},
language = {en},
author = {Kase, Hanno and Melosi, Leonardo and Rottner, Matthias},
year = {2022},
file = {Kase et al. - Estimating Nonlinear Heterogeneous Agents Models w.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\D9F3L5H8\\Kase et al. - Estimating Nonlinear Heterogeneous Agents Models w.pdf:application/pdf},
}
@article{maliar_deep_2021,
title = {Deep learning for solving dynamic economic models.},
volume = {122},
issn = {03043932},
url = {https://linkinghub.elsevier.com/retrieve/pii/S0304393221000799},
doi = {10.1016/j.jmoneco.2021.07.004},
abstract = {We introduce a unified deep learning method that solves dynamic economic models by casting them into nonlinear regression equations. We derive such equations for three fundamental objects of economic dynamics – lifetime reward functions, Bellman equations and Euler equations. We estimate the decision functions on simulated data using a stochastic gradient descent method. We introduce an all-in-one integration operator that facilitates approximation of high-dimensional integrals. We use neural networks to perform model reduction and to handle multicollinearity. Our deep learning method is tractable in large-scale problems, e.g., Krusell and Smith (1998). We provide a TensorFlow code that accommodates a variety of applications.},
language = {en},
urldate = {2022-02-21},
journal = {Journal of Monetary Economics},
author = {Maliar, Lilia and Maliar, Serguei and Winant, Pablo},
month = sep,
year = {2021},
pages = {76--101},
file = {Maliar et al. - 2021 - Deep learning for solving dynamic economic models..pdf:C\:\\Users\\gmf123\\Zotero\\storage\\ZL9I6UGK\\Maliar et al. - 2021 - Deep learning for solving dynamic economic models..pdf:application/pdf},
}
@incollection{algan_chapter_2014,
series = {Handbook of {Computational} {Economics} {Vol}. 3},
title = {Chapter 6 - {Solving} and {Simulating} {Models} with {Heterogeneous} {Agents} and {Aggregate} {Uncertainty}},
volume = {3},
url = {https://www.sciencedirect.com/science/article/pii/B9780444529800000062},
abstract = {Although almost nonexistent 15years ago, there are now numerous papers that analyze models with both aggregate uncertainty and a large number—typically a continuum—of heterogeneous agents. These models make it possible to study whether macroeconomic fluctuations affect different agents differently and whether heterogeneity in turn affects macroeconomic fluctuations. This chapter reviews different algorithms to solve and simulate these models. In addition, it highlights problems with popular accuracy tests and discusses more powerful alternatives.},
language = {en},
urldate = {2022-04-07},
booktitle = {Handbook of {Computational} {Economics}},
publisher = {Elsevier},
author = {Algan, Yann and Allais, Olivier and Den Haan, Wouter J. and Rendahl, Pontus},
editor = {Schmedders, Karl and Judd, Kenneth L.},
month = jan,
year = {2014},
doi = {10.1016/B978-0-444-52980-0.00006-2},
keywords = {Incomplete markets, Numerical solutions, Perturbation methods, Projection methods, Accuracy tests, Parameterized densities},
pages = {277--324},
file = {Algan et al. - 2014 - Chapter 6 - Solving and Simulating Models with Het.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\LKWXG9XI\\Algan et al. - 2014 - Chapter 6 - Solving and Simulating Models with Het.pdf:application/pdf},
}
@article{krusell_income_1998,
title = {Income and wealth heterogeneity in the macroeconomy},
volume = {106},
number = {5},
journal = {Journal of Political Economy},
author = {Krusell, Per and Smith, Anthony A.},
year = {1998},
keywords = {\_tablet},
pages = {867--896},
file = {Krusell and Smith - 1998 - Income and wealth heterogeneity in the macroeconom.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\NCRX4NRF\\Krusell and Smith - 1998 - Income and wealth heterogeneity in the macroeconom.pdf:application/pdf},
}
@article{mckay_role_2016,
title = {The {Role} of {Automatic} {Stabilizers} in the {U}.{S}. {Business} {Cycle}},
volume = {84},
number = {1},
journal = {Econometrica},
author = {McKay, Alisdair and Reis, Ricardo},
month = jan,
year = {2016},
keywords = {Heterogeneous agents, Countercyclical fiscal policy, fiscal multipliers},
pages = {141--194},
file = {McKay and Reis - 2016 - The Role of Automatic Stabilizers in the U.S. Busi.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\U5P8CYXG\\McKay and Reis - 2016 - The Role of Automatic Stabilizers in the U.S. Busi.pdf:application/pdf},
}
@article{ravn_macroeconomic_2021,
title = {Macroeconomic {Fluctuations} with {HANK} \& {SAM}: an {Analytical} {Approach}},
volume = {19},
issn = {1542-4766},
shorttitle = {Macroeconomic {Fluctuations} with {HANK} \& {SAM}},
url = {https://doi.org/10.1093/jeea/jvaa028},
doi = {10.1093/jeea/jvaa028},
abstract = {Recently developed HANK models, which combine Heterogeneous Agents and New Keynesian frictions, have had a considerable impact on macroeconomics. However, due to the complexity of such models, the literature has focused on numerically solved models and therefore little is known about their general properties. This paper presents a tractable HANK model that integrates Search and Matching (SAM) frictions in the labor market. The model features an endogenous idiosyncratic earnings risk, which may be procyclical or countercyclical. When this risk is countercyclical, which we argue is the empirically plausible case, there is a downward pressure on real interest rates in recessions due to a precautionary savings motive. We show that in this setting (a) the economy may get stuck in a high-unemployment steady state, (b) the Taylor principle is insufficient to eliminate the local indeterminacy of the intended steady state, and (c) nominal rigidities and inincomplete markets are complementary in terms of amplifying the impact of shocks on the macroeconomy.},
number = {2},
urldate = {2021-09-22},
journal = {Journal of the European Economic Association},
author = {Ravn, Morten O and Sterk, Vincent},
month = apr,
year = {2021},
pages = {1162--1202},
file = {Ravn and Sterk - 2021 - Macroeconomic Fluctuations with HANK & SAM an Ana.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\3MXDCC58\\Ravn and Sterk - 2021 - Macroeconomic Fluctuations with HANK & SAM an Ana.pdf:application/pdf},
}
@techreport{druedahl_transmission_2022,
type = {Working {Paper}},
title = {The {Transmission} of {Foreign} {Demand} {Shocks}},
author = {Druedahl, Jeppe and Ravn, Søren Hove and Sunder-Plassmann, Laura and Sundram, Jacob Marott and Waldstrøm, Nicolai},
year = {2022},
file = {Druedahl et al. - 2022 - The Transmission of Foreign Demand Shocks.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\MDANSTU2\\Druedahl et al. - 2022 - The Transmission of Foreign Demand Shocks.pdf:application/pdf},
}
@article{violante_what_2021,
title = {What have we learned from {HANK} models, thus far?},
language = {en},
journal = {Proceedings of the ECB Forum on Central Banking 2021},
author = {Violante, Giovanni L},
year = {2021},
file = {Violante - 2021 - What have we learned from HANK models, thus far.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\96L6GPKR\\Violante - 2021 - What have we learned from HANK models, thus far.pdf:application/pdf},
}
@article{mian_indebted_2021,
title = {Indebted {Demand}},
volume = {136},
issn = {0033-5533},
url = {https://doi.org/10.1093/qje/qjab007},
doi = {10.1093/qje/qjab007},
abstract = {We propose a theory of indebted demand, capturing the idea that large debt burdens lower aggregate demand, and thus the natural rate of interest. At the core of the theory is the simple yet underappreciated observation that borrowers and savers differ in their marginal propensities to save out of permanent income. Embedding this insight in a two-agent perpetual-youth model, we find that recent trends in income inequality and financial deregulation lead to indebted household demand, pushing down the natural rate of interest. Moreover, popular expansionary policies—such as accommodative monetary policy—generate a debt-financed short-run boom at the expense of indebted demand in the future. When demand is sufficiently indebted, the economy gets stuck in a debt-driven liquidity trap, or debt trap. Escaping a debt trap requires consideration of less conventional macroeconomic policies, such as those focused on redistribution or those reducing the structural sources of high inequality.},
number = {4},
urldate = {2022-10-26},
journal = {The Quarterly Journal of Economics},
author = {Mian, Atif and Straub, Ludwig and Sufi, Amir},
month = nov,
year = {2021},
pages = {2243--2307},
file = {Mian et al. - 2021 - Indebted Demand.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\4ZNTMA8I\\Mian et al. - 2021 - Indebted Demand.pdf:application/pdf},
}
@article{boppart_exploiting_2018,
series = {Fed {St}. {Louis}-{JEDC}-{SCG}-{SNB}-{UniBern} {Conference}, titled: “{Fiscal} and {Monetary} {Policies}”.},
title = {Exploiting {MIT} shocks in heterogeneous-agent economies: the impulse response as a numerical derivative},
volume = {89},
issn = {0165-1889},
shorttitle = {Exploiting {MIT} shocks in heterogeneous-agent economies},
url = {http://www.sciencedirect.com/science/article/pii/S0165188918300022},
doi = {10.1016/j.jedc.2018.01.002},
urldate = {2018-10-19},
journal = {Journal of Economic Dynamics and Control},
author = {Boppart, Timo and Krusell, Per and Mitman, Kurt},
month = apr,
year = {2018},
keywords = {Heterogeneous agents, Computation, Linearization, MIT Shock},
pages = {68--92},
file = {Boppart et al. - 2018 - Exploiting MIT shocks in heterogeneous-agent econo.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\WGYPD9NK\\Boppart et al. - 2018 - Exploiting MIT shocks in heterogeneous-agent econo.pdf:application/pdf},
}
@techreport{druedahl_documentation_2023,
title = {Documentation for {GEModelTools}},
author = {Druedahl, Jeppe},
year = {2023},
}
@article{druedahl_guide_2021,
title = {A {Guide} on {Solving} {Non}-{Convex} {Consumption}-{Saving} {Models}},
volume = {58},
number = {3},
journal = {Computational Economics},
author = {Druedahl, Jeppe},
month = oct,
year = {2021},
pages = {747--775},
file = {Druedahl - 2021 - A Guide on Solving Non-convex Consumption-Saving M.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\6UBG3V7J\\Druedahl - 2021 - A Guide on Solving Non-convex Consumption-Saving M.pdf:application/pdf},
}
@article{carroll_method_2006,
title = {The {Method} of {Endogenous} {Gridpoints} for {Solving} {Dynamic} {Stochastic} {Optimization} {Problems}},
volume = {91},
number = {3},
journal = {Economics Letters},
author = {Carroll, Christopher D.},
month = jun,
year = {2006},
keywords = {\_tablet},
pages = {312--320},
file = {Carroll - 2006 - The method of endogenous gridpoints for solving dy.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\H4V7W78V\\Carroll - 2006 - The method of endogenous gridpoints for solving dy.pdf:application/pdf},
}
@article{deaton_saving_1991,
title = {Saving and liquidity constraints},
volume = {59},
number = {5},
journal = {Econometrica},
author = {Deaton, A},
year = {1991},
keywords = {\_tablet},
pages = {1221--1248},
file = {Deaton - 1991 - Saving and liquidity constraints.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\Y6AKZUL6\\Deaton - 1991 - Saving and liquidity constraints.pdf:application/pdf},
}
@article{carroll_buffer-stock_1992,
title = {The buffer-stock theory of saving: {Some} macroeconomic evidence},
volume = {2},
journal = {Brookings Papers on Economic Activity},
author = {Carroll, Christopher D.},
year = {1992},
keywords = {\_tablet},
pages = {61--156},
file = {Carroll - 1992 - The buffer-stock theory of saving Some macroecono.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\SAKF33YZ\\Carroll - 1992 - The buffer-stock theory of saving Some macroecono.pdf:application/pdf},
}
@article{carroll_buffer-stock_1997,
title = {Buffer-{Stock} {Saving} and the {Life} {Cycle}/{Permanent} {Income} {Hypothesis}},
volume = {112},
number = {1},
journal = {The Quarterly Journal of Economics},
author = {Carroll, Christopher D.},
year = {1997},
pages = {1--55},
file = {Carroll - 1997 - Buffer-Stock Saving and the Life CyclePermanent I.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\AQ38H75B\\Carroll - 1997 - Buffer-Stock Saving and the Life CyclePermanent I.pdf:application/pdf},
}
@incollection{modigliani_utility_1954,
title = {Utility {Analysis} and the {Consumptio} {Function}: {An} {Interpretation} of {Cross}-{Section} {Data}},
booktitle = {Post-{Keynesian} {Economics}},
publisher = {Rutgers University Press},
author = {Modigliani, Franco and Brumburg, R},
editor = {Kurihara, K and Brunswick, News},
year = {1954},
keywords = {Druedahl2012a, Consumption - General},
pages = {338--436},
}
@book{friedman_theory_1957,
title = {A theory of the consumption function},
publisher = {Princeton university Press for NBER},
author = {Friedman, Milton},
year = {1957},
keywords = {Druedahl2012a, Consumption - General},
}
@book{deaton_understanding_1992,
title = {Understanding {Consumption}},
publisher = {Oxford University Press},
author = {Deaton, Angus},
year = {1992},
keywords = {Business \& Economics / Economics / Theory, Business \& Economics / Economics / General, Business \& Economics / Consumer Behavior, Biography \& Autobiography / Literary, Fiction / General},
}
@misc{eslami_art_2023,
address = {Rochester, NY},
type = {{SSRN} {Scholarly} {Paper}},
title = {The {Art} of {Temporal} {Approximation} {An} {Investigation} into {Numerical} {Solutions} to {Discrete} and {Continuous}-{Time} {Problems} in {Economics}},
url = {https://papers.ssrn.com/abstract=4444262},
doi = {10.2139/ssrn.4444262},
abstract = {A recent literature within quantitative macroeconomics has advocated the use of continuous-time methods for dynamic programming problems. In this paper we explore the relative merits of continuous-time and discrete-time methods within the context of stationary and nonstationary income fluctuation problems. For stationary problems in two dimensions, the continuous-time approach is both more stable and typically faster than the discrete-time approach for any given level of accuracy. In contrast, for convex lifecycle problems (in which age or time enters explicitly), simply iterating backwards from the terminal date in discrete time is superior to any continuous-time algorithm. However, we also show that the continuous-time framework can easily incorporate nonconvexities and multiple controls—complications that often require either problem-specific ingenuity or nonlinear root-finding in the discrete-time context. In general, neither approach unequivocally dominates the other, making the choice of one over the other an art, rather than an exact science.Code can be found at https://github.com/tphelanECON/The\_Art\_of\_Temporal\_Approximation\_WP},
language = {en},
urldate = {2023-06-23},
author = {Eslami, Keyvan and Phelan, Thomas},
month = may,
year = {2023},
keywords = {Dynamic programming, Numerical methods, Income fluctuation problems, Markov Chain Approximation},
file = {Eslami and Phelan - 2023 - The Art of Temporal Approximation An Investigation.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\TIA9JKKZ\\Eslami and Phelan - 2023 - The Art of Temporal Approximation An Investigation.pdf:application/pdf},
}
@techreport{rendahl_continuous_2022,
type = {Working {Paper}},
title = {Continuous vs. {Discrete} {Time}: {Numerical} {Gains} from {Trade}},
author = {Rendahl, Pontus},
year = {2022},
file = {Rendahl - 2022 - Continuous vs. Discrete Time Numerical Gains from.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\U6FJJCJL\\Rendahl - 2022 - Continuous vs. Discrete Time Numerical Gains from.pdf:application/pdf},
}
@techreport{carroll_theoretical_2020,
type = {forthcoming in {Quantitative} {Economics}},
title = {Theoretical {Foundations} of {Buffer} {Stock} {Saving}},
author = {Carroll, Christopher D.},
year = {2020},
keywords = {\_tablet},
file = {Carroll - 2020 - Theoretical Foundations of Buffer Stock Saving.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\U5TVUYIQ\\Carroll - 2020 - Theoretical Foundations of Buffer Stock Saving.pdf:application/pdf},
}
@article{carroll_liquidity_2021,
title = {Liquidity constraints and precautionary saving},
volume = {195},
issn = {0022-0531},
url = {https://www.sciencedirect.com/science/article/pii/S0022053121000934},
doi = {10.1016/j.jet.2021.105276},
abstract = {We provide the analytical explanation of the interactions between precautionary saving and liquidity constraints. The effects of liquidity constraints and risks are similar because both stem from the same source: a concavification of the consumption function. Since a more concave consumption function exhibits heightened prudence, both constraints and risks strengthen the precautionary saving motive. In addition, we explain the apparently contradictory results that constraints and risks in some cases intensify, but in other cases weaken the precautionary saving motive. The central insight is that the effect of introducing an additional constraint or risk depends on whether it interacts with preexisting constraints or risks. If it does not interact with any preexisting constraints or risks, it intensifies the precautionary motive. If it does interact, it may reduce the precautionary motive in earlier periods at some levels of wealth.},
urldate = {2023-08-18},
journal = {Journal of Economic Theory},
author = {Carroll, Christopher D. and Holm, Martin B. and Kimball, Miles S.},
month = jul,
year = {2021},
keywords = {Liquidity constraints, Precautionary saving, Uncertainty},
pages = {105276},
file = {Carroll et al. - 2021 - Liquidity constraints and precautionary saving.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\H2VFG2UN\\Carroll et al. - 2021 - Liquidity constraints and precautionary saving.pdf:application/pdf},
}
@article{druedahl_general_2017,
title = {A general endogenous grid method for multi-dimensional models with non-convexities and constraints},
volume = {74},
issn = {0165-1889},
url = {https://www.sciencedirect.com/science/article/pii/S0165188916301920},
doi = {10.1016/j.jedc.2016.11.005},
language = {en},
urldate = {2022-03-01},
journal = {Journal of Economic Dynamics and Control},
author = {Druedahl, Jeppe and Jørgensen, Thomas Høgholm},
month = jan,
year = {2017},
keywords = {Occasionally binding constraints, Endogenous grid method, Continuous and discrete choices, Post-decision states, Stochastic dynamic programming},
pages = {87--107},
file = {Druedahl and Jørgensen - 2017 - A general endogenous grid method for multi-dimensi.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\WZA6CWNT\\Druedahl and Jørgensen - 2017 - A general endogenous grid method for multi-dimensi.pdf:application/pdf},
}
@article{druedahl_long-run_2022,
title = {Long-{Run} {Saving} {Dynamics}: {Evidence} from {Unexpected} {Inheritances}},
volume = {104},
issn = {0034-6535, 1530-9142},
shorttitle = {Long-{Run} {Saving} {Dynamics}},
url = {https://direct.mit.edu/rest/article/104/5/1079/97709/Long-Run-Saving-Dynamics-Evidence-from-Unexpected},
doi = {10.1162/rest_a_01004},
abstract = {We exploit inheritance episodes to provide novel causal evidence on the long-run effects of a large financial windfall on saving behavior. For identification, we combine a longitudinal panel of administrative wealth reports with variation in the timing of sudden, unexpected parental deaths. We show that after inheritance, net worth converges toward the path established before parental death, with only one-third of the initial windfall remaining after nine years. We interpret these findings through the lens of a generalized consumption-saving framework. To quantitatively replicate this behavior, life-cycle consumption models require impatient consumers and strong precautionary saving motives.},
language = {en},
number = {5},
urldate = {2022-12-20},
journal = {The Review of Economics and Statistics},
author = {Druedahl, Jeppe and Martinello, Alessandro},
month = sep,
year = {2022},
pages = {1079--1095},
file = {Druedahl and Martinello - 2022 - Long-Run Saving Dynamics Evidence from Unexpected.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\DTEFXYI7\\Druedahl and Martinello - 2022 - Long-Run Saving Dynamics Evidence from Unexpected.pdf:application/pdf},
}
@article{druedahl_persistent_2017,
title = {Persistent vs. {Permanent} {Income} {Shocks} in the {Buffer}-{Stock} {Model}},
volume = {17},
issn = {1935-1690, 2194-6116},
url = {https://www.degruyter.com/document/doi/10.1515/bejm-2016-0035/html},
doi = {10.1515/bejm-2016-0035},
language = {en},
number = {1},
urldate = {2022-03-01},
journal = {The B.E. Journal of Macroeconomics},
author = {Druedahl, Jeppe and Jørgensen, Thomas H.},
month = jan,
year = {2017},
file = {Druedahl and Jørgensen - 2017 - Persistent vs. Permanent Income Shocks in the Buff.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\2FNA2M4R\\Druedahl and Jørgensen - 2017 - Persistent vs. Permanent Income Shocks in the Buff.pdf:application/pdf;suppl_bejm-2016-0035_Suppl.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\JM7EA6WA\\suppl_bejm-2016-0035_Suppl.pdf:application/pdf},
}
@techreport{druedahl_intertemporal_2020,
type = {Working {Paper}},
title = {The {Intertemporal} {Marginal} {Propensity} to {Consume} out of {Future} {Persistent} {Cash}-{Flows}: {Evidence} {From} {Transaction} {Data}},
author = {Druedahl, Jeppe and Jensen, Emil Bjerre and Leth-Petersen, Søren},
year = {2020},
file = {Druedahl et al. - 2020 - The Intertemporal Marginal Propensity to Consume o.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\CVTBHYPY\\Druedahl et al. - 2020 - The Intertemporal Marginal Propensity to Consume o.pdf:application/pdf},
}
@article{iskhakov_endogenous_2017,
title = {The endogenous grid method for discrete-continuous dynamic choice models with (or without) taste shocks},
volume = {8},
number = {2},
journal = {Quantitative Economics},
author = {Iskhakov, Fedor and Jørgensen, Thomas H. and Rust, John and Schjerning, Bertel},
month = jul,
year = {2017},
keywords = {D91, Life-cycle model, C13, C63, Euler equation, structural estimation, Bellman equation, discrete and continuous choice, endogenous grid-point method, extreme value taste shocks, nested fixed point algorithm, retirement choice, smoothed max function},
pages = {317--365},
file = {Iskhakov et al. - 2015 - Estimating Discrete-Continuous Choice Models Endo.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\RW2GDFSY\\Iskhakov et al. - 2015 - Estimating Discrete-Continuous Choice Models Endo.pdf:application/pdf},
}
@article{gourinchas_consumption_2002,
title = {Consumption over the life cycle},
volume = {70},
number = {1},
journal = {Econometrica},
author = {Gourinchas, Pierre-Olivier and Parker, Jonathan A.},
year = {2002},
keywords = {\_tablet},
pages = {47--89},
file = {Gourinchas and Parker - 2002 - Consumption over the life cycle.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\YDI3QEMY\\Gourinchas and Parker - 2002 - Consumption over the life cycle.pdf:application/pdf},
}
@article{cagetti_wealth_2003,
title = {Wealth {Accumulation} {Over} the {Life} {Cycle} and {Precautionary} {Savings}},
volume = {21},
number = {3},
journal = {Journal of Business \& Economic Statistics},
author = {Cagetti, Marco},
month = jul,
year = {2003},
keywords = {\_tablet},
pages = {339--353},
file = {Cagetti - 2003 - Wealth Accumulation Over the Life Cycle and Precau.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\XQJ3VMCZ\\Cagetti - 2003 - Wealth Accumulation Over the Life Cycle and Precau.pdf:application/pdf},
}
@article{jorgensen_lifecycle_2017,
title = {Life‐{Cycle} {Consumption} and {Children}: {Evidence} from a {Structural} {Estimation}},
volume = {79},
issn = {1468-0084},
shorttitle = {Life‐{Cycle} {Consumption} and {Children}},
url = {http://onlinelibrary.wiley.com/doi/10.1111/obes.12170/abstract},
doi = {10.1111/obes.12170},
language = {en},
number = {5},
urldate = {2018-01-15},
journal = {Oxford Bulletin of Economics and Statistics},
author = {Jørgensen, Thomas H.},
month = oct,
year = {2017},
pages = {717--746},
file = {Jørgensen - 2017 - Life‐Cycle Consumption and Children Evidence from.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\VCNMQ6KV\\Jørgensen - 2017 - Life‐Cycle Consumption and Children Evidence from.pdf:application/pdf},
}
@article{kreiner_liquidity_2019,
title = {Liquidity {Constraint} {Tightness} and {Consumer} {Responses} to {Fiscal} {Stimulus} {Policy}},
volume = {11},
issn = {1945-7731},
url = {https://www.aeaweb.org/articles?id=10.1257/pol.20140313},
doi = {10.1257/pol.20140313},
language = {en},
number = {1},
urldate = {2019-02-15},
journal = {American Economic Journal: Economic Policy},
author = {Kreiner, Claus Thustrup and Dreyer Lassen, David and Leth-Petersen, Søren},
month = feb,
year = {2019},
keywords = {Saving, Household Saving, Life Cycle Models and Saving, Macroeconomics: Consumption, Personal Finance, Intertemporal Household Choice, Wealth, Interest Rates: Determination, Term Structure, and Effects, Fiscal Policy},
pages = {351--379},
file = {Kreiner et al. - 2019 - Liquidity Constraint Tightness and Consumer Respon.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\NRNIDXA3\\Kreiner et al. - 2019 - Liquidity Constraint Tightness and Consumer Respon.pdf:application/pdf},
}
@techreport{proehl_approximating_2019,
address = {Rochester, NY},
type = {{SSRN} {Scholarly} {Paper}},
title = {Approximating {Equilibria} with {Ex}-{Post} {Heterogeneity} and {Aggregate} {Risk}},
url = {https://papers.ssrn.com/abstract=2620937},
abstract = {Dynamic stochastic general equilibrium models with ex-post heterogeneity due to idiosyncratic risk have to be solved numerically. This is a nontrivial task as the cross-sectional distribution of endogenous variables becomes an element of the state space due to aggregate risk. Existing global solution methods often assume bounded rationality in terms of a parametric law of motion of aggregate variables in order to reduce dimensionality. I do not make this assumption and tackle dimensionality by polynomial chaos expansions, a projection technique for square-integrable random variables. This approach results in a nonparametric law of motion of aggregate variables. Moreover, I establish convergence of the proposed algorithm to the rational expectations equilibrium. Economically, I find that higher levels of idiosyncratic risk sharing lead to higher systemic risk, i.e., higher volatility within the ergodic state distribution, and second, heterogeneity leads to an amplification of aggregate risk for sufficiently high levels of risk sharing.},
language = {en},
number = {2620937},
urldate = {2022-06-07},
institution = {Social Science Research Network},
author = {Proehl, Elisabeth},
month = feb,
year = {2019},
doi = {10.2139/ssrn.2620937},
keywords = {Incomplete markets, Heterogeneous agents, Numerical solutions, Aggregate uncertainty, Convergence, Dynamic stochastic general equilibrium, Polynomial chaos},
file = {Proehl - 2019 - Approximating Equilibria with Ex-Post Heterogeneit.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\5PZE4BHA\\Proehl - 2019 - Approximating Equilibria with Ex-Post Heterogeneit.pdf:application/pdf},
}
@article{krusell_income_1997,
title = {Income and wealth heterogeneity, portfolio choice, and equilibrium asset returns},
volume = {1},
number = {02},
journal = {Macroeconomic Dynamics},
author = {Krusell, Per and Smith, Anthony A.},
year = {1997},
keywords = {Incomplete markets, Heterogeneity, Equity Premium, Market Price of Risk},
pages = {387--422},
file = {Krusell and Smith - 1997 - Income and wealth heterogeneity, portfolio choice,.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\EDX6IIFL\\Krusell and Smith - 1997 - Income and wealth heterogeneity, portfolio choice,.pdf:application/pdf},
}
@article{winberry_method_2018,
title = {A method for solving and estimating heterogeneous agent macro models},
volume = {9},
issn = {1759-7323},
url = {http://qeconomics.org/ojs/index.php/qe/article/view/617},
abstract = {I develop a computational method for solving and estimating heterogeneous agent macro models with aggregate shocks. The main challenge is that the aggregate state vector contains the distribution of agents, which is typically infinite‐dimensional. I approximate the distribution with a flexible parametric family, reducing its dimensionality to a finite set of endogenous parameters, and solve for the dynamics of these endogenous parameters by perturbation. I implement the method in Dynare and show that it is fast, general, and easy to use. As an illustration, I use the method to perform a Bayesian estimation of a heterogeneous firm model with aggregate shocks to neutral and investment‐specific productivity. I find that the behavior of investment at the firm level quantitatively shapes inference about the aggregate shock processes, suggesting an important role for micro data in estimating DSGE models.
Heterogeneous agents computational economics estimation lumpy investment C63 E22 E32},
language = {en},
number = {3},
urldate = {2018-11-28},
journal = {Quantitative Economics},
author = {Winberry, Thomas},
month = nov,
year = {2018},
pages = {1123--1151--1151},
file = {Winberry - 2018 - A method for solving and estimating heterogeneous .pdf:C\:\\Users\\gmf123\\Zotero\\storage\\QFQX426Z\\S33EVUYG.pdf:application/pdf},
}
@techreport{reiter_approximate_2010,
type = {{IHS} {Economics} {Series} {Working} {Paper} 258},
title = {Approximate and {Almost}- {Exact} {Aggregation} in {Dynamic} {Stochastic} {Heterogeneous}-{Agent} {Models}},
language = {en},
author = {Reiter, Michael},
year = {2010},
pages = {62},
file = {Reiter - 2010 - Approximate and Almost- Exact Aggregation in Dynam.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\34V94TIN\\Reiter - 2010 - Approximate and Almost- Exact Aggregation in Dynam.pdf:application/pdf},
}
@article{reiter_solving_2009,
title = {Solving heterogeneous-agent models by projection and perturbation},
volume = {33},
issn = {0165-1889},
url = {http://www.sciencedirect.com/science/article/pii/S0165188908001528},
doi = {10.1016/j.jedc.2008.08.010},
number = {3},
urldate = {2016-09-27},
journal = {Journal of Economic Dynamics and Control},
author = {Reiter, Michael},
month = mar,
year = {2009},
keywords = {Heterogeneous agents, Invariant distribution, Perturbation methods, Projection methods},
pages = {649--665},
file = {Reiter - 2009 - Solving heterogeneous-agent models by projection a.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\CGPIMGVN\\Reiter - 2009 - Solving heterogeneous-agent models by projection a.pdf:application/pdf},
}
@techreport{reiter_recursive_2002,
type = {Working {Paper}},
title = {Recursive computation of heterogeneous agent models},
author = {Reiter, Michael},
year = {2002},
file = {Reiter - 2002 - Recursive computation of heterogeneous agent model.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\QBWNAV4N\\Reiter - 2002 - Recursive computation of heterogeneous agent model.pdf:application/pdf},
}
@article{bayer_solving_2020,
title = {Solving discrete time heterogeneous agent models with aggregate risk and many idiosyncratic states by perturbation},
volume = {11},
issn = {1759-7331},
url = {https://onlinelibrary.wiley.com/doi/abs/10.3982/QE1243},
doi = {10.3982/QE1243},
abstract = {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.},
language = {en},
number = {4},
urldate = {2022-02-23},
journal = {Quantitative Economics},
author = {Bayer, Christian and Luetticke, Ralph},
year = {2020},
keywords = {incomplete markets, E32, C63, Numerical methods, linearization, heterogeneous agent models},
pages = {1253--1288},
file = {Bayer and Luetticke - 2020 - Solving discrete time heterogeneous agent models w.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\DJQHJABK\\Bayer and Luetticke - 2020 - Solving discrete time heterogeneous agent models w.pdf:application/pdf},
}
@article{ahn_when_2018,
title = {When {Inequality} {Matters} for {Macro} and {Macro} {Matters} for {Inequality}},
volume = {32},
issn = {0889-3365},
url = {https://www.journals.uchicago.edu/doi/abs/10.1086/696046},
doi = {10.1086/696046},
abstract = {We develop an efficient and easy to use computational method for solving a wide class of general equilibrium heterogeneous agent models with aggregate shocks together with an open source suite of codes that implement our algorithms in an easy to use toolbox. Our method extends standard linearization techniques and is designed to work in cases when inequality matters for the dynamics of macroeconomic aggregates. We present two applications that analyze a two asset incomplete markets model parameterized to match the distribution of income, wealth, and marginal propensities to consume. First, we show that our model is consistent with two key features of aggregate consumption dynamics that are difficult to match with representative agent models: (1) the sensitivity of aggregate consumption to predictable changes in aggregate income, and (2) the relative smoothness of aggregate consumption. Second, we extend the model to feature capital-skill complementarity and show how factor-specific productivity shocks shape dynamics of income and consumption inequality.},
urldate = {2020-01-28},
journal = {NBER Macroeconomics Annual},
author = {Ahn, SeHyoun and Kaplan, Greg and Moll, Benjamin and Winberry, Thomas and Wolf, Christian},
month = apr,
year = {2018},
pages = {1--75},
file = {Ahn et al. - 2017 - When Inequality Matters for Macro and Macro Matter.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\64YWWFI2\\Ahn et al. - 2017 - When Inequality Matters for Macro and Macro Matter.pdf:application/pdf},
}
@article{achdou_income_2022,
title = {Income and {Wealth} {Distribution} in {Macroeconomics}: {A} {Continuous}-{Time} {Approach}},
volume = {89},
issn = {0034-6527},
shorttitle = {Income and {Wealth} {Distribution} in {Macroeconomics}},
url = {https://doi.org/10.1093/restud/rdab002},
doi = {10.1093/restud/rdab002},
abstract = {We recast the Aiyagari–Bewley–Huggett model of income and wealth distribution in continuous time. This workhorse model—as well as heterogeneous agent models more generally—then boils down to a system of partial differential equations, a fact we take advantage of to make two types of contributions. First, a number of new theoretical results: (1) an analytic characterization of the consumption and saving behaviour of the poor, particularly their marginal propensities to consume; (2) a closed-form solution for the wealth distribution in a special case with two income types; (3) a proof that there is a unique stationary equilibrium if the intertemporal elasticity of substitution is weakly greater than one. Second, we develop a simple, efficient and portable algorithm for numerically solving for equilibria in a wide class of heterogeneous agent models, including—but not limited to—the Aiyagari–Bewley–Huggett model.},
number = {1},
urldate = {2022-02-21},
journal = {The Review of Economic Studies},
author = {Achdou, Yves and Han, Jiequn and Lasry, Jean-Michel and Lions, Pierre-Louis and Moll, Benjamin},
month = jan,
year = {2022},
pages = {45--86},
file = {Achdou et al. - 2022 - Income and Wealth Distribution in Macroeconomics .pdf:C\:\\Users\\gmf123\\Zotero\\storage\\97CZ937X\\Achdou et al. - 2022 - Income and Wealth Distribution in Macroeconomics .pdf:application/pdf},
}
@techreport{kaplan_marginal_2022,
title = {The {Marginal} {Propensity} to {Consume} in {Heterogeneous} {Agent} {Models}},
abstract = {What model features and calibration strategies yield a large average marginal propensity to consume (MPC) in heterogeneous agent models? Through a systematic investigation of models with different preferences, dimensions of ex-ante heterogeneity, income processes and asset structure, we show that the most important factor is the share and type of hand-to-mouth households. One-asset models either feature a trade-off between a high average MPC and a realistic level of aggregate wealth, or generate an excessively polarized wealth distribution that vastly understates the wealth held by households in the middle of the distribution. Twoasset models that include both liquid and illiquid assets can resolve this tension with a large enough gap between liquid and illiquid returns. We discuss how such return differential can be justified from the perspective of theory and data.},
language = {en},
author = {Kaplan, Greg and Violante, Giovanni L},
year = {2022},
file = {Kaplan and Violante - 2022 - The Marginal Propensity to Consume in Heterogeneou.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\DZKDXQNT\\Kaplan and Violante - 2022 - The Marginal Propensity to Consume in Heterogeneou.pdf:application/pdf},
}
@techreport{auclert_determinacy_2023,
title = {Determinacy and {Existence} in the {Sequence} {Space}},
abstract = {We develop a winding number criterion for determinacy and existence of solutions in the sequence space. We apply this criterion to heterogeneous-agent New-Keynesian (HANK) models. We demonstrate that, in common applications, our criterion is identical to a simple analytical formula.},
language = {en},
author = {Auclert, Adrien and Rognlie, Matthew and Straub, Ludwig},
year = {2023},
file = {Auclert et al. - 2023 - Determinacy and Existence in the Sequence Space.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\LJIIFBF2\\Auclert et al. - 2023 - Determinacy and Existence in the Sequence Space.pdf:application/pdf},
}
@techreport{davila_optimal_2023,
type = {Working {Paper}},
title = {Optimal {Monetary} {Policy} with {Heterogeneous} {Agents}: {Discretion}, {Commitment}, and {Timeless} {Policy}},
language = {en},
author = {Dávila, Eduardo and Schaab, Andreas},
year = {2023},
file = {Dávila and Schaab - 2023 - Optimal Monetary Policy with Heterogeneous Agents.pdf:C\:\\Users\\gmf123\\Zotero\\storage\\A2F6B8WT\\Dávila and Schaab - 2023 - Optimal Monetary Policy with Heterogeneous Agents.pdf:application/pdf},
}
@article{cherrier_household_2023,
title = {Household heterogeneity in macroeconomic models: a historical perspective},
issn = {0014-2921},
shorttitle = {Household heterogeneity in macroeconomic models},
url = {https://www.sciencedirect.com/science/article/pii/S0014292123001265},
doi = {10.1016/j.euroecorev.2023.104497},
abstract = {In this paper, we trace the rise of heterogeneous household models in mainstream macroeconomics from the turn of the 1980s to the early 2000s, when these models evolved into an identifiable and consistent literature. We show that different communities across the US and Europe considered heterogeneous agents for various reasons and developed models that differed in their theoretical and empirical strategies. Minnesota economists primarily focused on incorporating stochastic heterogeneity into general equilibrium models. Other researchers refined growth models or tried to find alternatives to the permanent income hypothesis, leading them to explore more structural heterogeneity. We also document the computational challenges that some of these communities faced, how they gradually became aware of each other's work, and how they faced criticisms from macro- and microeconomists, many of them trained in European countries and dissatisfied with the theoretical and empirical aggregation strategies underlying these models.},
language = {en},
urldate = {2023-06-23},
journal = {European Economic Review},
author = {Cherrier, Beatrice and Duarte, Pedro and Saïdi, Aurélien},
month = may,
year = {2023},
keywords = {heterogeneous agents, Bewley models, history of macroeconomics, equity premium puzzle, precautionary savings, permanent income hypothesis, aggregation},
pages = {104497},