Solving a Search-Theoretic Model of Money w/ Persistent Heterogeneity

By: Christian Bustamante
https://cbustamante.co/

About

This set of codes solves a search-theoretic model of money similar in spirit to Lagos and Wright (2005), but where preferences are not quasi-linear. Dropping the quasi-linearity assumption generates a distribution of money that becomes persistent across periods. In this model, agents accumulate only one asset (money).

For a description of the model and the numerical method used to solve it, see the appendix for "The Long-Run Redistributive Effects of Monetary Policy" in my research webpage. The file apx_1asset.pdf in this repo, provides the relevant pages of said appendix.

Contents

This package is organized as follows:

• The folder src contains the main codes that solve the model. The main program is in Main_Only_Money.f90.
• The folder lib provides a set of different numerical subroutines needed by the codes in src.
• The folder plot contains Matlab codes to plot/analyze some of the model results. These codes reproduce the figures in Appendix D.
• In the root folder, there is the Makefile used to build the solution program. It is set up to run with ifort but it should work (if adapted) with other compilers. It also uses the hdf5, mkl, and openmp libraries.

License and Citation

MIT license.
Citation:
Bustamante, C. (2023). "The Long-Run Redistributive Effects of Monetary Policy," Journal of Monetary Economics, 140: 106-123.