Aggregating heterogeneous-agent models with permanent income shocks

B-Tier
Journal: Journal of Economic Dynamics and Control
Year: 2021
Volume: 129
Issue: C

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

I introduce a method for simulating aggregate dynamics of heterogeneous-agent models where log permanent income follows a random walk. The idea is to simulate the model using a counterfactual permanent-income-neutral measure which incorporates the effect that permanent income shocks have on macroeconomic aggregates. With the permanent-income-neutral measure, one does not need to keep track of the permanent-income distribution. The permanent-income-neutral measure is both useful for the analytical characterization of aggregate consumption-savings behavior and for simulating numerical models. Furthermore, it is trivial to implement with a few lines of code.

Technical Details

RePEc Handle
repec:eee:dyncon:v:129:y:2021:i:c:s0165188921001202
Journal Field
Macro
Author Count
1
Added to Database
2026-01-25