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UID:a33448c99ac53de25863ce811ac9d197
CATEGORIES:Seminars
CREATED:20230130T083834
SUMMARY:Anmol Bhandari - University of Minnesota
DESCRIPTION;ENCODING=QUOTED-PRINTABLE:\n\nA Perturbational Approach for Approximating Heterogeneous-Agent Models\
 n\n\nAbstract:\nWe develop a novel perturbational technique to approximate 
 a broad class of stochastich eterogeneous-agent (HA) models that is scalabl
 e to the second and higher orders of approximation and that can be applied 
 to economies that have recursive representations with very complex state sp
 aces, such as multi-dimensional endogenous distributions. The central insig
 ht of our approach is that it is possible to analytically characterize any 
 order of approximation for the stochastic process that governs this state. 
 These characterizations have a linear recursive mathematical structure, whi
 ch allows us to derive exact analytical expressions for approximating coeff
 icients as solutions to a small-dimensional linear system of equations. Com
 putationally, to the first order of approximation, our method is as fast an
 d precise as existing state-of-the-art techniques that linearized HA models
  using so-called “MIT shocks,” but our approach is easily scalable to highe
 r orders of approximation. We also show how our techniques can be used to o
 btain quick and efficient approximations to models with stochastic volatili
 ty and portfolio problems and study welfare in HA environments\n
DTSTAMP:20260407T005105Z
DTSTART:20230306T143000Z
DTEND:20230306T160000Z
SEQUENCE:0
TRANSP:OPAQUE
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