PER Mini-Course: Benjamin Moll (Part I)

November 16, 2017 - 2:00pm - 4:00pm
1027 International Affairs Building New York, NY 10027
United States

PER Mini-Course: Ben Moll, "Heterogeneous Agent Models in Continuous Time"

Part I:
Thursday, November 16, 2017
1027 International Affairs Building

Part II:
Friday, November 17, 2017
1027 International Affairs Building

View Part II here:

Please RSVP here for planning purposes.

In continuous time, a wide class of heterogeneous agent models can be conveniently solved as systems of partial differential equations. This Mini-Course develops tools for the analysis and numerical solution of such systems. The main application will be general equilibrium models with incomplete markets and uninsured idiosyncratic labor income risk as in Aiyagari (1994), Bewley (1986) and Huggett (1993) that are widely used to study the role of income and wealth distribution in the macro economy.

The emphasis of the Mini-Course will be on providing the necessary background for students to apply these tools in practice, with particular focus on numerical solution techniques using finite difference methods. After having explained these new continuous-time methods within the standard Aiyagari-Bewley-Huggett framework, we will explore a number of applications in which the new methods provide clear-cut advantages over traditional discrete-time methods. These include theories of income and wealth distribution with multiple assets and non-convexities, Heterogeneous Agent New Keynesian (HANK) models designed to study monetary and fiscal policy (Kaplan, Violante and Moll, 2017), stopping-time problems, and heterogeneous agent models with aggregate shocks (Ahn et al., 2017).