Structural modeling of economic choices of heterogeneous agents

Materials

The following list of links filter and update content in the table below.

Material Authors Abstract

AiyagariIdiosyncratic

  • REMARK
  • Notebook
  • Huang
  • Sun

Aiyagari (1994) Replication

Alternative Combos Of Parameter Values

  • DemARK
  • Demonstration
  • Assignment
  • Notebook
  • Carroll

Alternative Combinations of Parameter Values of the cstwMPC model

Solving heterogeneous agent models in discrete time with many idiosyncratic states by perturbation methods

  • REMARK
  • Reproduction
  • Lee
  • Park

Code that solves models from the paper of Bayer and Luetikke, "Solving heterogeneous agent models in discrete time with many idiosyncratic states by perturbation methods".

BlanchardPA2019

  • REMARK
  • Replication
  • Acalin

This notebook fully replicates the analysis of the stochastic overlapping generations (OLG) model developed by Blanchard in his presidential address during the AEA meetings 2019.

BufferStock-LifeCycle

  • REMARK
  • Notebook
  • Carroll
  • Yusuf
  • Son

This is a replication of Carroll (1997), Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis.

Theoretical Foundations of Buffer Stock Saving: Problems

  • REMARK
  • Carroll

This adds some PhD student problems to the BufferStockTheory repo

BufferStockTheory

  • REMARK
  • Reproduction
  • Carroll

This paper builds foundations for rigorous and intuitive understanding of 'buffer stock' saving models (Bewley (1977)-like models with a wealth target), pairing each theoretical result with quantitative illustrations. After describing...

REMARK: Consumption and Portfolio Choice Over the Life Cycle

  • REMARK
  • Velásquez-Giraldo
  • Zahn

This REMARK is an attempt to reproduce the main results of Cocco, Gomes, & Maenhout (2005), 'Consumption and Portfolio Choice Over the Life Cycle' (https://academic.oup.com/rfs/article-abstract/18/2/491/1599892)

Change Liq Constr

  • DemARK
  • Demonstration
  • Notebook
  • Carroll

What Happens To the Consumption Function When A Liquidity Constraint is Tightened?

Chinese Growth

  • DemARK
  • Demonstration
  • Notebook
  • Carroll

Do Precautionary Motives Explain China's High Saving Rate?

ConsAggShockModel

  • Example
  • Demonstration
  • Documentation
  • Notebook
  • Teaching
  • Carroll

ConsAggShockModel Documentation

ConsGenIncProcessModel

  • Example
  • Demonstration
  • Documentation
  • Notebook
  • Teaching
  • Carroll

ConsGenIncProcessModel Documentation

ConsIndShock

  • Example
  • Demonstration
  • Documentation
  • Notebook
  • Teaching
  • Carroll

ConsIndShock Documentation

ConsLaborModel

  • Example
  • Demonstration
  • Documentation
  • Notebook
  • Teaching
  • Carroll

ConsLaborModel Documentation

ConsMarkovModel

  • Example
  • Demonstration
  • Documentation
  • Notebook
  • Teaching
  • Carroll

ConsMarkovModel Documentation

ConsMedModel

  • Example
  • Demonstration
  • Documentation
  • Notebook
  • Teaching
  • Carroll

ConsMedModel Documentation

ConsPortfolioModel

  • Example
  • Demonstration
  • Documentation
  • Notebook
  • Teaching
  • Carroll

ConsPortfolioModel Documentation

ConsPrefShockModel

  • Example
  • Demonstration
  • Documentation
  • Notebook
  • Teaching
  • Carroll

ConsPrefShockModel Documentation

ConsRepAgentModel

  • Example
  • Demonstration
  • Documentation
  • Notebook
  • Teaching
  • Carroll

ConsRepAgentModel Documentation

ConsRiskyContribModel

  • Example
  • Demonstration
  • Documentation
  • Notebook
  • Teaching
  • Carroll

ConsRiskyContribModel Documentation

ConsSequentialPortfolioModel

  • Example
  • Demonstration
  • Documentation
  • Notebook
  • Teaching
  • Carroll

ConsSequentialPortfolioModel Documentation

DCEGM-Upper-Envelope

  • DemARK
  • Demonstration
  • Notebook
  • Carroll
  • Velásquez-Giraldo

DCEGM Upper Envelope

DiamondOLG

  • DemARK
  • Demonstration
  • Notebook
  • Carroll

The Diamond OLG Model

DistributionOfWealthMPC

  • REMARK
  • Replication
  • Carroll
  • Slacalek
  • Kiichi
  • White

DurableConsumerType

  • REMARK
  • Notebook
  • Monninger

This REMARK replicates Druedahl, J. (2021). A guide on solving non-convex consumption-saving models.

EndogenousRetirement

  • REMARK
  • Reproduction
  • Carroll

Endogenous Retirement - A Canonical Discrete-Continuous Problem. This REMARK demonstrates a solution to the difficult problem of solving for the optimal retirement date given that consumption and asset choices are...

Epidemiological Expectations in Economics

  • REMARK
  • Carroll
  • Wang

‘Epidemiological’ models of belief formation put social interactions at their core; such models are the main (almost, the only) tool used by non-economists to study the dynamics of beliefs in...

FisherTwoPeriod

  • DemARK
  • Demonstration
  • Teaching
  • Notebook
  • Carroll

The Fisher Two-Period Optimal Consumption Problem

GanongNoelUI

  • REMARK
  • Replication
  • Ganong
  • Noel

Analysis of Models for "Consumer Spending During Unemployment- Positive and Normative Implications"

Gentle-Intro-To-HARK-Buffer-Stock-Model

  • DemARK
  • Demonstration
  • Tutorial
  • Teaching
  • Notebook
  • Carroll

A Gentle Introduction to Buffer Stock Saving

Gentle-Intro-To-HARK-PerfForesightCRRA

  • DemARK
  • Demonstration
  • Tutorial
  • Notebook
  • Carroll

A Gentle Introduction to HARK In Perfect Foresight

Gentle-Intro-To-HARK

  • DemARK
  • Demonstration
  • Tutorial
  • Teaching
  • Notebook
  • Example
  • Carroll

A Gentle Introduction to HARK for Economists

Harmenberg-Aggregation

  • DemARK
  • Demonstration
  • Tutorial
  • Teaching
  • Notebook
  • Carroll
  • Velásquez-Giraldo

Demonstrates that the Harmenberg method speeds up calculations by as much as a factor of 100.

IncExpectationExample

  • DemARK
  • Demonstration
  • Notebook
  • Example
  • Carroll

The Persistent Shock Model and Income Expectations

IndShockConsumerType

  • Example
  • Demonstration
  • Documentation
  • Notebook
  • Teaching
  • Carroll

IndShockConsumerType Documentation

KeynesFriedmanModigliani

  • DemARK
  • Demonstration
  • Teaching
  • Notebook
  • Carroll

Introduction: Keynes, Friedman, Modigliani

KinkedRconsumerType

  • Example
  • Demonstration
  • Documentation
  • Notebook
  • Teaching
  • Carroll

KinkedRconsumerType Documentation

KrusellSmith

  • REMARK
  • Notebook
  • Carroll

Income and wealth heterogeneity in the macroeconomy

LC-Model-Expected-Vs-Realized-Income-Growth

  • DemARK
  • Demonstration
  • Notebook
  • Carroll

This notebook examines the relationship between expected and actual income growth in a model with transitory and permanent shocks

LifeCycleModelTheoryVsData

  • DemARK
  • Demonstration
  • Notebook
  • Carroll

The Life Cycle Model: Theory vs Data

Liquidity Constraints and Precautionary Saving

  • REMARK
  • Reproduction
  • Carroll
  • Kimball
  • Holm

We provide the analytical explanation of strong interactions between precautionary sav- ing and liquidity constraints that are regularly observed in numerical solutions to consump- tion/saving models. The effects of constraints...

Lucas-Asset-Pricing-Model

  • DemARK
  • Demonstration
  • Teaching
  • Notebook
  • Carroll
  • Velásquez-Giraldo

A demonstration of the Lucas Asset-Pricing model

Lucas-Asset-Pricing-Model

  • DemARK
  • Demonstration
  • Teaching
  • Notebook
  • Carroll
  • Velásquez-Giraldo

A demonstration of the Lucas Asset-Pricing model

MPC-Out-of-Credit-vs-MPC-Out-of-Income

  • DemARK
  • Demonstration
  • Notebook
  • Carroll

The MPC out of Credit vs the MPC Out of Income

Micro-and-Macro-Implications-of-Very-Impatient-HHs

  • QuARK
  • Demonstration
  • Notebook
  • Teaching
  • Carroll

Micro- and Macroeconomic Implications of Very Impatient Households

Micro-and-Macro-Implications-of-Very-Impatient-HHs

  • DemARK
  • Demonstration
  • Notebook
  • Teaching
  • Carroll

Micro- and Macroeconomic Implications of Very Impatient Households

Nondurables-During-Great-Recession

  • DemARK
  • Demonstration
  • Notebook
  • Carroll

Spending on Nondurables During the Great Recession

Modeling the Consumption Response to the CARES Act

  • REMARK
  • Notebook
  • Carroll
  • Crawley
  • Slacalek
  • White

To predict the effects of the 2020 U.S. CARES Act on consumption, we extend a model that matches responses of households to past consumption stimulus packages. The extension allows us...

PerfForesightCRRA-Approximation

  • DemARK
  • Demonstration
  • Teaching
  • Notebook
  • Carroll

Perfect Foresight CRRA Model - Approximation

PerfForesightCRRA-SavingRate

  • DemARK
  • Demonstration
  • Teaching
  • Notebook
  • Carroll

Perfect Foresight CRRA Model - Savings Rate

PerfForesightConsumerType

  • Example
  • Demonstration
  • Documentation
  • Notebook
  • Teaching
  • Carroll

PerfForesightConsumerType Documentation

Optimal Financial Investment over the Life Cycle - Blog Post

  • REMARK
  • Replication
  • Notebook
  • Blog
  • Carroll

A blog post (https://econ-ark.github.io/PortfolioChoiceBlogPost/PortfolioChoiceBlogPost.html) showcasing use of HARK to the portfolio choice allocation problem.

A Two-Asset Savings Model with an Income-Contribution Scheme

  • REMARK
  • Velásquez-Giraldo

This paper develops a two-asset consumption-savings model and serves as the documentation of an open-source implementation of methods to solve and simulate it in the HARK toolkit. The model represents...

Solution Methods for Microeconomic Dynamic Stochastic Optimization Problems

  • REMARK
  • Replication
  • Teaching
  • Tutorial
  • Carroll
  • Wang

These notes describe tools for solving microeconomic dynamic stochastic optimization problems, and show how to use those tools for efficiently estimating a standard life cycle consumption/saving model using microeconomic data....

Structural-Estimates-From-Empirical-MPCs-Fagereng-et-al

  • DemARK
  • Demonstration
  • Notebook
  • Carroll
  • White

Making Structural Estimates From Empirical Results

TractableBufferStock-Interactive

  • DemARK
  • Demonstration
  • Teaching
  • Notebook
  • Carroll

The Tractable Buffer Stock Model

TractableBufferStockModel

  • Example
  • Demonstration
  • Documentation
  • Notebook
  • Teaching
  • Carroll

TractableBufferStockModel Documentation

cAndCwithStickyE

  • REMARK
  • Reproduction
  • Carroll
  • Crawley
  • Slacalek
  • Kiichi
  • White

Sticky Expectations and Consumption Dynamics.

Chinese Growth

  • DemARK
  • Demonstration
  • Notebook
  • Carroll

Do Precautionary Motives Explain China's High Saving Rate?

cstwMPC-RHetero

  • REMARK
  • Replication

DistributionOfWealthMPC

  • REMARK
  • Replication
  • Carroll
  • Slacalek
  • Kiichi
  • White

Replication codes for Carroll, C., Slacalek, J., Tokuoka, K., & White, M. N. (2017). The distribution of wealth and the marginal propensity to consume. Quantitative Economics, 8(3), 977-1020.

ctDiscrete

  • REMARK
  • Replication
  • Carroll

Analytically tractable model of the effects of nonfinancial risk on intertemporal choice

My Research Tool

  • REMARK
  • Notebook
  • Holmes

Replication of Paper X