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

Uninsured Idiosyncratic Risk and Aggregate Saving

  • 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".

Public Debt and Low Interest Rates

  • 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.

Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis

  • 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

The distribution of wealth and the marginal propensity to consume

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

A Guide on Solving Non-convex Consumption-Saving Models

  • REMARK
  • Notebook
  • Monninger

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

Endogenous Retirement: A Canonical Discrete-Continuous Problem

  • 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

Consumer Spending during Unemployment: Positive and Normative Implications

  • 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

Income and Wealth Heterogeneity in the Macroeconomy

  • 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...

EGM^n: The Sequential Endogenous Grid Method

  • REMARK
  • Notebook
  • Lujan

Heterogeneous agent models with multiple decisions are often solved using inefficient grid search methods that require many evaluations and are slow. This paper provides a novel method for solving such...

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

Sticky Expectations and Consumption Dynamics

  • 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.

A Tractable Model of Buffer Stock Saving

  • 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