Predicting and decomposing why representative agent and heterogeneous agent models sometimes diverge
Sign Up to like & getrecommendations! Published in 2021 at "Economic Modelling"
DOI: 10.1016/j.econmod.2021.105528
Abstract: Abstract Heterogeneous agent (HA) and representative agent (RA) models often give very different answers to important economic questions, even when studying the same phenomenon with the otherwise identical assumptions. There are a variety of reasons… read more here.
Keywords: agent models; representative agent; agent; model ... See more keywords
Heterogeneous agent models in financial markets: A nonlinear dynamics approach
Sign Up to like & getrecommendations! Published in 2019 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2018.11.016
Abstract: Studies on financial markets have accumulated consistent evidences of stylized facts and anomalies, which can be characterized by stochastic switching among different co-existing market states but yet difficult to reconcile with traditionally rational expectation theory.… read more here.
Keywords: facts anomalies; financial markets; stylized facts; dynamics approach ... See more keywords
Exploiting MIT Shocks in Heterogeneous-Agent Economies: The Impulse Response as a Numerical Derivative
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Economic Dynamics and Control"
DOI: 10.1016/j.jedc.2018.01.002
Abstract: We propose a new method for computing equilibria in heterogeneous-agent models with aggregate uncertainty. The idea relies on an assumption that linearization offers a good approximation; we share this assumption with existing linearization methods. However,… read more here.
Keywords: impulse response; numerical derivative; response; linearization ... See more keywords