Solving a large heterogeneous-agent general equilibrium model with labour market frictions

• Autorzy: Antosiewicz M.
• Języki publikacji: EN

Abstrakty

EN

In this paper we build and solve a heterogeneous-agent dynamic stochastic general equilibrium (DSGE) model with incomplete markets in the spirit of Krussel and Smith (1998). We expand this model to account for search and matching labour market frictions, using the classic Mortensen and Pissarides (1994) framework. The model, therefore, combines two important strands of economic modelling and presents a numerical challenge in terms of solving the model due to the inclusion of additional dimensions in the optimization problem. Despite the addition of additional state variables and higher dimensionality, we show that we are able to efficiently solve it numerically using value function iteration and we document basic properties of the model.

Słowa kluczowe

EN

heterogeneous–agent model; search and matching; DSGE; computational metod

• Wydawca: Systems Research Institute, Polish Academy of Sciences
• Czasopismo: Control and Cybernetics
• Rocznik: 2016
• Tom: Vol. 45, no. 4
• Strony: 513--523
• Opis fizyczny: Bibliogr. 10 poz.

Twórcy

autor

Antosiewicz M.

• Warsaw School of Economics, Al. Niepodległości 162, 02-554, Warszawa, Poland

Bibliografia

• [1] Huggett, M. (1993) The risk-free rate in heterogeneous-agent incomplete- insurance economies. Journal of Economic Dynamics and Control, 17(5):953– 969.
• [2] Krusell, P. and Smith, A. Jr. (1998) Income and wealth heterogeneity in the macroeconomy. Journal of Political Economy, 106(5):867–896.
• [3] Mortensen, D.T. and Pissarides, CH.A. (1994) Job creation and job destruction in the theory of unemployment. The Review of Economic Studies, 61:397–415.
• [4] Pissarides CH. A. (1988) The search equilibrium approach to fluctuations in employment. American Economic Review, 78:363–368.
• [5] Pissarides, CH. A. (2000) Equilibrium Unemployment Theory. Second edition. MIT Press, Cambridge, MA.
• [6] Preston, B. and Roca, M. (2007) Incomplete markets, heterogeneity and macroeconomic dynamics. Technical report, National Bureau of Economic Research.
• [7] Reiter, M. (2009) Solving heterogeneous-agent models by projection and perturbation. Journal of Economic Dynamics and Control, 33(3):649– 665.
• [8] Rogerson, R., Shimer, R. and Wright, R. (2004) Search- theoretic models of the labor market - a survey. Technical report, National Bureau of Economic Research.
• [9] Wouter J. and den Haan, W.J. (1997) Solving dynamic models with aggregate shocks and heterogeneous agents. Macroeconomic dynamics, 1(02):355–386.
• [10] Wouter J. and den Haan, W.J. (2010) Comparison of solutions to the incomplete markets model with aggregate uncertainty. Journal of Economic Dynamics and Control, 34(1):4–27.

Uwagi

PL

Opracowanie ze środków MNiSW w ramach umowy 812/P-DUN/2016 na działalność upowszechniającą naukę (zadania 2017).