scholarly journals Computing Equilibria of Stochastic Heterogeneous Agent Models Using Decision Rule Histories

2020 ◽  
Author(s):  
Marcelo Veracierto
Keyword(s):  
Decision Rule ◽  
Heterogeneous Agent ◽  
Heterogeneous Agent Models

scholarly journals Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach

2021 ◽  
Author(s):  
Yves Achdou ◽  
Jiequn Han ◽  
Jean-Michel Lasry ◽  
Pierre-Louis Lions ◽  
Benjamin Moll
Keyword(s):  
Continuous Time ◽  
Wealth Distribution ◽  
Closed Form Solution ◽  
Form Solution ◽  
Heterogeneous Agent ◽  
Saving Behavior ◽  
Income And Wealth Distribution ◽  
Heterogeneous Agent Models ◽  
Special Case

Abstract We recast the Aiyagari-Bewley-Huggett model of income and wealth distribution in continuous time. This workhorse model – as well as heterogeneous agent models more generally – then boils down to a system of partial differential equations, a fact we take advantage of to make two types of contributions. First, a number of new theoretical results: (i) an analytic characterization of the consumption and saving behavior of the poor, particularly their marginal propensities to consume; (ii) a closed-form solution for the wealth distribution in a special case with two income types; (iii) a proof that there is a unique stationary equilibrium if the intertemporal elasticity of substitution is weakly greater than one. Second, we develop a simple, efficient and portable algorithm for numerically solving for equilibria in a wide class of heterogeneous agent models, including – but not limited to – the Aiyagari-Bewley-Huggett model.

Noise Trader

2018 ◽  
pp. 71-76
Author(s):  
Po-Keng Cheng
Keyword(s):  
Financial Market ◽  
Experimental Analysis ◽  
Investor Sentiment ◽  
Paper Briefly ◽  
Noise Traders ◽  
Heterogeneous Agent ◽  
Noise Trader ◽  
Retail Investors ◽  
Economic Markets ◽  
Heterogeneous Agent Models

This paper briefly reviews the literature on the topics of noise traders in the financial market. We cover the no-trade theorem under complete and competitive markets in the 1980s, the noise trader approach to finance in the 1990s, and recent studies from several approaches related to noise traders, such as heterogeneous agent models, investor sentiment, retail investors, experimental analysis, and extrapolation. Understanding and tackling the issues resulted from noise traders would be essential for us to realize how financial and economic markets work.

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