Quantitative macroeconomic models with heterogeneous agents

Advances in Economics and Econometrics: Theory and Applications, Ninth World Congress, Volume I

Volumn , Issue , 2010, Pages 298-340

  Krusell, Per ^a   Smith, Anthony A ^b  

^a PRINCETON UNIVERSITY   (United States)

^b YALE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84924110883     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1017/CBO9781139052269.010     Document Type: Chapter

References (75)

1. Aiyagari, S.R. (1994), “Uninsured Idiosyncratic Risk and Aggregate Saving,” Quarterly Journal of Economics 109, 659–684.
2. Allen, F. (1985), “Repeated Principal-Agent Relationships with Borrowing and Lending,” Economics Letters 17, 27–31.
3. Altug, S. and P. Labadie (1994), Dynamic Choice and Asset Markets, Academic Press.
4. Angeletos, G.-M. (2005), “Uninsured Idiosyncratic Investment Risk and Aggregate Saving,” manuscript.
5. Angeletos, G.-M. and L. Calvet (2004), “Idiosyncratic Production Risk, Growth and the Business Cycle,” manuscript (forthcoming in Journal of Monetary Economics).
6. Atkeson, A. and C. Phelan (1994), “Reconsidering the Costs of Business Cycles with Incomplete Markets,” in: S. Fischer and J. Rotemberg, eds., NBER Macroeconomics Annual 1994, 187–207.
7. Attanasio, O. (2005), “Consumption,” Chapter 11 in J. Taylor and M. Woodford, eds., Handbook of Macroeconomics, North-Holland, 741–812.
8. Bewley, T. (undated), “Interest Bearing Money and the Equilibrium Stock of Capital,” manuscript.
9. Bewley, T. (1977), “The Permanent Income Hypothesis: A Theoretical Formulation,” Journal of Economic Theory 16, 252–292.
10. Blundell, R. and T. Stoker (2003), “Models of Aggregate Economic Relationships that Account for Heterogeneity,” manuscript (forthcoming in Handbook ofEconometrics, Volume 6).
11. Browning, M., L.P. Hansen, and J. Heckman (2005), “Micro Data and General Equilibrium Models,” Chapter 8 in J. Taylor and M. Woodford, eds., Handbook of Macroeconomics, North-Holland, 543–633.
12. Cagetti, M. and M. De Nardi (2004), “Taxes, Entrepreneurship, and Wealth,” manuscript.
13. Cagetti, M. and M. De Nardi (2005), “Entrepreneurship, Frictions, and Wealth,” manuscript.
14. Campanale, C. (2005), “Increasing Return to Savings and Wealth Inequality,” manuscript.
15. Carroll, C. (2000), “Requiem for the Representative Consumer? Aggregate Implications of Microeconomic Consumption Behavior,” American Economic Review, Papers and Proceedings 90, 110–115.
16. Carroll, C. and M. Kimball (1996), “On the Concavity of the Consumption Function,” Econometrica 64, 981–992.
17. Castaüeda, A., J. Diaz-Gimenez, and J.-V. Rios-Rull (2003a), “Exploring the Income Distribution Business Cycle Dynamics,” Journal of Monetary Economics 42, 93–130.
18. Castaneda, A., J. Diaz-Gimenez, and J.-V. Rios-Rull (2003b), “Accounting for the U.S. Earnings and Wealth Inequality,” Journal of Political Economy 111, 814–857.
19. Chang, Y. and S.-B. Kim (2004), “Heterogeneity and Aggregation in the Labor Market: Implications for Aggregate Preference Shifts,” manuscript.
20. Chang, Y. and S.-B. Kim (2006), “From Individual to Aggregate Labor Supply: A Quantitative Analysis Based on a Heterogeneous-Agent Macroeconomy,” manuscript (forthcoming in International Economic Review).
21. Chatterjee, S., D. Corbae, M. Nakajima, and J.-V. Rios-Rull (2002), “A Quantitative Theory of Unsecured Consumer Credit with Risk of Default,” manuscript.
22. Cole, H. and N. Kocherlakota (2001), “Efficient Allocations with Hidden Income and Hidden Storage,” Review of Economic Studies 68, 523–542.
23. Constantinides, G.M. and D. Duffie (1996), “Asset Pricing with Heterogeneous Consumers,” Journal of Political Economy 104, 219–240.
24. Cooley, T. and V. Quadrini (2006), “Monetary Policy and the Financial Decisions of Firms,” Economic Theory 27, 243–270.
25. Cooley, T., R. Marimon, and V. Quadrini (2004), “Aggregate Consequences of Limited Contract Enforceability,” Journal of Political Economy 112, 817–847.
26. Cordoba, J.C. and G. Verdier (2005), “Lucas vs. Lucas: On Inequality and Growth,” manuscript.
27. Covas, F. (2005), “Uninsured Idiosyncratic Production Risk with Borrowing Constraints,” manuscript (forthcoming in the Journal of Economic Dynamics and Control).
28. Davila, J., J. Hong, P. Krusell, and J.-V. Rios-Rull (2005), “Constrained Efficiency in the Neoclassical Growth Model with Uninsurable Idiosyncratic Shocks,” manuscript.
29. Den Haan, W.J. (1997), “Solving Dynamic Models with Aggregate Shocks and Heterogeneous Agents,” Macroeconomic Dynamics 1, 355–386.
30. Den Haan, W.J. and A. Marcet (1990), “Solving a Growth Model by Parameterized Expectations,” Journal of Business and Economic Statistics 8, 31–34.
31. Diaz-Gimenez, J., V. Quadrini, and J.-V. Rios-Rull (1997), “Dimensions of Inequality: Facts on the U.S. Distributions of Earnings, Income, and Wealth,” Federal Reserve Bank of Minneapolis Quarterly Review 21, 3–21.
32. Doepke, M. and M. Schneider (2004), “Real Effects of Inflation through the Redistribution of Nominal Wealth,” manuscript.
33. Gomes, J. (2002), “The Right Stimulus: Extended Unemployment Insurance Benefits or Tax Cuts?” manuscript.
34. Gomes, J., J. Greenwood, and S. Rebelo (2001), “Equilibrium Unemployment,” Journal ofMonetary Economics 48, 109–152.
35. Gourinchas, P.-O. (2000), “Precautionary Saving, LifeCycle, and Macroeconomics,” manuscript.
36. Hansen, G.D. (1985), “Indivisible Labor and the Business Cycle,” Journal of Monetary Economics 16, 309–27.
37. Heathcote, J. (2005), “Fiscal Policy with Heterogeneous Agents and Incomplete Markets,” Review of Economic Studies 72, 161–188.
38. Heaton, J. and D.J. Lucas (1996), “Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing,” Journal ofPolitical Economy 104, 443–487.
39. Hubbard, R.G., J. Skinner, and S.P. Zeldes (1995), “Precautionary Saving and Social Insurance,” Journal of Political Economy 103, 360–399.
40. Huggett, M. (1993), “The Risk-Free Rate in Heterogeneous-Agents, Incomplete Markets Economies,” Journal of Economic Dynamics and Control 17, 953–969.
41. Huggett, M. (1996), “Wealth Distribution in Life-Cycle Economies,” Journal of Monetary Economics 38, 469–494.
42. Huggett, M. (1997), “The One-Sector Growth Model with Idiosyncratic Shocks: Steady States and Dynamics,” Journal of Monetary Economics 39, 385–403.
43. Imrohoroglu, A. (1989), “The Cost of Business Cycles with Indivisibilities and Liquidity Constraints,” Journal ofPolitical Economy 97, 1364–1383.
44. Khan, A. and J. Thomas (2003), “Nonconvex Factor Adjustments in Equilibrium Business Cycle Models: Do Nonlinearities Matter?” Journal of Monetary Economics 50, 331–360.
45. Khan, A. and J. Thomas (2005), “Inventories and the Business Cycle: An Equilibrium Analysis of (S, s) Policies,” manuscript.
46. Kocherlakota, N. (2005), “Advances in Dynamic Optimal Taxation,” manuscript.
47. Krebs, T. (2003), “Growth and Welfare Effects of Business Cycles in Economies with Idiosyncratic Human Capital Risk,” Review ofEconomic Dynamics 6, 846–868.
48. Krueger, D. and F. Kubler (2004), “Computing Equilibrium in OLG Models with Stochastic Production,” Journal of Economic Dynamics and Control 28, 1411–1436.
49. Krusell, P. and A.A. Smith, Jr. (1997), “Income and Wealth Heterogeneity, Portfolio Selection, and Equilibrium Asset Returns,” Macroeconomic Dynamics 1, 387–422.
50. Krusell, P. and A.A. Smith, Jr. (1998), “Income and Wealth Heterogeneity in the Macroeconomy,” Journal ofPolitical Economy 106, 867–896.
51. Krusell, P. and A.A. Smith, Jr. (1999), “On the Welfare Effects of Eliminating Business Cycles,” Review ofEconomic Dynamics 2, 245–272.
52. Krusell, P. and A.A. Smith, Jr. (2002), “Revisiting the Welfare Effects of Eliminating Business Cycles,” manuscript.
53. Leduc, S. (2002), “Incomplete Markets, Borrowing Constraints, and the Foreign Exchange Risk Premium,” Journal ofInternational Money and Finance 21, 957–980.
54. Lucas, Jr., R.E. (1976), “Econometric Policy Evaluation: A Critique,” in: A. Meltzer and K. Brunner, eds., The Phillips Curve and Labor Markets (Vol. 1 of Carnegie-Rochester Conference Series on Public Policy), 19–46.
55. Lucas, Jr., R.E. (1987), Models of Business Cycles (Basil Blackwell).
56. Lucas, Jr., R.E. (2003), “Macroeconomic Priorities,” American Economic Review 93, 1–14.
57. Mankiw, N.G. (1986), “The Equity Premium and the Concentration of Aggregate Shocks,” Journal of Financial Economics 17, 211–219.
58. Mehra, R. and E.C. Prescott (1985), “The Equity Premium: A Puzzle,” Journal of Monetary Economics 15, 145–161.
59. Miao, J. (2002), “Stationary Equilibria of Economies with a Continuum of Heterogeneous Consumers,” manuscript.
60. Mirrlees, J. (1971), “An Exploration in the Theory of Optimum Income Taxation,” Review of Economic Studies 38, 175–208.
61. Mortensen, D. and C.A. Pissarides (1994), “Job Creation and Job Destruction in the Theory of Unemployment,” Review of Economic Studies 61, 397–415.
62. Mukoyama, T. and A. Sahin (2005), “Costs of Business Cycles for Unskilled Workers,” manuscript (forthcoming in Journal ofMonetary Economics).
63. Obiols-Homs, F. (2003), “Incomplete Unemployment Insurance and Aggregate Fluctuations,” Review of Economic Dynamics 6, 602–636.
64. Quadrini, V. (2000), “Entrepreneurship, Saving, and Social Mobility,” Review of Economic Dynamics 45, 1–40.
65. Piketty, T. and E. Saez (2003), “Income Inequality in the United States: 1913–1998,” Quarterly Journal of Economics 118, 1–39.
66. Rios-Rull, J.-V. (2001), “Computation of Equilibria in Heterogeneous Agent Models,” in Marimon, R. and A. Scott, eds., Computational Methods for the Study of Dynamic Economies: An Introduction, Oxford University Press, 238–280.
67. Rodriguez, S.B., J. Diaz-Gimenez, V. Quadrini, and J.-V. Rios-Rull (2002), “Updated Facts on the U.S. Distributions of Earnings, Income, and Wealth,” Federal Reserve Bank of Minneapolis Quarterly Review 26, 2–35.
68. Rogerson, R. (1988), “Indivisible Labor, Lotteries and Equilibrium,” Journal of Monetary Economics 21, 3–16.
69. Storesletten, K., C. Telmer, and A. Yaron (2001), “The Welfare Costs of Business Cycles Revisited: Finite Lives and Cyclical Variation in Idiosyncratic Risk,” European Economic Review 45, 1311–1339.
70. Storesletten, K., C. Telmer, and A. Yaron (2004a), “Consumption and Risk Sharing over the Life Cycle,” Journal ofMonetary Economics 51, 609–633.
71. Storesletten, K., C. Telmer, and A. Yaron (2004b), “Asset Pricing with Idiosyncratic Risk and Overlapping Generations,” manuscript.
72. Storesletten, K., C. Telmer, and A. Yaron (2004c), “Cyclical Dynamics in Idiosyncratic Labor-Market Risk,” Journal of Political Economy 112, 695–717.
73. Young, E. (2004a), “Approximate Aggregation: An Obstacle Course for the Krusell-Smith Algorithm,” manuscript.
74. Young, E. (2004b), “Solving the Heterogeneous-Agent Stochastic Growth Model with Finite Forecasting Restrictions,” manuscript.
75. Zhang, L. (2005), “The Value Premium,” Journal of Finance 60, 67–103.