Aiyagari Aggregate Uncertainty

This repository solves the Aiyagari model (1994) with aggregate uncertainty.

Notebook

https://github.com/JulienPascal/AiyagariAggregateUncertainty/blob/master/AiyagariBKM.ipynb

Preview

Links

• An excellent course on heterogeneous agent models (Aiyagari model (1994) and more) with code in Matlab, Python and Julia: https://alisdairmckay.com/Notes/HetAgents/index.html
• More on the EGM method: https://julia.quantecon.org/dynamic_programming/egm_policy_iter.html
• More on the Aiyagari model: https://python.quantecon.org/aiyagari.html
• Aiyagari model in continuous time: https://nbviewer.jupyter.org/github/QuantEcon/QuantEcon.notebooks/blob/master/aiyagari_continuous_time.ipynb

References

• Aiyagari, S. Rao. "Uninsured idiosyncratic risk and aggregate saving." The Quarterly Journal of Economics 109.3 (1994): 659-684.
• Bewley, Truman. "A difficulty with the optimum quantity of money." Econometrica: Journal of the Econometric Society (1983): 1485-1504.
• Boppart, Timo, Per Krusell, and Kurt Mitman. “Exploiting MIT shocks in heterogeneous-agent economies: the impulse response as a numerical derivative.” Journal of Economic Dynamics and Control 89 (2018): 68-92.
• Christopher D Carroll. The method of endogenous gridpoints for solving dynamic stochastic optimization problems. Economics Letters, 91(3):312–320, 2006.
• Coeurdacier, Nicolas, Helene Rey, and Pablo Winant. "The risky steady state." American Economic Review 101.3 (2011): 398-401.
• Huggett, Mark. "The risk-free rate in heterogeneous-agent incomplete-insurance economies." Journal of economic Dynamics and Control 17.5-6 (1993): 953-969.
• İmrohoroğlu, Ayşe. "The welfare cost of inflation under imperfect insurance." Journal of Economic Dynamics and Control 16.1 (1992): 79-91.
• Ljungqvist, Lars, and Thomas J. Sargent. Recursive macroeconomic theory. MIT press, 2018.
• Reiter, Michael. “Comments on” Exploiting MIT Shocks in Heterogeneous-Agent Economies: The Impulse Response as a Numerical Derivative” by T. Boppart, P. Krusell and K. Mitman.” Journal of Economic Dynamics and Control 89 (2018): 93-99.