How Many Agents are Rational in China’s Economy? Evidence from a Heterogeneous Agent-Based New Keynesian Model

2018 ◽  
Vol 54 (2) ◽  
pp. 575-611 ◽  
Author(s):  
Wei Zhao ◽  
Yi Lu ◽  
Genfu Feng
Keyword(s):  
New Keynesian ◽  
New Keynesian Model ◽  
Heterogeneous Agent ◽  
Agent Based ◽  
Keynesian Model ◽  
China’S Economy

scholarly journals Understanding HANK: Insights From a PRANK

Econometrica ◽  
2020 ◽  
Vol 88 (3) ◽  
pp. 1113-1158 ◽  
Author(s):  
Sushant Acharya ◽  
Keshav Dogra
Keyword(s):  
Monetary Policy ◽  
Fiscal Policy ◽  
Incomplete Markets ◽  
New Keynesian ◽  
New Keynesian Model ◽  
Income Risk ◽  
Heterogeneous Agent ◽  
Liquidity Trap ◽  
Forward Guidance ◽  
Keynesian Model

Using an analytically tractable heterogeneous agent New Keynesian model, we show that whether incomplete markets resolve New Keynesian “paradoxes” depends on the cyclicality of income risk. Incomplete markets reduce the effectiveness of forward guidance and multipliers in a liquidity trap only with procyclical risk. Countercyclical risk amplifies these “puzzles.” Procyclical risk permits determinacy under a peg; countercyclical risk may generate indeterminacy even under the Taylor principle. By affecting the cyclicality of risk, even “passive” fiscal policy influences the effects of monetary policy.

scholarly journals Using the Sequence‐Space Jacobian to Solve and Estimate Heterogeneous‐Agent Models

Econometrica ◽  
2021 ◽  
Vol 89 (5) ◽  
pp. 2375-2408 ◽  
Author(s):  
Adrien Auclert ◽  
Bence Bardóczy ◽  
Matthew Rognlie ◽  
Ludwig Straub
Keyword(s):  
General Equilibrium ◽  
Sequence Space ◽  
New Keynesian ◽  
New Keynesian Model ◽  
Heterogeneous Agent ◽  
Aggregate Shocks ◽  
Perfect Foresight ◽  
Keynesian Model ◽  
Derivatives Of ◽  
Heterogeneous Agent Models

We propose a general and highly efficient method for solving and estimating general equilibrium heterogeneous‐agent models with aggregate shocks in discrete time. Our approach relies on the rapid computation of sequence‐space Jacobians—the derivatives of perfect‐foresight equilibrium mappings between aggregate sequences around the steady state. Our main contribution is a fast algorithm for calculating Jacobians for a large class of heterogeneous‐agent problems. We combine this algorithm with a systematic approach to composing and inverting Jacobians to solve for general equilibrium impulse responses. We obtain a rapid procedure for likelihood‐based estimation and computation of nonlinear perfect‐foresight transitions. We apply our methods to three canonical heterogeneous‐agent models: a neoclassical model, a New Keynesian model with one asset, and a New Keynesian model with two assets.

scholarly journals Public Debt and Changing Inflation Targets

2016 ◽  
Vol 8 (4) ◽  
pp. 142-176 ◽  
Author(s):  
Michael U. Krause ◽  
Stéphane Moyen
Keyword(s):  
Central Bank ◽  
Public Debt ◽  
Pronounced Effect ◽  
New Keynesian ◽  
Moderate Increase ◽  
New Keynesian Model ◽  
Inflation Target ◽  
Keynesian Model ◽  
Maturity Structure ◽  
Inflation Targets

What are the effects of a higher central bank inflation target on the burden of real public debt? Several recent proposals have suggested that even a moderate increase in the inflation target can have a pronounced effect on real public debt. We consider this question in a New Keynesian model with a maturity structure of public debt and an imperfectly observed inflation target. We find that moderate changes in the inflation target only have significant effects on real public debt if they are essentially permanent. Moreover, the additional benefits of not communicating a change in the inflation target are minor. (JEL E12, E31, E52, H63)

scholarly journals An estimated New-Keynesian model with unemployment as excess supply of labor

2014 ◽  
Vol 40 ◽  
pp. 338-359 ◽  
Author(s):  
Miguel Casares ◽  
Antonio Moreno ◽  
Jesús Vázquez
Keyword(s):  
New Keynesian ◽  
New Keynesian Model ◽  
Excess Supply ◽  
Keynesian Model
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