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  1. Solving Heterogeneous Agent Models with the Master Equation
    Author: Bilal, Adrien
    Published: April 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    This paper proposes an analytic representation of perturbations in heterogeneous agent economies with aggregate shocks. Treating the underlying distribution as an explicit state variable, a single value function defined on an infinite-dimensional... more

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    This paper proposes an analytic representation of perturbations in heterogeneous agent economies with aggregate shocks. Treating the underlying distribution as an explicit state variable, a single value function defined on an infinite-dimensional state space provides a fully recursive representation of the economy: the 'Master Equation' introduced in the mathematics mean field games literature. I show that analytic local perturbations of the Master Equation around steady-state deliver dramatic simplifications. The First-order Approximation to the Master Equation (FAME) reduces to a standard Bellman equation for the directional derivatives of the value function with respect to the distribution and aggregate shocks. The FAME has six main advantages: (i) finite dimension; (ii) closed-form mapping to steady-state objects; (iii) applicability when many distributional moments or prices enter individuals' decision such as dynamic trade, urban or job ladder settings; (iv) block-recursivity bypassing further fixed points; (v) mapping to analytic sequence-space derivatives; (vi) fast implementation using standard numerical methods. I develop the Second-order Approximation to the Master Equation (SAME) and show that it shares these properties, making the approach amenable to settings such as asset pricing. I apply the method to two economies: an incomplete market model with unemployment and a wage ladder, and a discrete choice spatial model with migration

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w31103
    Subjects: Agentenbasierte Modellierung; Wirtschaftsmathematik; Mathematical Methods; Mathematical Methods; Programming Models; Mathematical and Simulation Modeling; General
    Scope: 1 Online-Ressource, illustrations (black and white)
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    Hardcopy version available to institutional subscribers
  2. Large Language Models as Simulated Economic Agents
    What Can We Learn from Homo Silicus?
    Author: Horton, John J.
    Published: April 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    Newly-developed large language models (LLM)--because of how they are trained and designed--are implicit computational models of humans--a homo silicus. LLMs can be used like economists use homo economicus: they can be given endowments, information,... more

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    Newly-developed large language models (LLM)--because of how they are trained and designed--are implicit computational models of humans--a homo silicus. LLMs can be used like economists use homo economicus: they can be given endowments, information, preferences, and so on, and then their behavior can be explored in scenarios via simulation. Experiments using this approach, derived from Charness and Rabin (2002), Kahneman, Knetsch and Thaler (1986), and Samuelson and Zeckhauser (1988) show qualitatively similar results to the original, but it is also easy to try variations for fresh insights. LLMs could allow researchers to pilot studies via simulation first, searching for novel social science insights to test in the real world

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w31122
    Subjects: Künstliche Intelligenz; Methodologie; Agentenbasierte Modellierung; Wirtschaftsforschung; General
    Scope: 1 Online-Ressource, illustrations (black and white)
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  3. Investigating B2B innovation platforms from a complexity perspective
    a simulation-based approach
    Author: Schmid, Marius
    Published: 2023

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  4. Heterogeneous Agent Trade
    Author: Waugh, Michael E.
    Published: October 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    This paper studies the implications of household heterogeneity for trade. I develop a model where household heterogeneity is induced via incomplete markets and results in heterogeneous price elasticities. Conditional on exposure to trade,... more

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    This paper studies the implications of household heterogeneity for trade. I develop a model where household heterogeneity is induced via incomplete markets and results in heterogeneous price elasticities. Conditional on exposure to trade, heterogeneous price elasticities imply that different households value price changes differently, and thus rich and poor households experience different gains from trade. I calibrate the model to match bilateral trade flows and micro-facts about household-level expenditure patterns and elasticities. I find gains from trade that are pro-poor and that the average gains from trade are substantially larger than representative agent benchmarks

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w31810
    Subjects: Privater Haushalt; Außenhandel; Außenhandelsgewinn; Agentenbasierte Modellierung; Außenwirtschaftstheorie; Personal Income, Wealth, and Their Distributions; Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy; Trade; Macroeconomic Aspects of International Trade and Finance
    Scope: 1 Online-Ressource, illustrations (black and white)
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  5. A Perturbational Approach for Approximating Heterogeneous Agent Models
    Author: Bhandari, Anmol; Bourany, Thomas; Evans, David; Golosov, Michail Ju.
    Published: September 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    We develop a perturbational technique to approximate equilibria of a wide class of discrete-time dynamic stochastic general equilibrium heterogeneous-agent models with complex state spaces, including multi-dimensional distributions of endogenous... more

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    We develop a perturbational technique to approximate equilibria of a wide class of discrete-time dynamic stochastic general equilibrium heterogeneous-agent models with complex state spaces, including multi-dimensional distributions of endogenous variables. We show that approximating policy functions and stochastic process that governs the distributional state to any order is equivalent to solving small systems of linear equations that characterize values of certain directional derivatives. We analytically derive the coefficients of these linear systems and show that they satisfy simple recursive relations, making their numerical implementation quick and efficient. Compared to existing state-of-the-art techniques, our method is faster in constructing first-order approximations and extends to higher orders, capturing the effects of risk that are ignored by many current methods. We illustrate how to apply our method to a broad set of questions such as impacts of first- and second-moment shocks, welfare effect of macroeconomic risk and stabilization policies, endogenous household portfolio formation, and transition dynamics in heterogeneous agent general equilibrium settings

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w31744
    Subjects: Agentenbasierte Modellierung; Konjunkturtheorie; Prices, Business Fluctuations, and Cycles
    Scope: 1 Online-Ressource, illustrations (black and white)
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    Hardcopy version available to institutional subscribers