We are delighted to invite you to the Economics research seminar by the CEE (FEBA) researcher Guillermo Hausmann Guil.
Date and time: 15 July, 4PM in MS Teams (please find the link below)
Speaker: Guillermo Hausmann Guil.
Title: Approximate Aggregation Theory for Heterogeneous-Agent Models
Abstract: This paper shows how to use perturbation to build a sequence of linear approximations to the equilibrium laws of motion of heterogeneous-agent models with perfect foresight. The point of approximation is the stationary equilibrium, and the endogenous aggregate states are the first nth moments of the wealth distribution. As n increases, the sequence converges to the true linear approximation, but the marginal contribution of the nth moments decays asymptotically. The result is independent of the algorithm used to compute the stationary equilibrium. In practice, approximations using first and second moments already provide an excellent degree of accuracy, and are easier and faster to compute than the stationary equilibrium itself, in a way that paralels the first-order solution of standard DSGE models. Finally, I also show how to exploit this result to build linear approximations to models with aggregate uncertainty, with one or many assets.
We are looking very much forward to seeing you at this talk!