PROGRAMS FOR "HETEROGENEITY, AGGREGATE UNCERTAINTY AND THE
SHORT-TERM INTEREST RATE"
In this paper we solve heterogenous agents models using
the parameterized expectations algorithm (PEA) and the policy
function iterations algorithm (PFI). The problem in solving these
models is that the wealth distribution belongs to the set of state
variables. We solve this problem by approximating
the distribution with a limited set of moments or percentiles.
We find that the number of types has a small effect on the average
interest rate and consumption smoothing.
If you want to download the program, just click on the item and
save it.
PEA program with percentiles from section 3.
PEA program with moments from section 3.
PFI program from section 3.
Simulation PFI program from section 3.
PEA program from section 4.
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