camriddell / bayerluetticke

This folder contains code that solves models from the paper of Bayer and Luetikke, "Solving heterogeneous agent models in discrete time with many idiosyncratic states by perturbation methods" found at:

https://cepr.org/active/publications/discussion_papers/dp.php?dpno=13071#

The paper solves three models, represented here in three places:

A Krusell-Smith model with a single asset:

• [OneAsset-KS]
  • in Assets/One execute SteadyStateOneAssetIOUs.py then FluctuationsOneAssetIOUs.py

A HANK model with a single asset: - [OneAsset-HANK] - in Assets/One execute SteadyStateOneAssetIOUsBond.py then FluctuationsOneAssetIOUs.py

A HANK model with a liquid and an illiquid asset, [TwoAsset-HANK] - [TwoAsset-HANK] - in Assets/Two execute SteadyStateTwoAsset.py then FluctuationsTwoAsset.py

Other content:

1. BayerLuetticke_wrapper.py creates a wrapper to the one asset version of BayerLuettike's code.

   • This file:

     • Creates BayerLuettickeAgent and BayerLuettickeEconomy which are simple wrappers to BayerLuetikke's code, presently only the steady state part of this.
     • Simulates a BayerLuettickeEconomy with 10,000 agents in steady state

2. ConsIndShockModel_extension.py extends ConsIndShockModel to calculate and store a histogram of the distribution of agents.

   • This is a starting point for an alternative method for creating the steady state required as an input for the BL method. (It's only a starting point because the remaining steps to format the output in the manner required by the BL code have not been taken).