Sequence-Space Jacobians of Life-Cycle Models

Bence Bardóczy, Akshay Shanker () and Mateo Velásquez-Giraldo
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Bence Bardóczy: https://www.federalreserve.gov/econres/bence-a-bardoczy.htm

No 2026-046, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: The sequence-space Jacobian (SSJ) method of Auclert et al. (2021a) has made heterogeneous-agent models far easier to solve, fueling an explosion of applications. But even SSJ strains against capacity constraints when state spaces grow very large, as in economies with overlapping generations of heterogeneous agents (HA-OLG). We show how to exploit the special properties of age—finite planning horizons and deterministic transitions between ages—to compute the Jacobians of a general class of HA-OLG models orders of magnitude faster. We provide rigorous proofs, age-specific Jacobians that decompose aggregate dynamics across cohorts, an application to the dynamic general-equilibrium effects of secularly declining birth rates, and an accessible cookbook for adopting our method.

Keywords: life cycle; heterogeneous-agent models; sequence-space Jacobian; population aging; R-star (search for similar items in EconPapers)
JEL-codes: C61 C63 D15 (search for similar items in EconPapers)
Pages: 65 p.
Date: 2026-06-24
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:103447

DOI: 10.17016/FEDS.2026.046

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