Some Pleasant Sequence-Space Arithmetic In Continuous Time

Adrien Bilal and Shlok Goyal

No 33525, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper proposes an analytic representation of sequence-space Jacobians in heterogeneous agent models with aggregate shocks in continuous time. Our approach is based on a pen-and-paper perturbation of individual policy functions with respect to price changes, rather than numerical or automatic differentiation. We obtain linear partial differential equations that can be solved efficiently. Our continuous time algorithm speeds up computation of Jacobians and impulse responses threefold relative to discrete time. Continuous time is key to take the analytic perturbation in the presence of binding borrowing constraints. We illustrate our approach in leading heterogeneous agent models with and without nominal rigidities.

JEL-codes: C02 C6 E10 (search for similar items in EconPapers)
Date: 2025-02
New Economics Papers: this item is included in nep-dge and nep-inv
Note: EFG
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.nber.org/papers/w33525.pdf (application/pdf)
Access to the full text is generally limited to series subscribers, however if the top level domain of the client browser is in a developing country or transition economy free access is provided. More information about subscriptions and free access is available at http://www.nber.org/wwphelp.html. Free access is also available to older working papers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:33525

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w33525
The price is Paper copy available by mail.

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().