Heterogeneous Agent Models in Continuous Time with Monetary Policy Applications

Euro Area Business Cycle Network Training School

“Heterogeneous Agent Models in Continuous Time

with Monetary Policy Applications”


Benjamin Moll

(Princeton University, NBER and CEPR)

Venue: Room: EO 150, University of Mannheim, Schloss, D-68131 Mannheim

4-6 June 2018


Monday 4 June

08.15-09.00         Registration and Welcome Coffee

09.00-10.30         Session 1: Introduction and Overview, Hamilton-Jacobi-Bellman (HJB) equations

10.30-11.00         Coffee break

11.00-12.30         Session 2: numerical solution of HJB equation, continuous-time stochastic processes, Kolmogorov Forward (KF) equations

12.30-14.00         Lunch

14.00-15.30         Tutorial 1: derivation of HJB equation from discrete-time Bellman equation, Matlab codes for the numerical solution of HJB and KF equations

Tuesday 5 June

09.00-10.30         Session 3: Continuous-time version of workhorse heterogeneous-agent (Achdou et al)

10.30-11.00         Coffee break

11.00-12.30         Session 4: HANK: Heterogeneous Agent New Keynesian models (Kaplan-Moll-Violante)

12.30-14.00         Lunch   

14.00-15.30         Tutorial 2: Newton method for transition dynamics and MIT shocks, numerical solution of advanced problems (e.g. non-convexities, stopping time problems, multiple assets)

Wednesday 6 June

09.00-10.30         Session 5: Perturbation method for heterogeneous-agent models with aggregate shocks (Ahn-Kaplan-Moll-Winberry-Wolf, continuous-time Reiter method)

10.30-11.00         Coffee break

11.00-12.30         Session 6: Application to one-asset HANK model, model reduction

12.30-14.00         Lunch

14.00-15.30         Tutorial 3: Automatic differentiation, Bayesian estimation, discrete-time Reiter method