A Bayesian Estimation of HANK models with Continuous Time Approach:Comparison between US and Japan

Hasumi, Ryo and Iiboshi, Hirokuni (2019): A Bayesian Estimation of HANK models with Continuous Time Approach:Comparison between US and Japan.

Abstract

Abstract This paper estimates heterogeneous agent New Keynesian (HANK) model for US and Japan through three aggregate observations: real GDP, inflation and interest rate, by adopting combination of easy-to-use computational method for solving the model, developed by Ahn, Kaplan, Moll, Winberry and Wolf (2019), and sequential Monte Carlo (SMC) method with Kalman filter applied for Bayesian estimation with parallel computing. The combination make us enjoy the estimation of HANK just using a Laptop PC, e.g., Mac Book Pro, with MATLAB, neither many-core server computer nor FORTRUN language. We show estimation results of one Asset HANK model, i.e., impulse response, fluctuations of distributions of heterogeneous agent as well as historical decomposition for both countries. Even though using the same model, different data draws different pictures.

• Item Type: MPRA Paper
• Language: English
• Keywords: Heterogeneous Agent model, Linearization, Model Reduction, Bayesian estimation, Sequential Monte Carlo, Kalman Filter
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; E - Macroeconomics and Monetary Economics > E1 - General Aggregative Models > E12 - Keynes ; Keynesian ; Post-Keynesian; E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy > E21 - Consumption ; Saving ; Wealth; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E43 - Interest Rates: Determination, Term Structure, and Effects; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy; E - Macroeconomics and Monetary Economics > E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook > E62 - Fiscal Policy

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