Dynamic stochastic general equilibrium models with heterogeneous agents: theory, computation and application

Diplôme Thèse Dynamic stochastic general equilibrium models with heterogeneous agents: theory, computation and application eng 2018-06-26 author Proehl Elisabeth Rita 811968 director Scaillet Olivier 0000-0002-3948-6891 134311 director Gibson Brandon Rajna Nicole 21951 10.13097/archive-ouverte/unige:107034 urn:nbn:ch:unige-1070348 GSEM 56 Dynamic stochastic general equilibrium models with ex-post heterogeneity due to idiosyncratic risk pose numerous challenges stemming from the cross-sectional distribution of endogenous variables which changes stochastically over time due to aggregate risk. In this thesis, I tackle various open questions. My first contribution is of a theoretical nature as I establish existence and uniqueness of the Aiyagari-Bewley growth model. The second challenge I address has a more practical concern. I propose a new numerical method to compute solutions to heterogeneous agent models. With the derived approximation error bounds, I ensure convergence to the rational expectations equilibrium. Equipped with this novel theoretically founded method, I show that even two standard economic models like the Aiyagari-Bewley growth model and the Huggett economy yield intriguing results. When agents progressively share idiosyncratic risk, heterogeneity increasingly amplifies aggregate risk. Furthermore, the volatility of the expected stationary cross-sectional distribution and of the stationary price distribution rises. Dynamic stochastic general equilibrium Incomplete markets Heterogeneous agents Aggregate uncertainty Existence Convergence Numerical solutions Polynomial chaos Dewey 650 116 Geneva Finance Research Institute S4 false de0cc9f3-1ef4-498b-8c78-44e8933db54e Thesis Public PhDThesis_EProehl.pdf 2037137 application/pdf openAccess Faculté d'économie et de management / Geneva Finance Research Institute

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Proehl, Elisabeth Rita