Master Class: Heterogeneous Agents in Macroeconomics

Master Class: Heterogeneous Agents in Macroeconomics

Fall 2021: August 16 – 22

This program will take place online

Description

This is an introductory (but at a graduate level) course of heterogeneous agents in macroeconomics in continuous time. We will discuss step by step the solution of a well-known model in macroeconomics: the Huggett model. We will discuss the economy, the HJB equation, the Fokker-Planck equation, and the stationary equilibrium. We will do the math behind this model, and then we will solve it in Matlab by the Finite Difference Method. The instructor is Hamilton Galindo.

Scholarship

The RIEF fully funds this program. Currently, we have 20 scholarships available. When you apply to this Master Class, you are also applying for this scholarship.

Program

Every lecture lasts three hours and starts at 7 pm (Lima, Peru Time).

Monday 16: Introduction

  • An overview of heterogeneous agents in macroeconomics
  • An overview of Mean Field Games (MFGs)
  • Stochastic tools for continuous-time models

Tuesday 17: Huggett Model with Poisson Process I

  • The economy
  • The Hamilton-Jacobi-Bellman equation
  • The Fokker-Planck equation
  • The Mean Field Game (MFG) system
  • The stationary equilibrium

Wednesday 18: Huggett Model with Poisson Process II

  • The numerical method to solve the MFG system: Finite Difference Method (explicit and implicit approach)
  • Derivative approximation: Upwind scheme
  • Numerical solution: The Hamilton-Jacobi-Bellman equation (Matlab)

Thursday 19: Huggett Model with Poisson Process III

  • Numerical solution: The Fokker-Planck equation (Matlab)
  • Numerical solution: The asset supply (Matlab)
  • Numerical solution: The stationary equilibrium (Matlab)

Friday 20: Huggett Model with Diffusion Process I

  • The economy
  • The MFG system
  • Numerical solution: The Hamilton-Jacobi-Bellman equation (Matlab)

Saturday 21: Huggett Model with Diffusion Process II

  • Numerical Solution: The Fokker-Planck Equation (Matlab)
  • Numerical Solution: The Equilibrium (Matlab)

Sunday 22: Summary and Next Master Class

  • The Huggett model and MFG
  • The Master Equation (ME)
  • Possible research topics

Application Process

The application is open to any graduate and advanced undergraduate students. Knowledge of programming and dynamic macroeconomics is a prerequisite. We are open to participants from any field, but we expect participants to come mainly from economics and finance.

1° Fill out the following form:

Application Form

2° After filling out the form, you must send the email to rief@ri-ef.com (with the words “Master Class: HA-2021” in the subject box). The following documents:

  1. A full CV
  2. A motivation letter of half a page explaining why attending this course would be helpful to the applicant’s research. 
  3. A recommendation letter. Your recommender (professor or supervisor) should send his/her letter from an institutional email to rief@ri-ef.com.  

The application deadline is July 23th, 2021. Decisions will be emailed by August 2nd, 2021.