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SUMMARY:Financial Frictions and the Wealth Distribution
DTSTART:20200904T030000
DTEND:20200904T043000
DTSTAMP:20260506T080514Z
UID:451730c58e5ef20f75ee69c1a933e2e4a6390c2a7102633c00172b47
CATEGORIES:Conferences - Seminars
DESCRIPTION:Jesus FERNANDEZ-VILLAVERDE\, University of Pennsylvania\nWe po
 stulate a nonlinear DSGE model with a financial sector and heterogeneous h
 ouseholds. In our model\, the interaction between the supply of bonds by t
 he financial sector and the precautionary demand for bonds by households p
 roduces significant endogenous aggregate risk. This risk induces an endoge
 nous regime-switching process for output\, the risk-free rate\, excess ret
 urns\, debt\, and leverage. The regime-switching generates i) multimodal d
 istributions of the variables above\; ii) time-varying levels of volatilit
 y and skewness for the same variables\; and iii) super cycles of borrowing
  and deleveraging. All of these are\nimportant properties of the data. In 
 comparison\, the representative household version of the model cannot gene
 rate any of these features. Methodologically\, we discuss how nonlinear DS
 GE models with heterogeneous agents can be efficiently computed using mach
 ine learning and how they can be estimated with a likelihood function\, us
 ing inference with diffusions.
LOCATION:Zoom
STATUS:CONFIRMED
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