Codes
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How to Build and Solve Continuous-time Heterogeneous Agents Models in Asset Pricing? The Martingale Approach and the Finite Difference Method (2024)
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MainCode: It solves the PDE of stock price for a two-agent model with risk-aversion heterogeneity for RRA_agent1 = 2*RRA_agent2. It implements the Finite Difference method with implicit and upwind schemes.
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PolicyFunctions: It uses the output of Maincode to calculate policy functions.
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SensitivityFunction: A function that solves the PDE of stock price and obtains policy functions. This function depends on model parameters.
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SensitivityAnalysis: It uses SensitivityFunction to obtain policy functions when parameters of the endowment process and the relative risk aversion of agents change.
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RRArange: A function that calculates the range of the RRA of each agent and the maximum value of the RRA of the more risk-averse agent when RRA_agent1 = 2*RRA_agent2.
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NumericalExpectation: A function that approximates the expectation presented in the wealth of the more risk-averse agent using Gaussian quadrature.
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PDEwithoutBoundaries: It solves the PDE of stock price without considering boundary conditions.
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- A DSGE Model with Government-owned Banks (2024)
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Matlab code to simulate a DSGE model with government banks. Parameter sensitivity is analyzed:Code
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