Inequality, Stock Market Participation, and the Equity Premium (2008)
Jack Favilukis, Sydney Ludvigson, Anthony Lynch, Thomas Sargent, Stijn Van Nieuwerburgh
Over the last 25 years, labor income inequality has increased significantly, furthermore equity returns were unusually high; one may expect this should lead to significant increases in wealth and...
Education, Technical Change, and Openness ∗ (2007)
Krishna B. Kumar, Hans Mikkelsen, Thomas Sargent, Nancy Stokey, For Comments
In this paper, we develop a simple open economy growth model that allows for the possibility that productivity growth and education affect each other and use it to empirically address issues of...
Asset Prices and Business Cycles under Limited Commitment (2007)
Lars Peter Hansen, Marcelo Navarro, Thomas Sargent
This paper presents a business-cycle model with heterogeneous agents that have access to complete markets but face endogenous borrowing and savings constraints. These constraints are motivated by the...
An algorithm to solve heterogenous agent models with aggregate uncertainty, Working Paper (2006)
Jack Favilukis, Sydney Ludvigson, Anthony Lynch, Thomas Sargent, Stijn Van Nieuwerburgh
General equilibrium models with heterogeneous agents are very difficult to solve because the wealth distribution, a multidimensional and infinite object, must be part of the state space. Krussell and...
Robustness and pricing with uncertain growth (2002)
Marco Cagetti, Lars Peter Hansen, Thomas Sargent, Noah Williams
Abstract. We study how decision makers ' concerns about robustness a#ect prices and quantities in a stochastic growth model. In the model economy, growth rates in technology are altered by...
Robustness and pricing with uncertain growth (2002)
Marco Cagetti, Lars Peter Hansen, Thomas Sargent, Noah Williams
Abstract. We construct models of robust decision-making and pricing when contemporaneous big and small shocks hit a stochastic-growth economy. Large shocks are infrequent changes and small shocks are...
Robustness and pricing with uncertain growth (2002)
Marco Cagetti, Lars Peter Hansen, Thomas Sargent, Noah Williams
Abstract. We develop models of robust decision-making and pricing when there are contemporaneous big and small shocks. We illustrate these models using a stochasticgrowth economy. Large shocks are...
Robustness and pricing with uncertain growth (2002)
Marco Cagetti, Lars Peter Hansen, Thomas Sargent, Noah Williams
Abstract. We develop models of robust decision-making and pricing when there are contemporaneous big and small shocks. We illustrate these models using a stochasticgrowth economy. Large shocks are...
Exchange Rates and Casualties During the First World War (2002)
George J. Hall, William Brainard, Timothy Guinnane, Lingfeng Li, Thomas Sargent, ...
Watson for helpful conversations. I thank Richard Burdekin, Marc Weidenmier, and seminar participants at Yale and Rutgers for constructive comments. The views expressed herein are those of the author...
Robustness and pricing with uncertain growth (2002)
Marco Cagetti, Lars Peter Hansen, Thomas Sargent, Noah Williams
Abstract. We study how decision makers ’ concerns about robustness affect prices and quantities in a stochastic growth model. In the model economy, growth rates in technology are altered by...
Robustnessand Pricing with Uncertain Growth (2002)
Marco Cagetti Virginia, Lars Peter Hansen, Thomas Sargent, Noah Williams
this article wemoJG investo preferences using a penalty approy. that lets investoJ exploD deviatioE fro anapproH.2JGEj mor o thetechnoL oe evoDNFE.2 FoJJjEH , we append a termto thediscoNN.2 expected...
Robustness and Pricing with Uncertain Growth (2002)
Cagetti, Marco, Hansen, Lars Peter, Sargent, Thomas, Williams, Noah
We study how decision‐makers' concerns about robustness affect prices and quantities in a stochastic growth model. In the model economy, growth rates in technology are altered by infrequent...
Robustness and Pricing with Uncertain Growth (2000)
Marco Cagetti, Lars Peter Hansen, Thomas Sargent, Noah Williams
. We develop models of robust decision-making and pricing when there are simultaneously big shocks and small shocks. We illustrate these models using a stochasticgrowth economy. Big shocks are...
Animal Spirits, Technology Shocks And The Business Cycle (1997)
Mark Weder, Dalia Marin, Ellen Mcgrattan, Harald Uhlig, Thomas Sargent, Rolf Tschernig
In this paper a two-sector growth model allowing indeterminacy to occur at relatively mild degrees of increasing returns is developed. It is shown that these economies of scale need only be present...
Politics and Efficiency of Separating Capital and Ordinary Government Budgets
Marco Bassetto, Thomas Sargent
We analyze the democratic politics of a rule that separates capital and ordinary account budgets and allows the government to issue debt to finance capital items only. Many national governments...
Benefits from U.S. Monetary Policy Experimentation in the Days of Samuelson
Timothy Cogley, Thomas Sargent, Riccardo Colacito
experimentation, Bayes law, robustness
Matlab programs by Hansen and T. Sargent
A set of programs from the book 'Recursive Linear Models of Dynamic Economies' by Hansen and T. Sargent
The Conquest of South American Inflation
Thomas Sargent, Noah Williams, Tao Zha
We infer determinants of Latin American hyperinflations and stabilizations by using the method of maximum likelihood to estimate a hidden Markov model that potentially assigns roles both to...
Shocks and Government Beliefs: The Rise and Fall of American Inflation
Thomas Sargent, Noah Williams, Tao Zha
We use a Bayesian Markov Chain Monte Carlo algorithm to estimate the parameters of a “true” data-generating mechanism and those of a sequence of approximating models that a monetary authority...
Shocks and government beliefs: the rise and fall of American inflation
Thomas Sargent, Noah Williams, Tao Zha
The authors use a Bayesian Markov chain Monte Carlo algorithm to estimate a model that allows temporary gaps between a true expectational Phillips curve and the monetary authority’s approximating...
A, B, C’s, (and D’s) for understanding VARs
Jesús Fernández-Villaverde, Thomas Sargent
The dynamics of a linear (or linearized) dynamic stochastic economic model can be expressed in terms of matrices (A, B, C, D) that define a state-space system. An associated state space system (A, K,...
The conquest of South American inflation
Thomas Sargent, Noah Williams, Tao Zha
We infer determinants of Latin American hyperinflations and stabilizations by using the method of maximum likelihood to estimate a hidden Markov model that potentially assigns roles both to...
Matlab code for Neal's model of career choice
Neal's worker chooses career, job(theta,epsilon) pair given the distribution of career and job, which is uniform in this program. He can either reject current pair in hand, or reject current job and...
Evolving Post-World War II U.S. Inflation Dynamics
Timothy Cogley, Thomas Sargent
This paper uses a nonlinear stochastic model to describe inflation-unemployment dynamics in the U.S. after World War II. The model is a vector autoregression with coefficients that are random walks...
Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII US
Timothy Cogley, Thomas Sargent
For a VAR with drifting coefficients and stochastic volatilities, we present posterior densities for several objects that are of interest for designing and evaluating monetary policy. These include...
Sustaining a Time-Consistent Ramsey Plan with Options
Francois Velde, Thomas Sargent
Where the state evolves according to a discrete-state Markov chain, we sustain Lucas and Stokey's debt structure dynamics by having it emerge sequentially as the unique outcome of a sequence of...
Hansen-Janagathan bounds computation
Lars Ljungqvist, Thomas Sargent
These programs allow to compute HJ bounds, sample data is provided.
Matlab code for Hopenhayn-Nicolini's optimal unemployment insurance model
Lars Ljungqvist, Thomas Sargent
hugo.m: the main program which calculates the replacement ratio for unemployment scheme without wage tax. valhugo.m: the function file defining the value function of planner.
Matlab code for the Bewley model with production
Lars Ljungqvist, Thomas Sargent
This series of programs solve a Bewley model with production
Matlab code for the Kalman filter
Computes the Kalman gain and the stationary covariance matrix using the Kalman filter of a linear forward looking model
Matlab code for the Riccati solution to linear quadratic model
This program calculates through Riccati iterations the feedback laws of a quadratic problem with linear constraints.
This program uses the "doubling algorithm" to solve the Riccati matrix difference equations associated with the Kalman filter. A is nxn, C is kxn, Q is nxn, R is kxk. The program returns the gain K...
Matlab code for the frequency response of a digital filter
Frequency response of a digital filter
Matlab code for Jovanovic's matching model
A revised version of Jovanovic's model. Given current human capital level, the worker decides how to devide time between investment in human capital and search for other jobs. The probabilty of...
Matlab code for Nash feedback equilibrium of a linear quadratic dynamic game
This program computes the Nash feedback equilibrium of a linear quadratic dynamic game. Each of two players solves a linear quadratic optimization problem, taking as given and known the sequence of...
Matlab code for a Laffer curve equilibrium
Computes the Laffer curve equilibrium. Requires schurg.m by Evan Anderson
Matlab code for limit of a Nash linear quadratic two-player dynamic game
This program computes the limit of a Nash linear quadratic two-player dynamic game. The program constructs the Nash feedback equilibrium by iterating on the pair of Ricatti equations corresponding to...
Matlab code for policy iteration algorithm
Policy iteration algorithm of Howard applied to linear regulator. Also known as Newton's method.
Matlab code for the spectrum of a stochastic process
This function computes the "spectrum" (i.e., the squared amplitude of the frequency response function) of a stochastic process a(L)x(t) = b(L) e(t) where e(t) is a white noise with unit variance and...
Matlab code for the robustness in forward looking models, oligopoly example
Thomas Sargent, Stijn Van Nieuwerburgh
See program for model description
Matlab code for robust Muth decision filter
Lars Peter Hansen, Thomas Sargent
Computes robust Muth decision filter for the problem with state space representation Solves the robust filtering problem for the state space system x' = A x + B u + D w, y = C x + E w, z = H x + G u.
Matlab code for robustifying Muth Filter
Lars Peter Hansen, Thomas Sargent
Plots variance of the worst case shock as a function of parameters and given filter. It is expected that the minimum occurs at the robust filter.
Robustness and Pricing with Uncertain Growth
Marco Cagetti, Lars Peter Hansen, Thomas Sargent, Noah Williams
We study how decision-makers' concerns about robustness affect prices and quantities in a stochastic growth model. In the model economy, growth rates in technology are altered by infrequent large...
Shocks and Government Beliefs: The Rise and Fall of American Inflation
Thomas Sargent, Noah Williams, Tao Zha
We use a Bayesian Markov Chain Monte Carlo algorithm to estimate a model that allows temporary gaps between a true expectational Phillips curve and the monetary authority's approximating...
Monetary policies and low-frequency manifestations of the quantity theory
Sargent, Thomas, Surico, Paolo
To detect the quantity theory of money, we follow Lucas (1980) by looking at scatter plots of filtered time series of inflation and money growth rates and interest rates and money growth rates. Like...
The Conquest of South American Inflation
Thomas Sargent, Noah Williams, Tao Zha
We infer determinants of Latin American hyperinflations and stabilizations by using the method of maximum likelihood to estimate a hidden Markov model that assigns roles both to fundamentals in the...