Quantitative Economics
Journal Of The Econometric Society
Edited by: Stéphane Bonhomme • Print ISSN: 1759-7323 • Online ISSN: 1759-7331
Edited by: Stéphane Bonhomme • Print ISSN: 1759-7323 • Online ISSN: 1759-7331
Quantitative Economics: May, 2023, Volume 14, Issue 2
https://doi.org/10.3982/QE1550
p. 717-751
Daeha Cho
This paper uses an estimated Heterogeneous Agent New Keynesian (HANK) model to evaluate the quantitative importance of two channels in driving aggregate consumption fluctuations in the US: (i) precautionary savings against unemployment risk and (ii) MPC heterogeneity. I find that MPC heterogeneity is the dominant channel because a large fraction of households are close to the borrowing limit. The empirical average MPC target in HANK generates counterfactually volatile aggregate consumption, and thus makes it more difficult for the estimated model to match the persistence of the aggregate data, indicating an MPC puzzle. This is because the likelihood‐based estimation favors a low degree of nominal rigidity and responsive monetary policy in the HANK model to reduce the discrepancy between consumption volatility in the model and in the data. The low degree of nominal rigidity and responsive monetary policy reduce the persistence of endogenous variables in the model.
Daeha Cho
This zip file contains the replication files for the manuscript.
Daeha Cho
This article collects the supplemental contents to the main paper. Section A describes the agents’ optimality conditions. Section B collects the detrended equilibrium conditions. Section C shows the approximation of the detrended equilibrium conditions. Section D describes data and provides additional estimation results. Section E presents additional simulation results. Section F provides additional impulse responses to the estimated shocks.
March 5, 2024
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.