sbenthall
commented
1 year ago Configuration checklist based on the CDC LAP notes. link
LAP assumptions that we are not matching in simulation
- All returns on assets are consumed each period.
- All assets are held by consumers. (As opposed to other investor classes who do not consume.)
- All agents know each others' homogeneous preferences. (Heterogeneous institutional investors)
- Exactly one agent and one tree (used for normalization).
Assumptions we can match
- No labor income for consumers #208
- CRRA utility for consumers with homogeneous $rho$ and $beta$
- lognormal random walk dividend process
What we are doing very differently
- Prices are being set primarily by LAP-informed market agents -- institutional investors and market makers. (In the mock market case, this is done by assumption.)
- Consumers do not have direct market impact (they are assumed or parameterized to be 'very small')
- Consumers engage in portfolio allocation and consumption decision, but these decisions are boring because expectations are based in LAP.
Complete #197 by submitting PR to CDC noteshttps://github.com/llorracc/LucasAssetPrice-Latest/pull/2Checklist for the configuration of a Lucas0 simulation that is calibrated properly. (e.g. no labor income).#199 See comment below.