Continuou-time methods in Macroeconomics

This material has been prepared for several PhD-level courses taught alone or with Jesús Fernández-Villaverde
Here is the Syllabus at LUISS (May 2020)

Slides

• Lecture Notes 1: Motivation.
• Lecture Notes 2: Dynamic programming in continuous time.
• Lecture Notes 3: Deep learning and reinforcement learning.
• Lecture Notes 4: Heterogeneous agent models.
• Lecture Notes 5: Optimal policies with heterogeneous agents.

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Codes

• Huggett model with Poisson shocks (steady state)
• Aiyagari model with diffusions (transition dynamics)
• Financial frictions and the wealth distribution
• Constrained-efficient allocation in Aiyagari model with finite lifetimes
• Optimal monetary policy with heterogeneous agents