Data and Code for: Shocks, Frictions, and Inequality in US Business Cycles

Principal Investigator(s): View help for Principal Investigator(s) Christian Bayer, University of Bonn; Benjamin Born, Frankfurt School of Finance and Management; Ralph Lütticke, University of Tuebingen

Version: View help for Version V1

Name	File Type	Size	Last Modified
Data and Code for: Shocks, Frictions, and Inequality in US Business Cycles		0

Project Citation:

Bayer, Christian, Born, Benjamin, and Lütticke, Ralph. Data and Code for: Shocks, Frictions, and Inequality in US Business Cycles. Nashville, TN: American Economic Association [publisher], 2024. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2024-04-16. https://doi.org/10.3886/E194108V1

Project Description

Summary: We show how a heterogeneous-agent New-Keynesian (HANK) model with incomplete markets and portfolio choice can be estimated in state space using a Bayesian approach. To render estimation feasible, the structure of the economy can be exploited and the dimensionality of the model automatically reduced based on the Bayesian priors. We apply this approach to analyze how much inequality matters for the business cycle and vice versa. Even when the model is estimated on aggregate data alone and with a set of shocks and frictions designed to match aggregate data, it broadly reproduces observed US inequality dynamics.

Scope of Project

Subject Terms: Bayesian Estimation; Business Cycles; Dimensionality Reduction; Income and Wealth Inequality; Incomplete Markets

JEL Classification:
      C11 Bayesian Analysis: General
      D31 Personal Income, Wealth, and Their Distributions
      E32 Business Fluctuations; Cycles
      E63 Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy

Geographic Coverage: US

Data Type(s): aggregate data

Related Publications

Download this file

Published Versions

V1 [2024-04-16]

Export Metadata

Dublin Core

DDI 2.5

Report a Problem

Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.

This material is distributed exactly as it arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.