HugoLhuillier / TwoAssetsContinuousTime

julia solution to the two-asset model of kaplan, moll and violante (2018)

two assets model in continuous time

this code solves the continuous time version of the two asset models with adjustment cost presented in kaplan and violante (2014) and kaplan, moll and violante (2018).

it is mostly a replication of ben moll's matlab code.

use

once cloned on your computer, run

p, hh = TwoAssetsContinuousTime.hjb()   # solves for the policy functions
TwoAssetsContinuousTime.kde!(p, hh)     # solves for the stationary distribution

to change the calibration, modify the src/params.json file.

dependencies

this code uses pardiso.jl, which requires you to have the mkl library installed. while the installation can be a bit cumbersome, this allows us to use parallel computing to solve the hjb and kfe.

results

the stationary distribution over illiquid and liquid wealth for the high income households looks like

the remaining figures can be found in the fig/ folder.