work in progress

work in progress papers in reversed chronological order. generated by jekyll-scholar.

  1. Inflation Deanchoring Risk
    with Marcos Lissauer

    We develop a continuous-time macro-finance model with price stickiness and household disagreement on economic fundamentals. These generate an endogenous distribution of inflation expectations. We calibrate the model to match the time-varying dispersion of inflation expectations observed in the data. We use the model to study how optimal policy differs in the presence of endogenous inflation disagreement.

  2. Deep Learning for Default Models

    Many economic problems in macro-finance involve default decisions by heterogeneous agents. This paper proposes a deep learning based method to solve high dimensional rational expectations default models. The method can accurately solve for complex default boundaries in high-dimensional state spaces. We provide an application to a model with heterogeneous banks with rich balance sheet details and different customer base.