This paper proposes a novel finite-state Markov chain approximation method for Markov processes with continuous support. The method can be used for both uni- and multivariate processes, as well as non-stationary processes such as those with a life-cycle component. The method is based on...

This paper studies shock transmission across macroeconomic sectors in the UK, using data from the Bank of England's Flow of Funds statistics. We combine two different approaches to quantify the spread of shocks to assess whether sectors with large bilateral economic linkages as measured through...

This paper studies shock transmission across macroeconomic sectors in the UK, using data from the Bank of England's Flow of Funds statistics. We combine two different approaches to quantify the spread of shocks to assess whether sectors with large bilateral economic linkages as measured through...

Many representative agent macro models suffer from parameter identification failure. These issues extend to the structural parameters of the standard incomplete markets model of Aiyagari (1994), the workhorse heterogeneous agent model for household and firm behavior. Similar as in representative...

This paper develops a discrete-time epidemiological model for the spread of economic crises across sectors in the United States for the period 1952-2015. It is the first to use an epidemiological approach with macroeconomic (Flow of Funds) data. An extension of the usual one-period Markov model...

This paper develops a discrete-time epidemiological model for the spread of crises across sectors in the United States for the period 1952-2015. It is the first to use an epidemiological approach with macroeconomic (Flow of Funds) data. An extension of the usual one-period Markov model to a...