Fifth-order perturbation solution to DSGE models

DOI10.1016/j.jedc.2017.04.007zbMath1401.91245OpenAlexW3124178402MaRDI QIDQ1655505

Oren Levintal

Publication date: 9 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2017.04.007

zbMATH Keywords

perturbationDSGErare disastersfifth orderhigh-order multivariate chain rules

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Dynamic stochastic general equilibrium theory (91B51)

Related Items (6)

Computing time-consistent equilibria: a perturbation approach ⋮ The risk premium in New Keynesian DSGE models: the cost of inflation channel ⋮ The extended perturbation method: With applications to the New Keynesian model and the zero lower bound ⋮ Estimating nonlinear dynamic equilibrium models by matching impulse responses ⋮ Risk matters: breaking certainty equivalence in linear approximations ⋮ Perturbations in DSGE models: an odd derivatives theorem

Uses Software

• Dynare
• Uhlig Toolkit
• Gensys

Cites Work

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