Computing the risky steady state of DSGE models

DOI10.1016/J.ECONLET.2013.06.025MaRDI QIDQ2446285zbMATH OpenOpenAlexFDO

Authors Oliver de Groot

Publication date 16 April 2014

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2013.06.025

zbMATH Keywords

computationDSGE modelsrisky steady state

Mathematics Subject Classification ID

Dynamic stochastic general equilibrium theory (91B51)

Recommendations

• An OLS approach to computing Ramsey equilibria in medium-scale macroeconomic models
• Computing the steady state of linear quadratic optimization models with rational expectations
• Solving dynamic general equilibrium models using a second-order approximation to the policy function
• Solving DSGE models with a nonlinear moving average
• Solving and estimating indeterminate DSGE models

Cites work

• Accuracy of stochastic perturbation methods: The case of asset pricing models
• Solving asset pricing models with Gaussian shocks
• Solving dynamic general equilibrium models using a second-order approximation to the policy function

Cited in

(5)

• Bank equity and macroprudential policy
• Endogenous risk in a DSGE model with capital-constrained financial intermediaries
• Risk matters: breaking certainty equivalence in linear approximations
• An OLS approach to computing Ramsey equilibria in medium-scale macroeconomic models
• Risk sensitive linear approximations

This page was built for publication: Computing the risky steady state of DSGE models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2446285)