Fifth-order perturbation solution to DSGE models
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Cites work
- Asymptotic methods for aggregate growth models
- Calculating and using second-order accurate solutions of discrete time dynamic equilibrium models
- Comparing solution methods for dynamic equilibrium economies
- Comparison of solutions to the multi-country real business cycle model
- Estimating dynamic equilibrium models with stochastic volatility
- Estimating nonlinear DSGE models by the simulated method of moments: with an application to business cycles
- Evaluating Derivatives
- scientific article; zbMATH DE number 4141383 (Why is no real title available?)
- scientific article; zbMATH DE number 1241609 (Why is no real title available?)
- Multi-country real business cycle models: accuracy tests and test bench
- On the size distribution of macroeconomic disasters
- Perturbation methods for Markov-switching dynamic stochastic general equilibrium models
- Rare disasters and asset markets in the twentieth century
- Rare Disasters and Exchange Rates *
- Second-order approximation of dynamic models with time-varying risk
- Second-order approximation of dynamic models without the use of tensors
- Solution methods for models with rare disasters
- Solving asset pricing models with Gaussian shocks
- Solving asset pricing models with stochastic volatility
- Solving DSGE models with a nonlinear moving average
- Solving dynamic general equilibrium models using a second-order approximation to the policy function
- SOLVING LARGE-SCALE RATIONAL-EXPECTATIONS MODELS
- Solving linear rational expectations models
- Solving SDGE models: a new algorithm for the Sylvester equation
- The Solution of Linear Difference Models under Rational Expectations
- Using the generalized Schur form to solve a multivariate linear rational expectations model
- Variable rare disasters: an exactly solved framework for ten puzzles in macro-finance
Cited in
(14)- Solving DSGE models with a nonlinear moving average
- Solvability of perturbation solutions in DSGE models
- Risk matters: breaking certainty equivalence in linear approximations
- Computing time-consistent equilibria: a perturbation approach
- Estimating nonlinear dynamic equilibrium models by matching impulse responses
- Perturbations in DSGE models: an odd derivatives theorem
- Semi-global solutions to DSGE models: perturbation around a deterministic path
- A system reduction method to efficiently solve DSGE models
- 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
- Approximating around the stochastic steady state matters: rethinking uncertainty shocks in small open economies
- Three reasons to price carbon under uncertainty: accuracy of simple rules
- Solving DSGE models with perturbation methods and a change of variables
- Multi-step perturbation solution of nonlinear differentiable equations applied to an econometric analysis of productivity
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