Fifth-order perturbation solution to DSGE models
From MaRDI portal
Publication:1655505
DOI10.1016/j.jedc.2017.04.007zbMath1401.91245OpenAlexW3124178402MaRDI QIDQ1655505
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
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
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
Cites Work
- Unnamed Item
- Unnamed Item
- Estimating nonlinear DSGE models by the simulated method of moments: with an application to business cycles
- Multi-country real business cycle models: accuracy tests and test bench
- Comparison of solutions to the multi-country real business cycle model
- Second-order approximation of dynamic models without the use of tensors
- Solving dynamic general equilibrium models using a second-order approximation to the policy function
- Comparing solution methods for dynamic equilibrium economies
- Solving asset pricing models with Gaussian shocks
- Asymptotic methods for aggregate growth models
- Using the generalized Schur form to solve a multivariate linear rational expectations model
- Solving asset pricing models with stochastic volatility
- Solving linear rational expectations models
- Solving DSGE models with a nonlinear moving average
- Second-order approximation of dynamic models with time-varying risk
- Estimating dynamic equilibrium models with stochastic volatility
- Solving SDGE models: a new algorithm for the Sylvester equation
- Calculating and using second-order accurate solutions of discrete time dynamic equilibrium models
- Rare Disasters and Asset Markets in the Twentieth Century*
- Evaluating Derivatives
- The Solution of Linear Difference Models under Rational Expectations
- SOLVING LARGE-SCALE RATIONAL-EXPECTATIONS MODELS
- Perturbation methods for Markov-switching dynamic stochastic general equilibrium models
- Solution methods for models with rare disasters
- On the Size Distribution of Macroeconomic Disasters
- Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *
- Rare Disasters and Exchange Rates *
