Perturbation methods for Markov-switching dynamic stochastic general equilibrium models

DOI10.3982/QE596MaRDI QIDQ4586271zbMATH OpenOpenAlexFDO

Authors Andrew T. Foerster, Daniel F. Waggoner, Tao Zha, Juan Francisco Rubio-Ramıŕez

Publication date 12 September 2018

Published in Quantitative Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 3.0 Unported

Full work available at URL https://doi.org/10.3982/qe596

zbMATH Keywords

nonlinearityTaylor seriestime-varying coefficientspartition principlehigh-order expansionquadratic polynomial systemGröbner basesnaive perturbation

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Dynamic stochastic general equilibrium theory (91B51)

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Cited in

(18)

• A solution to the global identification problem in DSGE models
• Monetary policy switching and indeterminacy
• Monetary policy and long‐term interest rates
• Uncertainty-dependent effects of monetary policy shocks: a new-Keynesian interpretation
• Fifth-order perturbation solution to DSGE models
• High trend inflation and passive monetary detours
• Spectral representation and autocovariance structure of Markov switching DSGE models
• Determinacy and classification of Markov-switching rational expectations models
• The origins and effects of macroeconomic uncertainty
• Minimal state variable solutions to Markov-switching rational expectations models
• Methods to estimate dynamic stochastic general equilibrium models
• Estimación de modelos de equilibrio general en economías dinámicas por métodos de Monte Carlo y Cadenas de Markov
• Solving endogenous regime switching models
• Methods for measuring expectations and uncertainty in Markov-switching models
• LEARNING ABOUT REGIME CHANGE
• Origins of monetary policy shifts: a new approach to regime switching in DSGE models
• Time-varying rational expectations models
• E-stability vis-à-vis determinacy in regime-switching models

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