Perturbation methods for Markov-switching dynamic stochastic general equilibrium models
DOI10.3982/QE596zbMATH Open1395.91305OpenAlexW2498799476MaRDI QIDQ4586271FDOQ4586271
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)
Full work available at URL: https://doi.org/10.3982/qe596
Recommendations
- Approximation errors of perturbation methods in solving a class of dynamic stochastic general equilibrium models
- Solving endogenous regime switching models
- Solvability of perturbation solutions in DSGE models
- Minimal state variable solutions to Markov-switching rational expectations models
- Markov-switching models with applications in macroeconomics and finance
nonlinearityTaylor seriestime-varying coefficientspartition principlehigh-order expansionquadratic polynomial systemGröbner basesnaive perturbation
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)
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
- The origins and effects of macroeconomic uncertainty
- Determinacy and classification of Markov-switching rational expectations models
- 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
This page was built for publication: Perturbation methods for Markov-switching dynamic stochastic general equilibrium models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4586271)
