Solving dynamic general equilibrium models using a second-order approximation to the policy function
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Publication:951493
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Cites work
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- scientific article; zbMATH DE number 1241609 (Why is no real title available?)
- Solving asset pricing models with Gaussian shocks
- Solving linear rational expectations models
- Stochastic Control for Small Noise Intensities
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- The Solution of Linear Difference Models under Rational Expectations
- Time to Build and Aggregate Fluctuations
- Using the generalized Schur form to solve a multivariate linear rational expectations model
Cited in
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- Three types of robust Ramsey problems in a linear-quadratic framework
- Fiscal consolidation and its cross-country effects
- Huggett economies with multiple stationary equilibria
- Bank equity and macroprudential policy
- Uncertainty shocks, banking frictions and economic activity
- Exploiting MIT shocks in heterogeneous-agent economies: the impulse response as a numerical derivative
- Comments on ``Exploiting MIT shocks in heterogeneous-agent economies: the impulse response as a numerical derivative by T. Boppart, P. Krusell and K. Mitman
- Optimal fiscal policy under learning
- Borrowing constraints, collateral fluctuations, and the labor market
- Identification of DSGE models -- the effect of higher-order approximation and pruning
- Near unit root small open economies
- Bank capital shocks and countercyclical requirements: implications for banking stability and welfare
- An auxiliary particle filter for nonlinear dynamic equilibrium models
- Solving and simulating unbalanced growth models using linearization about the current state
- Dynamic analysis of two policy lags in a Kaldorian model
- Tractable likelihood-based estimation of nonlinear DSGE models
- Optimal Ramsey taxation with endogenous risk aversion
- Solving dynamic equilibrium models by a method of undetermined coefficients
- Numerical solution of dynamic equilibrium models under Poisson uncertainty
- Solving DSGE models with a nonlinear moving average
- Costly external finance and labor market dynamics
- Second-order approximation of dynamic models with time-varying risk
- Search frictions, real wage rigidities and the optimal design of unemployment insurance
- Volatility and welfare
- Myopic governments and welfare-enhancing debt limits
- How should monetary policy respond to changes in the relative price of oil? Considering supply and demand shocks
- Asset prices in affine real business cycle models
- Solvability of perturbation solutions in DSGE models
- Risk matters: breaking certainty equivalence in linear approximations
- Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks
- Efficient solution and computation of models with occasionally binding constraints
- Managing macroeconomic fluctuations with flexible exchange rate targeting
- Welfare effects of business cycles and monetary policies in a small open emerging economy
- Computing time-consistent equilibria: a perturbation approach
- Perturbation solution and welfare costs of business cycles in DSGE models
- Business cycle implications of rising household credit market participation in emerging countries
- Variable effort, business cycles, and economic welfare
- Does a unique solution exist for a nonlinear rational expectation equation with zero lower bound?
- Estimating nonlinear dynamic equilibrium models by matching impulse responses
- Stationary bubble equilibria in rational expectation models
- On the solution of the nonsymmetric T-Riccati equation
- Property rights, expropriations, and business cycles in China
- On time-dependent nominal contracting models with positive trend inflation
- How to maximize the likelihood function for a DSGE model
- Financial integration, credit market imperfections and consumption smoothing
- Saving-investment correlations in response to monetary policy shocks: new insights into the Feldstein-Horioka puzzle?
- Perturbations in DSGE models: an odd derivatives theorem
- Estimating dynamic equilibrium models with stochastic volatility
- Comparing accuracy of second-order approximation and dynamic programming
- Vertical trade, exchange rate pass-through, and the exchange rate regime
- Capital controls and financial frictions in a small open economy
- Estimating the state vector of linearized DSGE models without the Kalman filter
- Efficient parallelisation of Metropolis-Hastings algorithms using a prefetching approach
- Computing the risky steady state of DSGE models
- Structural estimation of jump-diffusion processes in macroeconomics
- Asset pricing with dynamic programming
- Calculating and using second-order accurate solutions of discrete time dynamic equilibrium models
- When the U.S. catches a cold, Canada sneezes: a lower-bound tale told by deep learning
- Efficient bond price approximations in non-linear equilibrium-based term structure models
- Semi-global solutions to DSGE models: perturbation around a deterministic path
- Computational methods for production-based asset pricing models with recursive utility
- Monetary policy regime switches and macroeconomic dynamics
- Why do risk premia vary over time? a theoretical investigation under habit formation
- Transformed polynomials for nonlinear autoregressive models of the conditional mean
- Bayesian interference based only on simulated likelihood particle filter analysis of dynamic economic models
- A system reduction method to efficiently solve DSGE models
- A method for solving general equilibrium models with incomplete markets and many financial assets
- DOES THE TIMING OF THE CASH-IN-ADVANCE CONSTRAINT MATTER FOR OPTIMAL FISCAL AND MONETARY POLICY?
- Bandwidth selection in pre-smoothed particle filters
- COMPUTATION OF BUSINESS CYCLE MODELS: A COMPARISON OF NUMERICAL METHODS
- Deep habits and the cyclical behaviour of equilibrium unemployment and vacancies
- Endogenous growth, monetary shocks and nominal rigidities
- Monetary policy when wages are downwardly rigid: Friedman meets Tobin
- Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations
- Estimating nonlinear DSGE models by the simulated method of moments: with an application to business cycles
- An OLS approach to computing Ramsey equilibria in medium-scale macroeconomic models
- TAYLOR PROJECTION: A NEW SOLUTION METHOD FOR DYNAMIC GENERAL EQUILIBRIUM MODELS
- A method for solving and estimating heterogeneous agent macro models
- Does near-rationality matter in first-order approximate solutions? A perturbation approach
- Bayesian inference for nonlinear structural time series models
- Examining macroeconomic models through the lens of asset pricing
- A two-period model with portfolio choice: understanding results from different solution methods
- On the uniqueness of solutions to rational expectations models
- Second-order sensitivity in applied general equilibrium
- Linearization and higher-order approximations: How good are they? Results from an endogeneous growth model with public capital
- Time to build capital: revisiting investment-cash-flow sensitivities
- Yield curve in an estimated nonlinear macro model
- Euro area inflation persistence in an estimated nonlinear DSGE model
- Financial market incompleteness and international cooperation on capital controls
- The risk premium in New Keynesian DSGE models: the cost of inflation channel
- Are all economic fluctuations bad for consumers?
- LEARNING ABOUT REGIME CHANGE
- UNCERTAINTY AND MONETARY POLICY DURING THE GREAT RECESSION
- The extended perturbation method: With applications to the New Keynesian model and the zero lower bound
- Monetary policy and long‐term interest rates
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