This paper investigates the accuracy of a perturbation method in approximating the solution to stochastic equilibrium models under rational expectations. As a benchmark model, we use a version of asset pricing models proposed by Burnside [1988] which admits a closed-form solution while not...

We propose to apply to the simulation of general nonlinear rational-expectation models a method where the expectation functions are approximated through a higher-order Taylor expansion. This method has been advocated by Judd (1998) and others for the simulation of stochastic optimal-control...

This paper presents stochastic simulations of a non-linear Phillips curve model with a random shock on the labor market, a random shock on inflation, and 20 state variables to represent a rather complex dynamical adjustment. Various methods are used to perform the simulations: two approaches to...

This is the second of a series of papers that are being written as part of a larger project to estimate a small quarterly Global Projection Model (GPM). The GPM project is designed to improve the toolkit for studying both own-country and cross-country linkages. In this paper, we estimate a small...

Conçu pour analyser les conséquences sur les évolutions économiques mondiales et sur les flux internationaux de capitaux des phénomènes de vieillissement démographique et d’éventuelles réformes des régimes publics de retraite dans les pays développés, le modèle INGENUE est un...

This paper describes the second model considered in the computational suite project that compares the performance of different numerical algorithms. It is a multi-country model in which countries face different productivity shocks. Solving such models is a challenging numerical problem unless...

This paper describes the methodology used to compare the results of different solution algorithms for a multi-country real business cycle model. It covers in detail the structure of the model, the choice of values for the parameters, the accuracy tests used in the comparison, and the computer...

[eng] Growth regimes for the U.S., 1890-1991 . . This paper discusses the existence of several growth regimes for the U.S. since 1890. Three possible models are presented : a Solow type model with deterministic technical change an AK type model and model with stochastic technical change On can...