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Computation of business-cycle models with the Generalized Schur Method
Heer, Burkhard; Maußner, Alfred - 2009
We describe an algorithm that is able to compute the solution of a singular linear difference system under rational … expectations. The algorithm uses the Generalized Schur Factorization and is illustrated by a simple example. -- stochastic dynamic … general equilibrium ; linear solution methods ; algorithm ; Generalized Schur factorization ; business cycles …
Persistent link: https://www.econbiz.de/10003922867
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Computation of Business-Cycle Models with the Generalized Schur Method
Heer, Burkhard - 2009
We describe an algorithm that is able to compute the solution of a singular linear difference system under rational … expectations. The algorithm uses the Generalized Schur Factorization and is illustrated by a simple example …
Persistent link: https://www.econbiz.de/10013153227
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Approximation Errors of Perturbation Methods in Solving a Class of Dynamic Stochastic General Equilibrium Models
Liu, Xuan - 2013
We establish the standard procedures in solving a class of dynamic stochastic general equilibrium models with a second-order approximation to the policy function. The innovation is that the means of exogenous shocks vary with the variances. The numerical results show that second-order...
Persistent link: https://www.econbiz.de/10013091188
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Computing DSGE Models with Recursive Preferences and Stochastic Volatility
Caldara, Dario - 2012
This paper compares different solution methods for computing the equilibrium of dynamic stochastic general equilibrium (DSGE) models with recursive preferences such as those in Epstein and Zin (1989 and 1991) and stochastic volatility. Models with these two features have recently become popular,...
Persistent link: https://www.econbiz.de/10013111574
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Firms' heterogeneity, endogenous entry, and exit decisions
Totzek, Alexander - 2009
As GDP is highly correlated with both entering and exiting firms, we develop a totally microfounded DSGE model with endogenous firms entry as well as exit decisions. We show that the simplifying assumption of a constant firms' death rate made by the recent literature on DSGE modelling can lead...
Persistent link: https://www.econbiz.de/10010299744
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Approximate solutions to dynamic models : linear methods
Uhlig, Harald (contributor) - 2006
. For a general framework, formulas are provided for calculating the recursive law of motion. The algorithm described here …
Persistent link: https://www.econbiz.de/10003324430
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Solution Strategies of Dynamic Stochastic General Equilibrium (DSGE) Models
Alali, Dr Walid Y - 2023
DSGE models are the main tool for analysing various questions in problems of monetary, business cycle theory and fiscal policy problems, growth and other fields in international macroeconomics and macroeconomics. Many macroeconomic publications use the DSGE framework. A consensus has been...
Persistent link: https://www.econbiz.de/10014260473
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Discretizing nonlinear, non-Gaussian Markov processes with exact conditional moments
Farmer, Leland E.; Akira Toda, Alexis - In: Quantitative economics : QE ; journal of the … 8 (2017) 2, pp. 651-683
solution accuracy of existing methods by orders of magnitude, while drastically simplifying the solution algorithm. The …
Persistent link: https://www.econbiz.de/10011801601
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Decomposing risk in dynamic stochastic general equilibrium
Lan, Hong; Meyer-Gohde, Alexander - 2013 - This Version: April 16, 2013
We analyze the theoretical moments of a nonlinear approximation to a model of business cycles and asset pricing with stochastic volatility and recursive preferences. We find that heteroskedastic volatility operationalizes a time-varying risk adjustment channel that induces variability in...
Persistent link: https://www.econbiz.de/10009738238
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Decomposing risk in dynamic stochastic general equilibrium : conference paper
Lan, Hong; Meyer-Gohde, Alexander - 2014 - This version: December 19, 2013
We analyze the theoretical moments of a nonlinear approximation to real business cycle model with stochastic volatility and recursive preferences. We find that the conditional heteroskedasticity of stochastic volatility operationalizes a time-varying risk adjustment channel that induces...
Persistent link: https://www.econbiz.de/10010487749