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Meyer-Gohde, Alexander - 2014 - This Version: July 3, 2014

standard perturbation output. I examine the joint macroeconomic and asset pricing implications of a real business cycle model …

Persistent link: https://www.econbiz.de/10010374573

Solvability of perturbation solutions in DSGE models

Lan, Hong; Meyer-Gohde, Alexander - In: Journal of economic dynamics & control 45 (2014), pp. 366-388

Persistent link: https://www.econbiz.de/10010474413

Pruning in perturbation DSGE models : guidance from nonlinear moving average approximations

Lan, Hong; Meyer-Gohde, Alexander - 2013 - This Version: May 2, 2013

is unlikely to be a potential source of error. -- perturbation ; DSGE ; nonlinear ; pruning …We derive recursive representations of nonlinear moving average (NLMA) perturbations of DSGE models. As the stability … provide rigorous support for the practice of pruning that is becoming widespread. Our recursive representation differs from …

Persistent link: https://www.econbiz.de/10009740344

Solving DSGE models with a nonlinear moving average

Lan, Hong; Meyer-Gohde, Alexander - In: Journal of economic dynamics & control 37 (2013) 12, pp. 2643-2667

Persistent link: https://www.econbiz.de/10010348112

Semi-global solutions to DSGE models : perturbation around a deterministic path

Ajevskis, Viktors - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10011705725

Fifth-order perturbation solution to DSGE models

Levintal, Oren - In: Journal of economic dynamics & control 80 (2017), pp. 1-16

Persistent link: https://www.econbiz.de/10011817620

Identifying economic shocks in a rare disaster environment

Corrado, Luisa; Grassi, Stefano; Paolillo, Aldo - 2021

Persistent link: https://www.econbiz.de/10013256340

Chapter 7. Numerical Methods for Large-Scale Dynamic Economic Models

Maliar, Lilia; Maliar, Serguei - In: Handbook of computational economics : volume 3, (pp. 325-477). 2014

techniques that increase the accuracy of perturbation methods: a change of variables and a hybrid of local and global solutions …

Persistent link: https://www.econbiz.de/10014025715

Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - 2015

We use a simple New Keynesian model, with firm specific capital, non-zero steady-state inflation, long-run risks and Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy rate by 150 basis points causes output and inflation...

Persistent link: https://www.econbiz.de/10011389786

Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - 2018

We develop a VAR that allows the estimation of the impact of monetary policy shocks on volatility. Estimates for the US suggest that an increase in the policy rate by 1% is associated with a rise in unemployment and inflation volatility of about 15%. Using a New Keynesian model, with search and...

Persistent link: https://www.econbiz.de/10011928806