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Global DSGE Models
Cao, Dan - 2020
In this paper, we introduce our GDSGE framework and MATLAB toolbox for solving dynamic stochastic general equilibrium models with a novel global solution method. The framework encompasses many well-known incomplete markets models with highly nonlinear dynamics such as models on financial crises,...
Persistent link: https://www.econbiz.de/10012837842
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Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation
Kollmann, Robert - 2015
This paper develops a novel approach for estimating latent state variables of Dynamic Stochastic General Equilibrium (DSGE) models that are solved using a second-order accurate approximation. I apply the Kalman filter to a state-space representation of the second-order solution based on the...
Persistent link: https://www.econbiz.de/10014157128
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Estimating Nonlinear Dynamic Equilibrium Economies : A Likelihood Approach
Fernández-Villaverde, Jesús; Rubio-Ramirez, Juan Francisco - 2014
authors develop a sequential Monte Carlo algorithm that delivers an estimate of the likelihood function of the model using … simulation methods. This likelihood can be used for parameter estimation and for model comparison. The algorithm can deal both … and its good performance in finite simulations. This new algorithm is important because the existing empirical literature …
Persistent link: https://www.econbiz.de/10014048588
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Computing DSGE Models with Recursive Preferences
Caldara, Dario; Fernández-Villaverde, Jesús; … - 2009
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). Models with these preferences have recently become popular, but we know little about...
Persistent link: https://www.econbiz.de/10014207622
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Debunking the granular origins of aggregate fluctuations : from real business cycles back to Keynes
Dosi, Giovanni; Napoletano, Mauro; Roventini, Andrea; … - 2018
In this work we study the granular origins of business cycles and their possible underlying drivers. As shown by Gabaix (2011), the skewed nature of firm size distributions implies that idiosyncratic (and independent) firm-level shocks may account for a significant portion of aggregate...
Persistent link: https://www.econbiz.de/10011873811
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Enhanced Valuation of European Options Under Jump Processes and Innovative Characterization of Implied Volatility Smile
Dubrana, Ludovic - 2011
-Raphson algorithm is proposed. Numerical experiments of both the in-house pricing formula and its implied volatility recursive algorithm …
Persistent link: https://www.econbiz.de/10013118115
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A tractable framework for analyzing a class of nonstationary Markov models
Maliar, Lilia; Maliar, Serguei; Taylor, John B.; … - In: Quantitative economics : QE ; journal of the … 11 (2020) 4, pp. 1289-1323
We consider a class of infinite‐horizon dynamic Markov economic models in which the parameters of utility function, production function, and transition equations change over time. In such models, the optimal value and decision functions are time‐inhomogeneous: they depend not only on state...
Persistent link: https://www.econbiz.de/10012316588
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Europe's twenties: a study using the WIATEC model
Kemfert, Claudia; Kremers, Hans; Truong, Truong Phuoc - 2009
In this paper, we use a computable general equilibrium model (WIATEC) to study the potential impact of implementing Europe's 20-20-20 climate policy. The results show that the economic costs of implementing the policy are only moderate and within the range of recent empirical evidence....
Persistent link: https://www.econbiz.de/10010276897
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A solution method for linear rational expectation models unde rimperfect information
Shibayama, Katsuyuku - 2007
This paper has developed a solution algorithm for linear rational expectation models under imperfect information … algorithm generates the solution in the form of k_t+1 = Hk_t + Jx^t,S f_t = Fk_t + Gx^t,S where k_t and f_t are column vectors …
Persistent link: https://www.econbiz.de/10010290665
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Europe's twenties : a study using the WIATEC model
Kemfert, Claudia; Kremers, Hans; Truong, Truong Phuoc - 2009
In this paper, we use a computable general equilibrium model (WIATEC) to study the potential impact of implementing Europe's 20-20-20 climate policy. The results show that the economic costs of implementing the policy are only moderate and within the range of recent empirical evidence....
Persistent link: https://www.econbiz.de/10003872890