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Solving dynamic general equilibrium models using a second-order approximation to the policy function

Schmitt-Grohé, Stephanie; Uribe, Martín - 2001

This paper derives a second-order approximation to the solution of rational expectations, dynamic, general equilibrium models. To illustrate its applicability, the method is used to solve the dynamics of a simple neoclassical model. The paper closes with a brief description of a set of MATLAB...

Persistent link: https://www.econbiz.de/10010318340

A comparison of numerical methods for the solution of continuous-time DSGE models

Parra-Alvarez, Juan Carlos - School of Economics and Management, University of Aarhus - 2013

This paper evaluates the accuracy of a set of techniques that approximate the solution of continuous-time DSGE models …

Persistent link: https://www.econbiz.de/10010851250

Inflation, Oil Price Volatility and Monetary Policy

Castillo, Paul; Montoro, Carlos; Tuesta, Vicente. - Banco Central de Reserva del Perú - 2010

In a fully micro-founded New Keynesian framework, we characterize analytically the relation between average inflation and oil price volatility by solving the rational expectations equilibrium of the model up to second order of accuracy. Higher oil price volatility induces higher levels of...

Persistent link: https://www.econbiz.de/10008506040

Calculating and Using Second Order Accurate Solution of Discrete Time Dynamic Equilibrium Models

Sims, Christopher A.; Kim, Jinill; Kim, Sunghyun - Econometric Society - 2004

general equilibrium model (DSGE model). Such solutions are fairly easy to construct and useful for a wide variety of purposes … context of DSGE models. This paper describes the algorithm for computing a second order approximation and shows how to apply … it to calculating forecasts and impulse responses in dynamic models and to evaluating welfare in DSGE models. It points …

Persistent link: https://www.econbiz.de/10005063608