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On the accuracy of linear DSGE solution methods and the consequences for log-normal asset pricing

Meyer-Gohde, Alexander - 2021

linear dynamic stochastic general equilibrium (DSGE) models when there is insufficient eigenvalue separation about the unit …

Persistent link: https://www.econbiz.de/10012483338

Solving linear DSG models with Newton methods

Meyer-Gohde, Alexander; Saecker, Johanna - 2022

quadratic that underlies the recursive solution of linear DSGE models. The methods are compared using nearly 100 different … solving DSGE models, providing higher accuracy as measured by the forward error of the solution at a comparable computation …

Persistent link: https://www.econbiz.de/10013368452

Solving linear DSGE models with Bernoulli iterations

Meyer-Gohde, Alexander - 2023

This paper presents and compares Bernoulli iterative approaches for solving linear DSGE models. The methods are … methods compare favorably in solving DSGE models to the QZ, providing similar accuracy as measured by the forward error of the …

Persistent link: https://www.econbiz.de/10014252497

Numerical stability analysis of linear DSGE models : backward errors, forward errors and condition numbers

Meyer-Gohde, Alexander - 2023

stability of the solutions of linear dynamic stochastic general equilibrium (DSGE) models. Comparing seven different solution … inaccuracies. The analysis is then performed for a database of roughly 100 DSGE models from the literature and a large set of draws …

Persistent link: https://www.econbiz.de/10014429077

Solving linear DSGE models with structure-preserving doubling methods

Huber, Johannes; Meyer-Gohde, Alexander; Saecker, Johanna - 2023

solution of linear DSGE models. We present and compare two Structure-Preserving Doubling Algorithms (SDAs) to other competing …

Persistent link: https://www.econbiz.de/10014444739

Iterative refinement of the QZ decomposition for solving linear DSGE models

Huber, Johannes; Meyer-Gohde, Alexander - 2025

The standard approach to solving linear DSGE models is to apply the QZ method. It is a one-shot algorithm that leaves …

Persistent link: https://www.econbiz.de/10015206920

Risky linear approximations

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

I construct risk-corrected approximations of the policy functions of DSGEmodels around the stochastic steady state and ergodic mean that are linear in the state variables. The resulting approximations are uniformly more accurate than standard linear approximations and capture the dynamics of...

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

Computation of solutions to dynamic models with occasionally binding constraints.

Holden, Tom D. - 2016 - This version: 30 July 2016

We construct the first algorithm for the perfect foresight solution of otherwise linear models with occasionally binding constraints, with fixed terminal conditions, that is guaranteed to return a solution in finite time, if one exists. We also provide a proof of the inescapability of the "curse...

Persistent link: https://www.econbiz.de/10011518454

Computation of solutions to dynamic models with occasionally binding constraints.

Holden, Tom D. - 2016 - This version: 3 April 2016

Persistent link: https://www.econbiz.de/10011452243

Between bounded rationality and economic imperatives: essays on out-of-equilibrium dynamics

Richters, Oliver - 2020

Persistent link: https://www.econbiz.de/10012405380