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

Journal of Economic Dynamics and Control - Tập 28 - Trang 755-775 - 2004
Stephanie Schmitt-Grohé1, Martı́n Uribe2
1Department of Economics, Rutgers University, 75 Hamilton Street, New Brunswick, NJ 08901, USA
2Department of Economics, University of Pennsylvania, 3718 Locust Walk, Philadelphia, PA 19104, USA

Tài liệu tham khảo

Blanchard, 1985, The solution of linear difference models under rational expectations, Econometrica, 45, 1305 Burnside, 1998, Solving asset pricing models with gaussian shocks, Journal of Economic Dynamics and Control, 22, 329, 10.1016/S0165-1889(97)00075-4 Chen, 2003, Higher moments in perturbation solution of the linear-quadratic exponential gaussian optimal control problem, Computational Economics, 21, 45, 10.1023/A:1022270430175 Collard, F., Juillard, M., 2001a. Perturbation Methods for Rational Expectations Models, Manuscript, CEPREMAP, Paris, February. Collard, 2001, Accuracy of stochastic perturbation methods, Journal of Economic Dynamics and Control, 25, 979, 10.1016/S0165-1889(00)00064-6 Fleming, 1971, Stochastic control for small noise intensities, SIAM Journal of Control, 9, 473, 10.1137/0309035 Jin, H.-H., Judd, K.L., 2002. Perturbation Methods For General Dynamic Stochastic Models. Manuscript, Stanford University. Judd, 1998 Kim, J., Kim, S.H., in press. Spurious welfare reversals in international business cycle models. Journal of International Economics. King, 1988, Production, growth and business cycles I, Journal of Monetary Economics, 21, 191, 10.1016/0304-3932(88)90029-3 Klein, 2000, Using the generalized schur form to solve a multivariate linear rational expectations model, Journal of Economic Dynamics and Control, 24, 1405, 10.1016/S0165-1889(99)00045-7 Kydland, 1982, Time to build and aggregate fluctuations, Econometrica, 50, 1345, 10.2307/1913386 Samuelson, 1970, The fundamental approximation theorem of portfolio analysis in terms of means, variances, and higher moments, Review of Economic Studies, 37, 537, 10.2307/2296483 Sims, 2002, Solving Linear Rational Expectations Models. Manuscript. Princeton University, Princeton; January, Computational Economics, 20, 1, 10.1023/A:1020517101123 Sims, C., 2000. Second Order Accurate Solution of Discrete Time Dynamic Equilibrium Models. Manuscript, Princeton University, Princeton, December. Woodford, M.D., 2002. Inflation Stabilization and Welfare. Contributions to Macroeconomics 2, Article 1.