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Solving Dynamic Equilibrium Models by a Method of Undetermined Coefficients

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Author Info
Christiano, Lawrence J
Abstract

I present an undetermined coefficients method for obtaining a linear approximating to the solution of a class of dynamic, rational expectations models. I also show how that solution can be used to compute a model's implications for impulse response functions and for second moments. Copyright 2002 by Kluwer Academic Publishers

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Publisher Info
Article provided by Springer in its journal Computational Economics.

Volume (Year): 20 (2002)
Issue (Month): 1-2 (October)
Pages: 21-55
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Handle: RePEc:kap:compec:v:20:y:2002:i:1-2:p:21-55

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  1. Quantitative Macroeconomics and Real Business Cycles (QM&RBC)
Cited by:
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  1. Altig, David E & Christiano, Lawrence J. & Eichenbaum, Martin & Lindé, Jesper, 2005. "Firm-Specific Capital, Nominal Rigidities and the Business Cycle," CEPR Discussion Papers 4858, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  2. Lawrence J. Christiano & Joshua M. Davis, 2006. "Two Flaws In Business Cycle Accounting," NBER Working Papers 12647, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  3. Sungbae An & Frank Schorfheide, 2006. "Bayesian analysis of DSGE models," Working Papers 06-5, Federal Reserve Bank of Philadelphia. [Downloadable!]
    Other versions:
  4. Kevin E. Beaubrun-Diant, 2005. "Can a Time-to-Plan Model explain the Equity Premium Puzzle," Economics Bulletin, Economics Bulletin, vol. 7(2), pages 1-8. [Downloadable!]
  5. Ippei Fujiwara, 2008. "Growth Expectation," IMES Discussion Paper Series 08-E-21, Institute for Monetary and Economic Studies, Bank of Japan. [Downloadable!]
  6. Lawrence J. Christiano & Joshua M. Davis, 2006. "Two flaws in business cycle dating," Working Paper 0612, Federal Reserve Bank of Cleveland. [Downloadable!]
  7. Richard Mash, 2003. "A Note on Simple MSV Solution Methods for Rational Expectations Models of Monetary Policy," Economics Series Working Papers 173, University of Oxford, Department of Economics. [Downloadable!]
  8. Lawrence J. Christiano & Roberto Motto & Massimo Rostagno, 2004. "The Great Depression and the Friedman-Schwartz Hypothesis," NBER Working Papers 10255, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  9. Lawrence Christiano & Roberto Motto & Massimo Rostagno, 2007. "Shocks, structures or monetary policies? The euro area and US after 2001," Working Paper Series 774, European Central Bank. [Downloadable!]
    Other versions:
  10. Dressler, Scott & Li, Victor, 2007. "Inside Money, Credit, and Investment," MPRA Paper 1734, University Library of Munich, Germany. [Downloadable!]
    Other versions:
  11. Paul Gomme & Paul Klein, 2009. "Second-order approximation of dynamic models without the use of tensors," Working Papers 09004, Concordia University, Department of Economics, revised 25 Mar 2009. [Downloadable!]
  12. Daniele Coen-Pirani, 2004. "Markups, Aggregation, and Inventory Adjustment," American Economic Review, American Economic Association, vol. 94(5), pages 1328-1353, December. [Downloadable!]
  13. Enrique Martinez-Garcia, 2007. "A monetary model of the exchange rate with informational frictions," Globalization and Monetary Policy Institute Working Paper 02, Federal Reserve Bank of Dallas. [Downloadable!]
  14. Lawrence J. Christiano & Joshua M. Davis, 2006. "Two flaws in business cycle accounting," Working Paper Series WP-06-10, Federal Reserve Bank of Chicago. [Downloadable!]
  15. Arief Ramayandi, 2009. "Assessing Monetary Policy Efficiency in the ASEAN-5 Countries," Working Papers in Economics and Development Studies (WoPEDS) 200902, Department of Economics, Padjadjaran University, revised Mar 2009. [Downloadable!]
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