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Matlab Code for Solving Linear Rational Expectation Models with Lagged Expectations Quickly and Easily Author info | Abstract | Publisher info | Download info | Related research | Statistics Alexander Meyer-Gohde (Technical University Berlin)
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This software derives a solution method to solve a system of linear rational-expectations equation with lagged expectations (e.g., models incorporating sticky information) using the method of undetermined coefficients for the infinite MA representation. The method applies a combination of a generalized Schur decomposition familiar elsewhere in the literature and a simple system of linear equations when lagged expectations are present to the infinite MA representation. Execution is faster, applicability more general, and use more straightforward than with existing algorithms. The software provides impulse responses to anticipated and unanticipated innovations, simulations, and frequency-domain and simulated moments.
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Software component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number
171.
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Programming language: Matlab
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Date of creation: 30 Oct 2007Date of revision:
23 Nov 2007Handle: RePEc:dge:qmrbcd:171Contact details of provider: Postal: 341 Mansfield Road/U-63, Storrs, Connecticut 06269-1063 Phone: (860) 486-4889 Fax: (860) 486-4463 Web page: http://dge.repec.org/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Christian Zimmermann).
Keywords: Other versions of this item:
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: N. Gregory Mankiw & Ricardo Reis, 2002.
"Sticky Information Versus Sticky Prices: A Proposal To Replace The New Keynesian Phillips Curve ,"
The Quarterly Journal of Economics ,
MIT Press, vol. 117(4), pages 1295-1328, November.
[Downloadable!] (restricted)
Other versions:
N. Gregory Mankiw & Ricardo Reis, 2001.
"Sticky Information Versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve ,"
Harvard Institute of Economic Research Working Papers
1922, Harvard - Institute of Economic Research.
[Downloadable!] N. Gregory Mankiw & Ricardo Reis, 2001.
"Sticky Information Versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve ,"
NBER Working Papers
8290, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) N. Gregory Mankiw & Ricardo Reis, 2001.
"Sticky information versus sticky prices: a proposal to replace the New-Keynesian Phillips Curve ,"
Proceedings ,
Federal Reserve Bank of San Francisco, issue Jun.
[Downloadable!] Trabandt, Mathias, 2007.
"Sticky Information vs. Sticky Prices: A Horse Race in a DSGE Framework ,"
Working Paper Series
209, Sveriges Riksbank (Central Bank of Sweden).
[Downloadable!]
Other versions: Klein, Paul, 2000.
"Using the generalized Schur form to solve a multivariate linear rational expectations model ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 24(10), pages 1405-1423, September.
[Downloadable!] (restricted)
Peng-fei Wang & Yi Wen, 2006.
"Solving linear difference systems with lagged expectations by a method of undetermined coefficients ,"
Working Papers
2006-003, Federal Reserve Bank of St. Louis.
[Downloadable!]
King, Robert G & Watson, Mark W, 1998.
"The Solution of Singular Linear Difference Systems under Rational Expectations ,"
International Economic Review ,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1015-26, November.
Bennett T. McCallum, 2003.
"Multiple-Solution Indeterminacies in Monetary Policy Analysis ,"
NBER Working Papers
9837, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Bennett McCallum, .
"Multiple-Solution Indeterminacies in Monetary Policy Analysis ,"
GSIA Working Papers
2003-E77, Carnegie Mellon University, Tepper School of Business.
[Downloadable!] McCallum, Bennett T., 2003.
"Multiple-solution indeterminacies in monetary policy analysis ,"
Journal of Monetary Economics ,
Elsevier, vol. 50(5), pages 1153-1175, July.
[Downloadable!] (restricted) Andres, Javier & Lopez-Salido, J. David & Nelson, Edward, 2005.
"Sticky-price models and the natural rate hypothesis ,"
Journal of Monetary Economics ,
Elsevier, vol. 52(5), pages 1025-1053, July.
[Downloadable!] (restricted)
Other versions: Michael T. Kiley, 2006.
"A quantitative comparison of sticky-price and sticky-information models of price setting ,"
Finance and Economics Discussion Series
2006-45, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Other versions:
Michael Kiley, 2005.
"A Quantitative Comparison Of Sticky-Price And Sticky-Information Models Of Price Setting ,"
Computing in Economics and Finance 2005
183, Society for Computational Economics.
Michael T. Kiley, 2007.
"A Quantitative Comparison of Sticky-Price and Sticky-Information Models of Price Setting ,"
Journal of Money, Credit and Banking ,
Blackwell Publishing, vol. 39(s1), pages 101-125, 02.
[Downloadable!] (restricted) Blanchard, Olivier Jean & Kahn, Charles M, 1980.
"The Solution of Linear Difference Models under Rational Expectations ,"
Econometrica ,
Econometric Society, vol. 48(5), pages 1305-11, July.
[Downloadable!] (restricted)
Burmeister, Edwin, 1980.
"On Some Conceptual Issues in Rational Expectations Modeling ,"
Journal of Money, Credit and Banking ,
Blackwell Publishing, vol. 12(4), pages 800-816, November.
[Downloadable!] (restricted)
Oleg Korenok & Norman R. Swanson, 2007.
"How Sticky Is Sticky Enough? A Distributional and Impulse Response Analysis of New Keynesian DSGE Models ,"
Journal of Money, Credit and Banking ,
Blackwell Publishing, vol. 39(6), pages 1481-1508, 09.
[Downloadable!] (restricted)
Anderson, Gary & Moore, George, 1985.
"A linear algebraic procedure for solving linear perfect foresight models ,"
Economics Letters ,
Elsevier, vol. 17(3), pages 247-252.
[Downloadable!] (restricted)
Benjamin D. Keen, 2007.
"Sticky Price And Sticky Information Price-Setting Models: What Is The Difference? ,"
Economic Inquiry ,
Western Economic Association International, vol. 45(4), pages 770-786, October.
[Downloadable!] (restricted)
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references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Alexander Meyer-Gohde, 2008.
"The Natural Rate Hypothesis and Real Determinacy ,"
SFB 649 Discussion Papers
SFB649DP2008-054, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
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