Dynare add-on for "Decomposing Risk in Dynamic Stochastic General Equilibrium"
AbstractThis file contains the code from "Decomposing Risk in Dynamic Stochastic General Equilibrium." This add-on extends Dynare's (version 4) functionality to include the calculation of the first two theoretical moments of second and third order perturbations using the nonlinear moving average policy function and the decomposition of these moments into contributions from risk and individual orders of nonlinearity.
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Bibliographic InfoSoftware component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 197.
Date of creation: 2013
Date of revision:
Other versions of this item:
- Hong Lan & Alexander Meyer-Gohde, 2013. "Decomposing Risk in Dynamic Stochastic General Equilibrium," SFB 649 Discussion Papers SFB649DP2013-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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