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Solving SDGE Models: A New Algorithm for the Sylvester Equation

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  • Ondrej Kamenik

Abstract

This paper presents a new numerical algorithm for solving the Sylvester equation involved in higher-order perturbation methods developed for solving stochastic dynamic general equilibrium models. The new algorithm surpasses other methods used so far (including the very popular doubling algorithm) in terms of computational time, memory consumption, and numerical stability.

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Bibliographic Info

Paper provided by Czech National Bank, Research Department in its series Working Papers with number 2005/10.

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Date of creation: Dec 2005
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Handle: RePEc:cnb:wpaper:2005/10

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Keywords: Dynamic general equilibrium; doubling algorithm; perturbation approach; recursive algorithm.;

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  1. Lars Peter Hansen & Ellen R. McGrattan & Thomas J. Sargent, 1994. "Mechanics of forming and estimating dynamic linear economies," Staff Report 182, Federal Reserve Bank of Minneapolis.
  2. repec:wop:humbsf:2002-59 is not listed on IDEAS
  3. Douglas Laxton & Paolo Pesenti, 2003. "Monetary Rules for Small, Open, Emerging Economies," NBER Working Papers 9568, National Bureau of Economic Research, Inc.
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Cited by:
  1. Gomme, Paul & Klein, Paul, 2011. "Second-order approximation of dynamic models without the use of tensors," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 604-615, April.
  2. Martin M. Andreasen, 2010. "How Non-Gaussian Shocks Affect Risk Premia in Non-Linear DSGE Models," CREATES Research Papers 2010-63, School of Economics and Management, University of Aarhus.
  3. Alena Bicakova & Kamil Dybczak & Ales Krejdl & Jiri Slacalek & Michal Slavik, 2007. "CNB Economic Research Bulletin: Fiscal Policy and its Sustainability," Occasional Publications - Edited Volumes, Czech National Bank, Research Department, edition 2, volume 5, number rb05/2 edited by Ian Babetskii & Vladimir Bezdek, August.
  4. Ian Babetskii & Ales Bulir & Fabrizio Coricelli & Jan Filacek & Michal Franta & Roman Horvath & Branislav Saxa & Katerina Smidkova, 2008. "CNB Economic Research Bulletin: Ten Years of Inflation Targeting," Occasional Publications - Edited Volumes, Czech National Bank, Research Department, edition 1, volume 6, number rb06/1 edited by Ian Babetskii & Katerina Smidkova, August.
  5. Hong Lan & Alexander Meyer-Gohde, 2012. "Existence and Uniqueness of Perturbation Solutions to DSGE Models," SFB 649 Discussion Papers SFB649DP2012-015, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  6. Juillard Michel, 2011. "Local approximation of DSGE models around the risky steady state," wp.comunite 0087, Department of Communication, University of Teramo.

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