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A Robust and Efficient Method for Solving Nonlinear Rational Expectations Models

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  • Michel Juillard
  • Douglas Laxton

Abstract

The development and use of forward-looking macro models in policymaking institutions has proceeded at a pace much slower than predicted in the early 1980s. An important reason is that researchers have not had access to robust and efficient solution techniques for solving nonlinear forward-looking models. This paper discusses the properties of a new algorithm that is used for solving MULTIMOD, the IMF’s multicountry model of the world economy. This algorithm is considerably faster and much less prone to simulation failures than to traditional algorithms and can also be used to solve individual country models of the same size.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 96/106.

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Length: 30
Date of creation: 01 Sep 1996
Date of revision:
Handle: RePEc:imf:imfwpa:96/106

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Cited by:
  1. Bayoumi, T. & Coe, D.T. & Helpman, E., 1996. "R&D Spillovers and Global Growth," Papers 14-96, Tel Aviv.
  2. Fagan, Gabriel & Henry, Jerome & Mestre, Ricardo, 2005. "An area-wide model for the euro area," Economic Modelling, Elsevier, vol. 22(1), pages 39-59, January.
  3. Fagan, Gabriel & Henry, Jérôme & Mestre, Ricardo, 2001. "An area-wide model (AWM) for the euro area," Working Paper Series 0042, European Central Bank.
  4. Douglas Laxton & Tamim Bayoumi & David T. Coe, 1998. "Liberating Supply-Fiscal Policy and Technological Innovation in a Multicountry Model," IMF Working Papers 98/95, International Monetary Fund.
  5. Andrés González Gómez & Lavan Mahadeva & Diego Rodríguez & Luis Eduardo Rojas, 2009. "Monetary Policy Forecasting In A Dsge Model With Data That Is Uncertain, Unbalanced And About The Future," BORRADORES DE ECONOMIA 005480, BANCO DE LA REPÚBLICA.
  6. Jean-Louis Brillet, 1999. "A Technique for Solving Rational-Expectations Models," Computing in Economics and Finance 1999 333, Society for Computational Economics.
  7. Dirk Muir & Douglas Laxton & Dennis P. J. Botman & Andrei Romanov, 2006. "A New-Open-Economy Macro Model for Fiscal Policy Evaluation," IMF Working Papers 06/45, International Monetary Fund.

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