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Log-Linearization of Stochastic Economic Models

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Author Info
John Stachurski () (Institute of Economic Research, Kyoto University)

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Abstract

This short note studies formally the common practice of log-linearizing stochastic economic models. We make precise the conditions under which stability of the original model can be inferred from that of the linearized model. A transformation to recover the stochastic equilibrium of the former from that of the latter is provided.

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Publisher Info
Paper provided by Kyoto University, Institute of Economic Research in its series KIER Working Papers with number 564.

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Length: 9 pages
Date of creation: Jan 2003
Date of revision:
Handle: RePEc:kyo:wpaper:564

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Related research
Keywords: Log-linearization; Markov process; topological conjugacy.;

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This page was last updated on 2009-12-22.

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