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Solving SDGE Models: A New Algorithm for Sylvester Equation

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Author Info

  • Ondrej Kamenik

Abstract

This paper presents a new numerical algorithm for solving Sylvester equation involved in higher order perturbation method used for solution of stochastic dynamic general equilibrium models. The new algorithm is better than methods used so far (esp. very popular doubling algorithm) in terms of computational time, memory consumption, and numerical stability. Further, the paper applies the algorithm in a simulation of a large macroeconomy model providing a simple welfare analysis of a few monetary rules. The welfare analysis compares household's lifetime expected utility.

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Bibliographic Info

Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2004 with number 222.

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Date of creation: 11 Aug 2004
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Handle: RePEc:sce:scecf4:222

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Web page: http://comp-econ.org/
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Related research

Keywords: sylvester equation; SDGE; perturbation method; welfare analysis;

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Cited by:
  1. Hong Lan & Alexander Meyer-Gohde, 2011. "Solving DSGE Models with a Nonlinear Moving Average," SFB 649 Discussion Papers SFB649DP2011-087, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Lan, Hong & Meyer-Gohde, Alexander, 2012. "Existence and Uniqueness of Perturbation Solutions in DSGE Models," Dynare Working Papers 14, CEPREMAP.

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