Solving SDGE Models: A New Algorithm for Sylvester Equation
AbstractThis 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 InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2004 with number 222.
Date of creation: 11 Aug 2004
Date of revision:
sylvester equation; SDGE; perturbation method; welfare analysis;
Find related papers by JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
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- 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.
- Lan, Hong & Meyer-Gohde, Alexander, 2012. "Existence and Uniqueness of Perturbation Solutions in DSGE Models," Dynare Working Papers 14, CEPREMAP.
- Lan, Hong & Meyer-Gohde, Alexander, 2013.
"Solving DSGE models with a nonlinear moving average,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 37(12), pages 2643-2667.
- 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.
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