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Solving the multi-country Real Business Cycle model using a perturbation method

  • Kollmann, Robert
  • Kim, Jinill
  • Kim, Sunghyun H.

This paper solves the multi-country RBC model described in den Haan et al. (this issue) and Juillard and Villemot (this issue), using a perturbation method. We explain how to apply first- and second-order versions of the gensys2.m algorithm to this model. The perturbation method is computationally cheap and can easily be applied to large models with possibly hundreds of state variables.

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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 35 (2011)
Issue (Month): 2 (February)
Pages: 203-206

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Handle: RePEc:eee:dyncon:v:35:y:2011:i:2:p:203-206
Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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  1. Kollmann, Robert, 2008. "Welfare-Maximizing Operational Monetary And Tax Policy Rules," Macroeconomic Dynamics, Cambridge University Press, vol. 12(S1), pages 112-125, April.
  2. Eric Swanson & Gary Anderson & Andrew Levin, 2006. "Higher-order perturbation solutions to dynamic, discrete-time rational expectations models," Working Paper Series 2006-01, Federal Reserve Bank of San Francisco.
  3. Robert Kollmann, 2004. "Welfare effects of a monetary union: the role of trade openness," ULB Institutional Repository 2013/7626, ULB -- Universite Libre de Bruxelles.
  4. Kollmann, Robert, 2002. "Monetary policy rules in the open economy: effects on welfare and business cycles," Journal of Monetary Economics, Elsevier, vol. 49(5), pages 989-1015, July.
  5. Lombardo, Giovanni & Sutherland, Alan, 2005. "Computing second-order-accurate solutions for rational expectation models using linear solution methods," Working Paper Series 0487, European Central Bank.
  6. Kollmann, Robert, 2003. "Monetary Policy Rules in an Interdependent World," CEPR Discussion Papers 4012, C.E.P.R. Discussion Papers.
  7. Schmitt-Grohé, Stephanie & Uribe, Martín, 2001. "Solving Dynamic General Equilibrium Models Using a Second-Order Approximation to the Policy Function," CEPR Discussion Papers 2963, C.E.P.R. Discussion Papers.
  8. Sunghyun Henry Kim & Jinill Kim, 2003. "Welfare Effects of Tax Policy in Open Economies: Stabilization and Cooperation," Computing in Economics and Finance 2003 259, Society for Computational Economics.
  9. Kim, Jinill & Kim, Sunghyun Henry, 2003. "Spurious welfare reversals in international business cycle models," Journal of International Economics, Elsevier, vol. 60(2), pages 471-500, August.
  10. Bergin, Paul R. & Shin, Hyung-Cheol & Tchakarov, Ivan, 2007. "Does exchange rate variability matter for welfare? A quantitative investigation of stabilization policies," European Economic Review, Elsevier, vol. 51(4), pages 1041-1058, May.
  11. Sims, Christopher A, 2002. "Solving Linear Rational Expectations Models," Computational Economics, Society for Computational Economics, vol. 20(1-2), pages 1-20, October.
  12. Massimiliano Marzo & Thomas A. Lubik, 2004. "Monetary Policy, Fiscal Policy and Automatic Stabilizers: Welfare and Macroeconomic Stability," Computing in Economics and Finance 2004 170, Society for Computational Economics.
  13. Kim, Sunghyun Henry & Kollmann, Robert & Kim, Jinill, 2010. "Solving the incomplete market model with aggregate uncertainty using a perturbation method," Journal of Economic Dynamics and Control, Elsevier, vol. 34(1), pages 50-58, January.
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