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Dynare add-on for "Decomposing Risk in Dynamic Stochastic General Equilibrium"

Author

Listed:
  • Hong Lan

    (Humboldt University Berlin)

  • Alexander Meyer-Gohde

    (Humboldt University Berlin)

Abstract

This file contains the code from "Decomposing Risk in Dynamic Stochastic General Equilibrium." This add-on extends Dynare's (version 4) functionality to include the calculation of the first two theoretical moments of second and third order perturbations using the nonlinear moving average policy function and the decomposition of these moments into contributions from risk and individual orders of nonlinearity.

Suggested Citation

  • Hong Lan & Alexander Meyer-Gohde, 2013. "Dynare add-on for "Decomposing Risk in Dynamic Stochastic General Equilibrium"," QM&RBC Codes 197, Quantitative Macroeconomics & Real Business Cycles.
  • Handle: RePEc:dge:qmrbcd:197
    as

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    File URL: http://dge.repec.org/codes/meyer-gohde/nonlinear_MA_mom_1_0_9.zip
    File Function: program code
    Download Restriction: none

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    More about this item

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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