Finite-Order VAR Representation of Linear Rational Expectations Models: With Some Lessons for Monetary Policy
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DOI: 10.24149/gwp285r2
Note: Previous versions of this paper circulated under the title, "System Reduction and Finite-Order VAR Solution Methods for Linear Rational Expectations Models."
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More about this item
Keywords
Linear Rational Expectations Models; Vector Autoregression Representation; Sylvester Matrix Equation; New Keynesian Model; Monetary Policy Shocks;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
- 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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MAC-2017-02-05 (Macroeconomics)
- NEP-ORE-2017-02-05 (Operations Research)
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