IDEAS home Printed from https://ideas.repec.org/p/imf/imfwpa/1996-106.html
   My bibliography  Save this paper

A Robust and Efficient Method for Solving Nonlinear Rational Expectations Models

Author

Listed:
  • Michel Juillard
  • Mr. Douglas Laxton

Abstract

The development and use of forward-looking macro models in policymaking institutions has proceeded at a pace much slower than predicted in the early 1980s. An important reason is that researchers have not had access to robust and efficient solution techniques for solving nonlinear forward-looking models. This paper discusses the properties of a new algorithm that is used for solving MULTIMOD, the IMF’s multicountry model of the world economy. This algorithm is considerably faster and much less prone to simulation failures than to traditional algorithms and can also be used to solve individual country models of the same size.

Suggested Citation

  • Michel Juillard & Mr. Douglas Laxton, 1996. "A Robust and Efficient Method for Solving Nonlinear Rational Expectations Models," IMF Working Papers 1996/106, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:1996/106
    as

    Download full text from publisher

    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=2068
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Andrés González Gómez & Lavan Mahadeva & Diego Rodríguez & Luis Eduardo Rojas, 2009. "Monetary Policy Forecasting in a DSGE Model with Data that is Uncertain, Unbalanced and About the Future," Borradores de Economia 559, Banco de la Republica de Colombia.
    2. Fagan, Gabriel & Henry, Jérôme & Mestre, Ricardo, 2001. "An area-wide model (AWM) for the euro area," Working Paper Series 42, European Central Bank.
    3. Bayoumi, Tamim & Coe, David T. & Helpman, Elhanan, 1999. "R&D spillovers and global growth," Journal of International Economics, Elsevier, vol. 47(2), pages 399-428, April.
    4. Fagan, Gabriel & Henry, Jérôme & Mestre, Ricardo, 2001. "An area-wide model (AWM) for the euro area," Working Paper Series 0042, European Central Bank.
    5. Mr. Dirk V Muir & Mr. Douglas Laxton & Mr. Dennis P Botman & Mr. Andrei Romanov, 2006. "A New-Open-Economy Macro Model for Fiscal Policy Evaluation," IMF Working Papers 2006/045, International Monetary Fund.
    6. Mr. Douglas Laxton & Mr. Tamim Bayoumi & Mr. David T. Coe, 1998. "Liberating Supply-Fiscal Policy and Technological innovation in a Multicountry Model," IMF Working Papers 1998/095, International Monetary Fund.
    7. Jean-Louis Brillet, 1999. "A Technique for Solving Rational-Expectations Models," Computing in Economics and Finance 1999 333, Society for Computational Economics.
    8. Fagan, Gabriel & Henry, Jerome & Mestre, Ricardo, 2005. "An area-wide model for the euro area," Economic Modelling, Elsevier, vol. 22(1), pages 39-59, January.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:imf:imfwpa:1996/106. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Akshay Modi (email available below). General contact details of provider: https://edirc.repec.org/data/imfffus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.