An Efficient Method of Computing Higher-Order Bond Price Perturbation Approximations

This paper develops a fast method of computing arbitrary order perturbation approximations to bond prices in DSGE models. The procedure is implemented to third order where it can shorten the approximation process by more than 100 times. In a consumption-based endowment model with habits, it is further shown that a third-order perturbation solution is more accurate than the log-normal method and a procedure using consol bonds

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Year of publication:	2011
Authors:	Andreasen, Martin M.
Other Persons:	Zabczyk, Pawel (contributor)
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Finanzmarkt \| Financial market \| Rentenmarkt \| Bond market \| Dynamisches Gleichgewicht \| Dynamic equilibrium

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