Log-Linearization of Stochastic Economic Models

This short note studies formally the common practice of log-linearizing stochastic economic models. We make precise the conditions under which stability of the original model can be inferred from that of the linearized model. A transformation to recover the stochastic equilibrium of the former from that of the latter is provided.

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Year of publication:	2003-01
Authors:	Stachurski, John
Institutions:	Institute of Economic Research, Kyoto University
Subject:	Log-linearization \| Markov process \| topological conjugacy

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Series:	KIER Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 564 9 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005230779