Search Results - subject:"solution methods"

Solving linear DSGE models with Bernoulli iterations

Meyer-Gohde, Alexander - 2023

This paper presents and compares Bernoulli iterative approaches for solving linear DSGE models. The methods are compared using nearly 100 different models from the Macroeconomic Model Data Base (MMB) and different parameterizations of the monetary policy rule in the medium-scale New Keynesian...

Persistent link: https://www.econbiz.de/10014282693

The state-dependent impact of changes in bank capital requirements

Lang, Jan Hannes; Menno, Dominik - 2023

Based on a non-linear equilibrium model of the banking sector with an occasionally binding equity issuance constraint, we show that the economic impact of changes in bank capital requirements depends on the state of the macro-financial environment. In 'normal' states where banks do not face...

Persistent link: https://www.econbiz.de/10014320853

Numerical stability analysis of linear DSGE models: Backward errors, forward errors and condition numbers

Meyer-Gohde, Alexander - 2023

the literature. While the numerical solution methods from the literature failed to give any indication of these potential … stability of the solutions of linear dynamic stochastic general equilibrium (DSGE) models. Comparing seven different solution … methods from the literature, I demonstrate an economically significant loss of accuracy specifically in standard, generalized …

Persistent link: https://www.econbiz.de/10014431708

Solving linear DSGE models with structure-preserving doubling methods

Huber, Johannes; Meyer-Gohde, Alexander; Saecker, Johanna - 2023

This paper applies structure preserving doubling methods to solve the matrix quadratic underlying the recursive solution of linear DSGE models. We present and compare two Structure-Preserving Doubling Algorithms (SDAs) to other competing methods - the QZ method, a Newton algorithm, and an...

Persistent link: https://www.econbiz.de/10014446327

The state-dependent impact of changes in bank capital requirements

Lang, Jan Hannes; Menno, Dominik - 2023

Based on a non-linear equilibrium model of the banking sector with an occasionally-binding equity issuance constraint, we show that the economic impact of changes in bank capital requirements depends on the state of the macro-financial environment. In "normal" states where banks do not face...

Persistent link: https://www.econbiz.de/10014374772