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Solving DSGE models with a nonlinear moving average

Lan, Hong; Meyer-Gohde, Alexander - 2011

solving nonlinear DSGE models. Perturbation of the nonlinear moving average policy function provides a direct mapping from a …

Persistent link: https://www.econbiz.de/10010286434

Risky linear approximations

Meyer-Gohde, Alexander - 2014

standard perturbation output. I examine the joint macroeconomic and asset pricing implications of a real business cycle model …

Persistent link: https://www.econbiz.de/10010427056

Iterative refinement of the QZ decomposition for solving linear DSGE models

Huber, Johannes; Meyer-Gohde, Alexander - 2025

The standard approach to solving linear DSGE models is to apply the QZ method. It is a one-shot algorithm that leaves …

Persistent link: https://www.econbiz.de/10015209955

Solving linear DSGE models with Newton methods

Meyer-Gohde, Alexander; Saecker, Johanna - 2022

quadratic that underlies the recursive solution of linear DSGE models. The methods are compared using nearly 100 different … solving DSGE models, providing higher accuracy as measured by the forward error of the solution at a comparable computation …

Persistent link: https://www.econbiz.de/10013375524

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 … methods compare favorably in solving DSGE models to the QZ, providing similar accuracy as measured by the forward error of the …

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

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

Meyer-Gohde, Alexander - 2023

stability of the solutions of linear dynamic stochastic general equilibrium (DSGE) models. Comparing seven different solution … inaccuracies. The analysis is then performed for a database of roughly 100 DSGE models from the literature and a large set of draws …

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

Solving linear DSGE models with structure-preserving doubling methods

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

solution of linear DSGE models. We present and compare two Structure-Preserving Doubling Algorithms (SDAs) to other competing …

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

On the accuracy of linear DSGE solution methods and the consequences for log-normal asset pricing

Meyer-Gohde, Alexander - 2021

linear dynamic stochastic general equilibrium (DSGE) models when there is insufficient eigenvalue separation about the unit …

Persistent link: https://www.econbiz.de/10012488263

Existence, uniqueness and computation of solutions to dynamic models with occasionally binding constraints

Holden, Tom D. - 2016

We present the first necessary and sufficient conditions for the existence of a unique perfect-foresight solution, returning to a given steady-state, in an otherwise linear model with occasionally binding constraints. We derive further conditions on the existence of a solution in such models,...

Persistent link: https://www.econbiz.de/10011422742

Solving and analyzing DSGE models in the frequency domain

Meyer-Gohde, Alexander - 2024

solution methods suitable for standard DSGE estimation and analysis procedures. This approach generalizes the time …

Persistent link: https://www.econbiz.de/10015053559