Computing second-order-accurate solutions for rational expectation models using linear solution methods

Journal of Economic Dynamics and Control

Volumn 31, Issue 2, 2007, Pages 515-530

  Lombardo, Giovanni ^a   Sutherland, Alan ^b  

^a EUROPEAN CENTRAL BANK   (Germany)

^b UNIVERSITY OF ST ANDREWS   (United Kingdom)

Author keywords

Second order approximation; Solution methods for rational expectation models

Indexed keywords

EID: 33846303585     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2005.10.004     Document Type: Article

References (19)

1. Benigno P., and Woodford M. Optimal monetary and fiscal policy a linear quadratic approach. In: Gertler M., and Rogoff K. (Eds). NBER Macroeconomics Annual vol. 18 (2004) 271-333
2. Benigno, P., Woodford, M., 2004b. Optimal stabilisation policy when wages and prices are sticky: the case of a distorted steady state. NBER Working Paper No. 10839.
3. Blanchard O.J., and Kahn C.M. The solution to linear difference models under rational expectations. Econometrica 48 (1980) 1305-1311
4. Canton, E., 1996. Business cycles in a two-sector model of endogenous growth. CentER Discussion Paper No. 96116.
5. Christiano, L.J., 1998. Solving dynamic equilibrium models by a method of undetermined coefficients. NBER Working Paper No. T0225.
6. Hamilton J.D. Time Series Analysis (1994), Princeton University Press, Princeton
7. Jin, H.H., Judd, K.J., 2002. Perturbation methods for general dynamic stochastic models. Manuscript, Stanford University.
8. Juillard, M., 2003. Solving stochastic dynamic models: a k-order perturbation approach. Manuscript, University Paris 8.
9. Kim J., and Kim S. Spurious welfare reversals in international business cycle models. Journal of International Economics 60 (2003) 471-500
10. Kim, J., Kim, S., Schaumburg, E., Sims, C., 2003. Calculating and using second order accurate solutions of discrete time dynamic equilibrium models. Manuscript, Princeton University.
11. King R.G., and Watson M.W. System reduction and solution algorithms for singular linear difference systems under rational expectations. Computational Economics 20 (2002) 57-86
12. Klein P. Using the generalised Schur form to solve a multivariate linear rational expectations model. Journal of Economic Dynamics and Control 24 (2000) 1405-1423
13. Ljungqvist L., and Sargent T.J. Recursive Macroeconomic Theory (2000), MIT Press, Cambridge, MA
14. Schmitt-Grohé S., and Uribe M. Solving dynamic general equilibrium models using a second-order approximation to the policy function. Journal of Economic Dynamics and Control 28 (2004) 755-775
15. Sims, C., 2000a. Solving linear rational expectations models. Manuscript, Princeton University.
16. Sims, C., 2000b. Second-order accurate solutions of discrete time dynamic equilibrium models. Manuscript, Princeton University.
17. Sutherland, A., 2002. A simple second-order solution method for dynamic general equilibrium models. CEPR Discussion Paper No. 3554.
18. Uhlig H. A toolkit for analysing nonlinear dynamic stochastic models easily. In: Marimon R., and Scott A. (Eds). Computational Methods for the Study of Dynamic Economies (1999), Oxford University Press, Oxford 30-61
19. Woodford M. Interest and Prices: Foundations of a Theory of Monetary Policy (2003), Princeton University Press, Princeton