| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7341 |
| DP7341 Monetary Policy Inertia: More a Fiction than a fact? | |
| Carlo A. Favero; Agostino Consolo | |
| 发表日期 | 2009-06-28 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | This paper compares different solution methods for computing the equilibrium of dynamic stochastic general equilibrium (DSGE) models with recursive preferences such as those in Epstein and Zin (1989 and 1991). Models with these preferences have recently become popular, but we know little about the best ways to implement them numerically. To fill this gap, we solve the stochastic neoclassical growth model with recursive preferences using four different approaches: second- and third-order perturbation, Chebyshev polynomials, and value function iteration. We document the performance of the methods in terms of computing time, implementation complexity, and accuracy. Our main finding is that a third-order perturbation is competitive in terms of accuracy with Chebyshev polynomials and value function iteration, while being an order of magnitude faster to run. Therefore, we conclude that perturbation methods are an attractive approach for computing this class of problems. |
| 主题 | International Macroeconomics |
| 关键词 | Perturbation Dsge models Recursive preferences |
| URL | https://cepr.org/publications/dp7341 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536178 |
| 推荐引用方式 GB/T 7714 | Carlo A. Favero,Agostino Consolo. DP7341 Monetary Policy Inertia: More a Fiction than a fact?. 2009. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
