| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9464 |
| DP9464 Perturbation Methods for Markov-Switching DSGE Models | |
| Tao Zha; Juan Francisco Rubio-Ramírez; Andrew Foerster | |
| 发表日期 | 2013-05-05 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | This paper develops a general perturbation methodology for constructing high-order approximations to the solutions of Markov-switching DSGE models. We introduce an important and practical idea of partitioning the Markov-switching parameter space so that a steady state is well defined. With this definition, we show that the problem of definding an approximation of any order can be reduced to solving a system of quadratic equations. We propose using the theory of Grobner bases in searching all the solutions to the quadratic system. This approach allows us to obtain all the approximations and ascertain how many of them are stable. Our methodology is applied to three models to illustrate its feasibility and practicality. |
| 主题 | International Macroeconomics |
| 关键词 | Dsge Markov-switching Perturbation |
| URL | https://cepr.org/publications/dp9464 |
| 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/538299 |
| 推荐引用方式 GB/T 7714 | Tao Zha,Juan Francisco Rubio-Ramírez,Andrew Foerster. DP9464 Perturbation Methods for Markov-Switching DSGE Models. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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