全球智库信息集成服务系统(G2TT): DP10999 Exact Present Solution with Consistent Future Approximation: A Gridless Algorithm to Solve Stochastic Dynamic Models

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP10999
	DP10999 Exact Present Solution with Consistent Future Approximation: A Gridless Algorithm to Solve Stochastic Dynamic Models
	Wouter Den Haan; Pontus Rendahl; Michal Kobielarz
发表日期	2015-12-20
出版年	2015
语种	英语
摘要	This paper proposes an algorithm that finds model solutions at a particular point in the state space by solving a simple system of equations. The key step is to characterize future behavior with a Taylor series expansion of the current period's behavior around the contemporaneous values for the state variables. Since current decisions are solved from the original model equations, the solution incorporates nonlinearities and uncertainty. The algorithm is used to solve the model considered in Coeurdacier, Rey, and Winant (2011), which is a challenging model because it has no steady state and uncertainty is necessary to keep the model well behaved. We show that our algorithm can generate accurate solutions even when the model series are quite volatile. The solutions generated by the risky-steady-state algorithm proposed in Coeurdacier, Rey, and Winant (2011), in contrast, is shown to be not accurate.
主题	Monetary Economics and Fluctuations
关键词	Risky steady state Solution methods
URL	https://cepr.org/publications/dp10999
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/539828
推荐引用方式 GB/T 7714	Wouter Den Haan,Pontus Rendahl,Michal Kobielarz. DP10999 Exact Present Solution with Consistent Future Approximation: A Gridless Algorithm to Solve Stochastic Dynamic Models. 2015.