| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w21997 |
| 来源ID | Working Paper 21997 |
| Solution Methods for Models with Rare Disasters | |
| Jesús Fernández-Villaverde; Oren Levintal | |
| 发表日期 | 2016-02-15 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | This paper compares different solution methods for computing the equilibrium of dynamic stochastic general equilibrium (DSGE) models with rare disasters along the line of those proposed by Rietz (1988), Barro (2006}, Gabaix (2012), and Gourio (2012). DSGE models with rare disasters require solution methods that can handle the large non-linearities triggered by low-probability, high-impact events with sufficient accuracy and speed. We solve a standard New Keynesian model with Epstein-Zin preferences and time-varying disaster risk with perturbation, Taylor projection, and Smolyak collocation. Our main finding is that Taylor projection delivers the best accuracy/speed tradeoff among the tested solutions. We also document that even third-order perturbations may generate solutions that suffer from accuracy problems and that Smolyak collocation can be costly in terms of run time and memory requirements. |
| 主题 | Microeconomics ; Mathematical Tools ; Macroeconomics ; Business Cycles ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w21997 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/579671 |
| 推荐引用方式 GB/T 7714 | Jesús Fernández-Villaverde,Oren Levintal. Solution Methods for Models with Rare Disasters. 2016. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w21997.pdf（627KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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