G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w21997
来源IDWorking 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
URLhttps://www.nber.org/papers/w21997
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/579671
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Jesús Fernández-Villaverde,Oren Levintal. Solution Methods for Models with Rare Disasters. 2016.
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