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  1. Solving linear DSGE models with structure-preserving doubling methods
    Author: Huber, Johannes; Meyer-Gohde, Alexander; Saecker, Johanna
    Published: [2023]
    Publisher:  Institute for Monetary and Financial Stability, Goethe University Frankfurt, Frankfurt am Main

    This paper applies structure preserving doubling methods to solve the matrix quadratic underlying the recursive solution of linear DSGE models. We present and compare two Structure-Preserving Doubling Algorithms (SDAs) to other competing methods -... more

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 464
    Inter-library loan:
    No inter-library loan

     

    This paper applies structure preserving doubling methods to solve the matrix quadratic underlying the recursive solution of linear DSGE models. We present and compare two Structure-Preserving Doubling Algorithms (SDAs) to other competing methods - the QZ method, a Newton algorithm, and an iterative Bernoulli approach - as well as the related cyclic and logarithmic reduction algorithms. Our comparison is completed using nearly 100 different models from the Macroeconomic Model Data Base (MMB) and different parameterizations of the monetary policy rule in the medium scale New Keynesian model of Smets and Wouters (2007) iteratively. We find that both SDAs perform very favorably relative to QZ, with generally more accurate solutions computed in less time. While we collect theoretical convergence results that promise quadratic convergence rates to a unique stable solution, the algorithms may fail to converge when there is a breakdown due to singularity of the coefficient matrices in the recursion. One of the proposed algorithms can overcome this problem by an appropriate (re)initialization. This SDA also performs particular well in refining solutions of different methods or from nearby parameterizations.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/280968
    Series: Working paper series / Institute for Monetary and Financial Stability ; no. 195 (2023)
    Subjects: Numerical accuracy; DSGE; Solution methods
    Scope: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  2. Solving linear DSG models with Newton methods
    Author: Meyer-Gohde, Alexander; Saecker, Johanna
    Published: [2022]
    Publisher:  Institute for Monetary and Financial Stability, Goethe University Frankfurt, Frankfurt am Main

    This paper presents and compares Newton-based methods from the applied mathematics literature for solving the matrix quadratic that underlies the recursive solution of linear DSGE models. The methods are compared using nearly 100 different models... more

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 464
    Inter-library loan:
    No inter-library loan

     

    This paper presents and compares Newton-based methods from the applied mathematics literature for solving the matrix quadratic that underlies the recursive solution of linear DSGE models. The methods are compared using nearly 100 different models from the Macroeconomic Model Data Base (MMB) and different parameterizations of the monetary policy rule in the medium-scale New Keynesian model of Smets and Wouters (2007) iteratively. We find that Newton-based methods compare favorably in solving DSGE models, providing higher accuracy as measured by the forward error of the solution at a comparable computation burden. The methods, however, suffer from their inability to guarantee convergence to a particular, e.g. unique stable, solution, but their iterative procedures lend themselves to refining solutions either from different methods or parameterizations.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/264979
    Series: Working paper series / Institute for Monetary and Financial Stability ; no. 174 (2022)
    Subjects: Numerical accuracy; DSGE; Solution methods
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen