Fifth-order perturbation solution to DSGE models

Oren Levintal

Research output: Contribution to journalArticlepeer-review

13 Scopus citations

Abstract

This paper derives a fifth-order perturbation solution to DSGE models. The paper develops a new notation that reduces the notational complexity of high-order solutions and yields a faster code. The new notation consists of new matrix forms of high-order multivariate chain rules and a new representation of the model as a function of one vector variable. The algorithm that implements the new notation is between 3 and 55 times faster than Dynare++, depending on model size and solution order.

Original languageEnglish
Pages (from-to)1-16
Number of pages16
JournalJournal of Economic Dynamics and Control
Volume80
DOIs
StatePublished - 1 Jul 2017
Externally publishedYes

Bibliographical note

Publisher Copyright:
© 2017 Elsevier B.V.

Keywords

  • DSGE
  • Fifth order
  • High-order multivariate chain rules
  • Perturbation
  • Rare disasters

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