Fifth-order perturbation solution to DSGE models

Oren Levintal

doi:10.1016/j.jedc.2017.04.007

Fifth-order perturbation solution to DSGE models

Oren Levintal

Reichman University

Research output: Contribution to journal › Article › peer-review

17 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 language	English
Pages (from-to)	1-16
Number of pages	16
Journal	Journal of Economic Dynamics and Control
Volume	80
DOIs	https://doi.org/10.1016/j.jedc.2017.04.007
State	Published - 1 Jul 2017
Externally published	Yes

Bibliographical note

Publisher Copyright:
© 2017 Elsevier B.V.

Keywords

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

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10.1016/j.jedc.2017.04.007

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KW - Perturbation

KW - Rare disasters

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Fifth-order perturbation solution to DSGE models

Abstract

Bibliographical note

Keywords

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