Arbeitspapier
Efficient solution and computation of models with occasionally binding constraints
Structural macroeconometric analysis and new HANK-type models with extremely high dimensionality require fast and robust methods to efficiently deal with occasionally binding constraints (OBCs), especially since major developed economies have again hit the zero lower bound on nominal interest rates. This paper shows that a linear dynamic rational expectations system with OBCs, depending on the expected duration of the constraint, can be represented in closed form. Combined with a set of simple equilibrium conditions, this can be exploited to avoid matrix inversions and simulations at runtime for significant gains in computational speed. An efficient implementation is provided in Python programming language. Benchmarking results show that for medium-scale models with an OBC, more than 150,000 state vectors can be evaluated per second. This is an improvement of more than three orders of magnitude over existing alternatives. Even state evaluations of large HANK-type models with almost 1000 endogenous variables require only 0.1 ms.
- Sprache
-
Englisch
- Erschienen in
-
Series: IMFS Working Paper Series ; No. 148
- Klassifikation
-
Wirtschaft
- Thema
-
Occasionally Binding Constraints
Effective Lower Bound
Computational Methods
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Böhl, Gregor
- Ereignis
-
Veröffentlichung
- (wer)
-
Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2021
- Handle
- URN
-
urn:nbn:de:hebis:30:3-564457
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Böhl, Gregor
- Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS)
Entstanden
- 2021
Ähnliche Objekte (12)
Efficient solution and computation of models with occasionally binding constraints
Computation of solutions to dynamic models with occasionally binding constraints
Efficient and robust inference of models with occasionally binding constraints
Occasionally binding constraints in large models: A review of solution methods
Existence, uniqueness and computation of solutions to dynamic models with occasionally binding constraints
Efficient computation of descriptive patterns
Efficient computation of thermoacoustic modes
Efficient Computation of Search Computing Queries
Efficient computation of 2n, 2n-isogenies
Carbon pricing under binding political constraints
Verifying binding constraints for anaphor resolution
Efficient computation of Bayesian optimal discriminating designs
Efficient solution and computation of models with occasionally binding constraints
Computation of solutions to dynamic models with occasionally binding constraints
Efficient and robust inference of models with occasionally binding constraints
Occasionally binding constraints in large models: A review of solution methods
Existence, uniqueness and computation of solutions to dynamic models with occasionally binding constraints
Efficient computation of descriptive patterns
Efficient computation of thermoacoustic modes
Efficient Computation of Search Computing Queries
Efficient computation of 2n, 2n-isogenies
Carbon pricing under binding political constraints
Verifying binding constraints for anaphor resolution
Efficient computation of Bayesian optimal discriminating designs
Efficient solution and computation of models with occasionally binding constraints
Computation of solutions to dynamic models with occasionally binding constraints
Efficient and robust inference of models with occasionally binding constraints
Occasionally binding constraints in large models: A review of solution methods
Existence, uniqueness and computation of solutions to dynamic models with occasionally binding constraints
Efficient computation of descriptive patterns
Efficient computation of thermoacoustic modes
Efficient Computation of Search Computing Queries
Efficient computation of 2n, 2n-isogenies
Carbon pricing under binding political constraints
Verifying binding constraints for anaphor resolution