Arbeitspapier

DSGE Nash: Solving Nash games in macro models

This paper presents DSGE Nash, a toolkit to solve for pure strategy Nash equilibria of global games in macro models. Although primarily designed to solve for Nash equilibria in DSGE models, the toolkit encompasses a broad range of options including solutions up to the third order, multiple players/strategies, the use of user-defined objective functions and the possibility of matching empirical moments and IRFs. When only one player is selected, the problem is re-framed as a standard optimal policy problem. We apply the algorithm to an open-economy model where a commodity importing country and a monopolistic commodity producer compete on the commodities market with limits to entrance. If the commodity price becomes relevant in production, the central bank in the commodity importing economy deviates from the first best policy to act strategically. In particular, the monetary authority tolerates relatively higher commodity price volatility to ease barriers to entry in commodity production and to limit the market power of the dominant exporter.

ISBN
978-92-899-5262-0
Sprache
Englisch

Erschienen in
Series: ECB Working Paper ; No. 2678

Klassifikation
Wirtschaft
Computational Techniques; Simulation Modeling
Business Fluctuations; Cycles
Policy Objectives; Policy Designs and Consistency; Policy Coordination
Thema
DSGE model
optimal policies
computational economics

Ereignis
Geistige Schöpfung
(wer)
Ferrari, Massimo Minesso
Pagliari, Maria Sole
Ereignis
Veröffentlichung
(wer)
European Central Bank (ECB)
(wo)
Frankfurt a. M.
(wann)
2022

DOI
doi:10.2866/145134
Handle
Letzte Aktualisierung
10.03.2025, 11:41 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Ferrari, Massimo Minesso
  • Pagliari, Maria Sole
  • European Central Bank (ECB)

Entstanden

  • 2022

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