Arbeitspapier
Solving linear DSGE models with Newton methods
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: IMFS Working Paper Series ; No. 174
- Klassifikation
-
Wirtschaft
Optimization Techniques; Programming Models; Dynamic Analysis
Computational Techniques; Simulation Modeling
General Aggregative Models: Forecasting and Simulation: Models and Applications
- Thema
-
Numerical accuracy
DSGE
Solution methods
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Meyer-Gohde, Alexander
Saecker, Johanna
- Ereignis
-
Veröffentlichung
- (wer)
-
Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2022
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Meyer-Gohde, Alexander
- Saecker, Johanna
- Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS)
Entstanden
- 2022
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