Arbeitspapier

Perturbation methods for Markov-switching DSGE models

Markov-switching DSGE (MSDSGE) modeling has become a growing body of literature on economic and policy issues related to structural shifts. This paper develops a general perturbation methodology for constructing high-order approximations to the solutions of MSDSGE models. Our new method, called "the partition perturbation method," partitions the Markov-switching parameter space to keep a maximum number of time-varying parameters from perturbation. For this method to work in practice, we show how to reduce the potentially intractable problem of solving MSDSGE models to the manageable problem of solving a system of quadratic polynomial equations. We propose to use the theory of Gröbner bases for solving such a quadratic system. This approach allows us to first obtain all the solutions and then determine how many of them are stable. We illustrate the tractability of our methodology through two examples.

Sprache
Englisch

Erschienen in
Series: Working Paper ; No. 2014-16

Klassifikation
Wirtschaft
Thema
partition principle
naive perturbation
uncertainty
Taylor series
high-order expansion
time-varying coefficients
nonlinearity
Gröbner bases

Ereignis
Geistige Schöpfung
(wer)
Foerster, Andrew
Rubio-Ramírez, Juan
Waggoner, Daniel F.
Zha, Tao
Ereignis
Veröffentlichung
(wer)
Federal Reserve Bank of Atlanta
(wo)
Atlanta, GA
(wann)
2014

Handle
Letzte Aktualisierung
10.03.2025, 11:44 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

  • Foerster, Andrew
  • Rubio-Ramírez, Juan
  • Waggoner, Daniel F.
  • Zha, Tao
  • Federal Reserve Bank of Atlanta

Entstanden

  • 2014

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