Perturbations in DSGE models: an odd derivatives theorem

DOI10.1016/j.jedc.2019.103722zbMath1425.91390OpenAlexW2906102349MaRDI QIDQ2338515

Sherwin Lott

Publication date: 21 November 2019

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://economics.sas.upenn.edu/system/files/working-papers/18-011%20PIER%20Paper%20Submission.pdf

zbMATH Keywords

perturbation methodsportfolio theoryDSGE modelscomputational macroeconomicsodd derivatives

Mathematics Subject Classification ID

Computational methods for problems pertaining to game theory, economics, and finance (91-08) Portfolio theory (91G10) Dynamic stochastic general equilibrium theory (91B51)

Cites Work

• Solving dynamic general equilibrium models using a second-order approximation to the policy function
• Comparing solution methods for dynamic equilibrium economies
• Solving asset pricing models with stochastic volatility
• Fifth-order perturbation solution to DSGE models
• Solvability of perturbation solutions in DSGE models
• Risk Aversion in the Small and in the Large
• Asymptotic methods for asset market equilibrium analysis
• Unnamed Item

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