Semi-global solutions to DSGE models: perturbation around a deterministic path

Ajevskis, Viktors

doi:10.1515/snde-2016-0065

Cited by 5 publications

(4 citation statements)

References 22 publications

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“…Another way to combine the extended path with the perturbation method is presented in Ajevskis (2017). He augments the certainty equivalent solution by a pointwise second‐order accurate estimate of

{boldg}^{normalstoch}

and

{boldh}^{normalstoch}

.…”

Section: The Extended Perturbation Methodsmentioning

confidence: 99%

“…Extended perturbation instead modifies the solution from the extended path by adding the perturbation approximation of

{boldg}^{normalstoch}

and

{boldh}^{normalstoch}

to this solution. Thus, the loadings for the uncertainty correction in extended perturbation are only computed at the steady state, whereas the uncertainty correction in Ajevskis (2017) is limited to second order in the current implementation and must be recomputed at every value of

{boldx}_{t}

, making this method computationally more demanding than extended perturbation in long simulations.…”

Section: The Extended Perturbation Methodsmentioning

confidence: 99%

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The extended perturbation method: With applications to the New Keynesian model and the zero lower bound

Andreasen

Kronborg

2022

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We introduce the extended perturbation method, which improves the accuracy of standard perturbation by reducing approximation errors under certainty equivalence. For the New Keynesian model with Calvo pricing, extended perturbation is more accurate than standard perturbation, which implies explosive dynamics because it omits the upper bound on inflation implied by this model. In contrast, extended perturbation enforces this bound and generates stable dynamics. We also show that extended perturbation can accurately solve a New Keynesian model that enforces the zero lower bound for the monetary policy rate by considering a smooth nonlinear modification of the standard Taylor rule.

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{boldg}^{normalstoch}

and

{boldh}^{normalstoch}

.…”

Section: The Extended Perturbation Methodsmentioning

confidence: 99%

“…Extended perturbation instead modifies the solution from the extended path by adding the perturbation approximation of

{boldg}^{normalstoch}

and

{boldh}^{normalstoch}

{boldx}_{t}

, making this method computationally more demanding than extended perturbation in long simulations.…”

Section: The Extended Perturbation Methodsmentioning

confidence: 99%

The extended perturbation method: With applications to the New Keynesian model and the zero lower bound

Andreasen

Kronborg

2022

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show abstract

“…However, the implementation of this method is nontrivial, in particular, in models with multiple state variables. Ajevskis (2017) proposed a method in which the certainty equivalent solution à la Fair and Taylor (1983) is improved by incorporating higher order perturbation terms. Furthermore, Krusell and Smith (2015) developed a related numerical method that combines perturbation of distributions and approximate aggregation in line with Krusell and Smith (1998) to solve for a transition path in a multi‐region climate change model.…”

Section: Efp Limitationsmentioning

confidence: 99%

“… Other related path‐solving methods are shooting methods, for example, Lipton, Poterba, Sachs, and Summers (1980), Atolia and Buffie (2009a, 2009b); a continuous‐time analysis of Chen (1999); a parametric path method of Judd (2002); an EP method built on Newton‐style solver of Heer and Maußner (2010); a framework for analyzing time‐dependent linear rational expectation models of Cagliarini and Kulish (2013); a nonlinear predictive control method for value function iteration of Grüne, Semmler, and Stieler (2015); refinements of the EP method, for example, Adjemian and Juillard (2013), Krusell and Smith (2015), and Ajevskis (2017). …”

mentioning

confidence: 99%

A tractable framework for analyzing a class of nonstationary Markov models

Maliar

Taylor

et al. 2020

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We consider a class of infinite‐horizon dynamic Markov economic models in which the parameters of utility function, production function, and transition equations change over time. In such models, the optimal value and decision functions are time‐inhomogeneous: they depend not only on state but also on time. We propose a quantitative framework, called extended function path (EFP), for calibrating, solving, simulating, and estimating such nonstationary Markov models. The EFP framework relies on the turnpike theorem which implies that the finite‐horizon solutions asymptotically converge to the infinite‐horizon solutions if the time horizon is sufficiently large. The EFP applications include unbalanced stochastic growth models, the entry into and exit from a monetary union, information news, anticipated policy regime switches, deterministic seasonals, among others. Examples of MATLAB code are provided.

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Diversification in the enterprises' activities for sustainable development in the agricultural sector

Denysiuk¹,

Svitlyshyn²,

Tsaruk³

et al. 2023

Rivista Di Studi Sulla Sostenibilita'

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The topic of the article is current. Enterprises of the agricultural sector need to expand the range of products and reorient sales markets, develop new types of production in order to increase efficiency. The purpose of the study is to explore the practical possibilities of developing the diversification of the activities of agricul-tural enterprises, to assess the real prospects for stimulating their activities and in-creasing the overall level of well-being and organizing the functioning of modern agricultural enterprises. The methodological approach is based on a combination of methods of system analysis of the foundations for the implementation of the diversification of agricultural enterprises with an analytical study of the prospects for the development of agricultural production in modern economic conditions to achieve the sustainability of the industry. The results of the study indicate a plural-ity of factors influencing the development of the diversification of agricultural en-terprises, depending on the nature of their activities and the type of marketable products they produce, which is determined by the specifics of the market and its activity at a given time. intervals. Further research in this area will help increase the overall economic potential of the country through the sustainable development of the agricultural sector.

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Semi-global solutions to DSGE models: perturbation around a deterministic path

Cited by 5 publications

References 22 publications

The extended perturbation method: With applications to the New Keynesian model and the zero lower bound

The extended perturbation method: With applications to the New Keynesian model and the zero lower bound

A tractable framework for analyzing a class of nonstationary Markov models

Diversification in the enterprises' activities for sustainable development in the agricultural sector

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