Ajevskis, Viktors (2014): Global Solutions to DSGE Models as a Perturbation of a Deterministic Path.

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Abstract
This study presents an approach based on a perturbation technique to construct global solutions to dynamic stochastic general equilibrium models (DSGE). The main idea is to expand a solution in a series of powers of a small parameter scaling the uncertainty in the economy around a solution to the deterministic model, i.e. the model where the volatility of the shocks vanishes. If a deterministic path is global in state variables, then so are the constructed solutions to the stochastic model, whereas these solutions are local in the scaling parameter. Under the assumption that a deterministic path is already known the higher order terms in the expansion are obtained recursively by solving linear rational expectations models with timevarying parameters. The present work proposes a method rested on backward recursion for solving this type of models.
Item Type:  MPRA Paper 

Original Title:  Global Solutions to DSGE Models as a Perturbation of a Deterministic Path 
English Title:  Global Solutions to DSGE Models as a Perturbation of a Deterministic Path 
Language:  English 
Keywords:  DSGE, perturbation method, rational expectations models with timevarying parameters, asset pricing model 
Subjects:  C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C61  Optimization Techniques ; Programming Models ; Dynamic Analysis C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C62  Existence and Stability Conditions of Equilibrium C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63  Computational Techniques ; Simulation Modeling D  Microeconomics > D5  General Equilibrium and Disequilibrium > D58  Computable and Other Applied General Equilibrium Models D  Microeconomics > D9  Intertemporal Choice 
Item ID:  55145 
Depositing User:  Dr Math Viktors Ajevskis 
Date Deposited:  04 Apr 2016 17:08 
Last Modified:  04 Apr 2016 18:13 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/55145 