Finance and Economics Discussion Series: Computing Dsge Models with Recursive Preferences and Stochastic Volatility - Softcover

Caldara, Dario

 
9781288697380: Finance and Economics Discussion Series: Computing Dsge Models with Recursive Preferences and Stochastic Volatility
Softcover
ISBN 10: 1288697384 ISBN 13: 9781288697380
Verlag: Bibliogov, 2013

Inhaltsangabe

This paper compares different solution methods for computing the equilibrium of dynamic stochastic general equilibrium (DSGE) models with recursive preferences such as those in Epstein and Zin (1989 and 1991) and stochastic volatility. Models with these two features have recently become popular, but we know little about the best ways to implement them numerically. To fill this gap, we solve the stochastic neoclassical growth model with recursive preferences and stochastic volatility using four different approaches: second- and third-order perturbation, Chebyshev polynomials, and value function iteration. We document the performance of the methods in terms of computing time, implementation complexity, and accuracy. Our main finding is that perturbations are competitive in terms of accuracy with Chebyshev polynomials and value function iteration while being several orders of magnitude faster to run. Therefore, we conclude that perturbation methods are an attractive approach for computing this class of problems.

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Verlag
Bibliogov
Erscheinungsdatum
2013
Sprache
Englisch
ISBN 10 
1288697384
ISBN 13 
9781288697380
Einband
Taschenbuch
Anzahl der Seiten
48
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