Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/302176 
Year of Publication: 
2024
Series/Report no.: 
IMFS Working Paper Series No. 207
Publisher: 
Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS), Frankfurt a. M.
Abstract: 
I provide a solution method in the frequency domain for multivariate linear rational expectations models. The method works with the generalized Schur decomposition, providing a numerical implementation of the underlying analytic function solution methods suitable for standard DSGE estimation and analysis procedures. This approach generalizes the time-domain restriction of autoregressive-moving average exogenous driving forces to arbitrary covariance stationary processes. Applied to the standard New Keynesian model, I find that a Bayesian analysis favors a single parameter log harmonic function of the lag operator over the usual AR(1) assumption as it generates humped shaped autocorrelation patterns more consistent with the data.
Subjects: 
DSGE
solution methods
spectral methods
Bayesian estimation
general exogenous processes
JEL: 
C32
C62
C63
E17
E47
Document Type: 
Working Paper

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