Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/38749 
Kompletter Metadatensatz
DublinCore-FeldWertSprache
dc.contributor.authorPosch, Olafen
dc.contributor.authorTrimborn, Timoen
dc.date.accessioned2010-07-02-
dc.date.accessioned2010-08-13T12:19:32Z-
dc.date.available2010-08-13T12:19:32Z-
dc.date.issued2010-
dc.identifier.urihttp://hdl.handle.net/10419/38749-
dc.description.abstractWe propose a simple and powerful method for determining the transition process in continuous-time DSGE models under Poisson uncertainty numerically. The idea is to transform the system of stochastic differential equations into a system of functional differential equations of the retarded type. We then use the Waveform Relaxation algorithm to provide a guess of the policy function and solve the resulting system of ordinary differential equations by standard methods and fix-point iteration. Analytical solutions are provided as a benchmark from which our numerical method can be used to explore broader classes of models. We illustrate the algorithm simulating both the stochastic neoclassical growth model and the Lucas model under Poisson uncertainty which is motivated by the Barro-Rietz rare disaster hypothesis. We find that, even for non-linear policy functions, the maximum (absolute) error is very small.en
dc.language.isoengen
dc.publisher|aLeibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät |cHannoveren
dc.relation.ispartofseries|aDiskussionsbeitrag |x450en
dc.subject.jelE21en
dc.subject.jelG11en
dc.subject.jelO41en
dc.subject.ddc330en
dc.subject.keywordContinuous-time DSGEen
dc.subject.keywordOptimal stochastic controlen
dc.subject.keywordWaveform Relaxationen
dc.subject.stwDynamisches Gleichgewichten
dc.subject.stwKontrolltheorieen
dc.subject.stwStochastischer Prozessen
dc.subject.stwAlgorithmusen
dc.subject.stwTheorieen
dc.titleNumerical solution of continuous-time DSGE models under poisson uncertainty-
dc.type|aWorking Paperen
dc.identifier.ppn630498504en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:han:dpaper:dp-450en

Datei(en):
Datei
Größe
916.55 kB





Publikationen in EconStor sind urheberrechtlich geschützt.