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Erscheinungsjahr: 
2010
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. 10-081/2
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
The dynamic properties of micro based stochastic macro models are often analyzed through a linearization around the associated deterministic steady state. Recent literature has investigated the error made by such a deterministic approximation. Complementary to this literature we investigate how the linearization affects the stochastic properties of the original model. We consider a simple real business cycle model with noisy learning by doing. The solution has a stationary distribution that exhibits moment failure and has an unbounded support. The linear approximation, however, yields a stationary distribution with possibly a bounded support and all momentsfinite.
Schlagwörter: 
Linearization
ARCH process
Real business cycles model
Stochastic difference equation
JEL: 
C22
C62
E32
Dokumentart: 
Working Paper
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