OccBin: A toolkit for solving dynamic models with occasionally binding constraints easily

• 成果类型: Article
• 署名作者: Guerrieri, Luca; Iacoviello, Matteo
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2014.08.005
• 发表日期: 2015
• 页码: 22-38
• 关键词: Occasionally binding constraints; DSGE models; regime shifts; First-order perturbation

摘要

The toolkit adapts a first-order perturbation approach and applies it in a piecewise fashion to solve dynamic models with occasionally binding constraints. Our examples include a real business cycle model with a constraint on the level of investment and a New Keynesian model subject to the zero lower bound on nominal interest rates. Compared with a high-quality numerical solution, the piecewise linear perturbation method can adequately capture key properties of the models we consider. A key advantage of the piecewise linear perturbation method is its applicability to models with a large number of state variables. Published by Elsevier B.V.