Dynamic Perturbation

• 成果类型: Article
• 署名作者: Mennuni, Alessandro; Rubio-Ramirez, Juan F.; Stepanchuk, Serhiy
• 署名单位: University of Southampton; Emory University
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdae037
• 发表日期: 2024
• 页码: 1157-1192
• 关键词: models; solve; RISK

摘要

We present a novel algorithm called Dynamic Perturbation for solving large-scale macroeconomic models. Our approach involves computing first-order Taylor expansions of the policy functions along the entire equilibrium path. This method applies to a wide range of models and offers significantly higher accuracy than traditional perturbation approaches. Remarkably, even when utilising first-order approximations, our method can effectively handle models with strong nonlinearities and occasionally binding constraints, such as the zero lower bound.