Bayesian Estimation

I provide a solution method in the frequency domain for multivariate linear rational expectations models. The method works with the …

The term structure of interest rates is crucial for the transmission of monetary policy to financial markets and the macroeconomy. …

I construct risk-sensitive approximations of policy functions of DSGE models around the stochastic steady state and ergodic mean that …

We derive recursive solutions to linearized DSGE models with VARMA exogenous driving forces of arbitrary order without inflating the …

This paper contains a solution and an estimation method for linear rational-expectations models with lagged expectations. The solution …