DSGE

Solving and estimating linearized DSGE models with VARMA shock processes and filtered data
We derive recursive solutions to linearized DSGE models with VARMA exogenous driving forces of arbitrary order without inflating the …
Alexander Meyer-Gohde, Daniel Neuhoff
Apr 1, 2015
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Solvability of perturbation solutions in DSGE models
We prove that the undetermined Taylor series coefficients of local approximations to the policy function of arbitrary order in a wide …
Hong Lan, Alexander Meyer-Gohde
Apr 1, 2014
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Decomposing Risk in Dynamic Stochastic General Equilibrium
We analyze the theoretical moments of a nonlinear approximation to real business cycle model with stochastic volatility and recursive …
Hong Lan, Alexander Meyer-Gohde
Mar 1, 2014
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Solving DSGE models with a nonlinear moving average
We propose a nonlinear infinite moving average as an alternative to the standard state space policy function for solving nonlinear DSGE …
Hong Lan, Alexander Meyer-Gohde
Apr 1, 2013
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Linear rational-expectations models with lagged expectations: A synthetic method
This paper contains a solution and an estimation method for linear rational-expectations models with lagged expectations. The solution …
Alexander Meyer-Gohde
May 1, 2010
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