Global DSGE models
Review of Economic Dynamics
; 2023.
Article
in English
| Scopus | ID: covidwho-2228550
ABSTRACT
We introduce our GDSGE framework and a novel global solution method, called simultaneous transition and policy function iterations (STPFIs), for solving dynamic stochastic general equilibrium models. The framework encompasses many well-known incomplete markets models with highly nonlinear dynamics such as models of financial crises and models with rare disasters including the current COVID-19 pandemic. Using consistency equations, our method is most effective at solving models featuring endogenous state variables with implicit laws of motion such as wealth or consumption shares. Finally, we incorporate this method in an automated and publicly available toolbox that solves many important models in the aforementioned topics, and in many cases, more efficiently and/or accurately than their original algorithms. © 2023 Elsevier Inc.
Full text:
Available
Collection:
Databases of international organizations
Database:
Scopus
Language:
English
Journal:
Review of Economic Dynamics
Year:
2023
Document Type:
Article
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