Computing the risky steady state of DSGE models

Oliver de Groot

Economics Letters, 2013, vol. 120, issue 3, 566-569

Abstract: This note describes a simple procedure for solving the risky steady state in medium-scale macroeconomic models. This is the “point where agents choose to stay at a given date if they expect future risk and if the realization of shocks is 0 at this date” [Coeurdacier, N., Rey, H., Winant, P., 2011. The risky steady state. The American Economic Review 101 (3), 398–401]. This new procedure is a direct method which makes use of a second-order approximation of the macroeconomic model around its deterministic steady state, thus avoiding the need to employ an iterative algorithm to solve a fixed-point problem.

Keywords: Risky steady state; DSGE models; Computation (search for similar items in EconPapers)
JEL-codes: C63 E0 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:120:y:2013:i:3:p:566-569

DOI: 10.1016/j.econlet.2013.06.025

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