Existence and Uniqueness of Perturbation Solutions in DSGE Models

Hong Lan and Alexander Meyer-Gohde

No 14, Dynare Working Papers from CEPREMAP

Abstract: We prove the existence of unique solutions for all undetermined coefficients of nonlinear perturbations of arbitrary order in a wide class of discrete time DSGE models under standard regularity and saddle stability assumptions for linear approximations. Our result follows from the straightforward application of matrix analysis to our perturbation derived with Kronecker tensor calculus. Additionally, we relax the assumptions needed for the local existence theorem of perturbation solutions and prove that the local solution is independent of terms first order in the perturbation parameter.

Keywords: perturbation; DSGE; nonlinear; Sylvester equations; matrix calculus; Bézout theorem (search for similar items in EconPapers)
JEL-codes: C61 C63 E17 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2012-09
New Economics Papers: this item is included in nep-dge
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Working Paper: Existence and uniqueness of perturbation solutions to DSGE models (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:cpm:dynare:014

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