Efficient Simulation of DSGE Models with Inequality Constraints
Tom Holden () and
Quantitative Macroeconomics Working Papers from Hamburg University, Department of Economics
This paper presents a fast, simple and intuitive algorithm for simulation of linear dynamic stochastic general equilibrium models with inequality constraints. The algorithm handles both the computation of impulse responses, and stochastic simulation, and can deal with arbitrarily many bounded variables. To illustrate the usefulness and efficiency of this algorithm we provide two applications according to the zero lower bound (ZLB) on nominal interest rates. Our solution principle is much faster than comparable methods. We therefore expect this algorithm to be very helpful also for estimation procedures, and for a wide range of applications apart from monetary policy analysis.
Keywords: inequality constraints; zero lower bound; DSGE model; New Keynesian framework; two-country models (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp and nep-dge
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (37) Track citations by RSS feed
Downloads: (external link)
http://www.uni-hamburg.de/fachbereiche-einrichtung ... makro/inequality.pdf (application/pdf)
Working Paper: Efficient simulation of DSGE models with inequality constraints (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ham:qmwops:21207b
Access Statistics for this paper
More papers in Quantitative Macroeconomics Working Papers from Hamburg University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by ().