Strucural change and DSGE models
Michel Juillard ()
No 191, Computing in Economics and Finance 2004 from Society for Computational Economics
In most existing DSGE models, parameters are supposed constant and exogenous shocks have zero mean. This makes difficult to treat structural change and anticipated effects of future reforms. Introducing dummy variables in the DSGE model can only handle unexpected changes. This papers deals with upcoming changes supposed to be known, at least to some extend, by all agents such as, for example, demographic change or adhesion to the euro in European accessing countries. The modelling device used in the paper is to introduce future values of deterministic exogenous variables among state variables upon which agents make their decision. Illustration of the procedure is provided for simulation with approximations at order 1 and 2 and for estimation of linear approximations.
Keywords: structural change; DSGE models (search for similar items in EconPapers)
JEL-codes: C30 C51 E17 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf4:191
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