Solving SDGE Models: A New Algorithm for Sylvester Equation

Ondra Kamenik

No 222, Computing in Economics and Finance 2004 from Society for Computational Economics

Abstract: This paper presents a new numerical algorithm for solving Sylvester equation involved in higher order perturbation method used for solution of stochastic dynamic general equilibrium models. The new algorithm is better than methods used so far (esp. very popular doubling algorithm) in terms of computational time, memory consumption, and numerical stability. Further, the paper applies the algorithm in a simulation of a large macroeconomy model providing a simple welfare analysis of a few monetary rules. The welfare analysis compares household's lifetime expected utility.

Keywords: sylvester equation; SDGE; perturbation method; welfare analysis (search for similar items in EconPapers)
JEL-codes: C61 C63 E37 (search for similar items in EconPapers)
Date: 2004-08-11
References: Add references at CitEc
Citations: View citations in EconPapers (2)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Solving SDGE Models: A New Algorithm for the Sylvester Equation (2005)
Working Paper: Solving SDGE Models: A New Algorithm for the Sylvester Equation (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf4:222

Access Statistics for this paper

More papers in Computing in Economics and Finance 2004 from Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().