Stochastic Simulations of a Non-Linear Phillips Curve Model
Michel Juillard () and
Fabrice Collard ()
No 144, Computing in Economics and Finance 1999 from Society for Computational Economics
This paper presents stochastic simulations of a non-linear Phillips curve model with a random shock on the labor market, a random shock on inflation, and 20 state variables to represent a rather complex dynamical adjustment. Various methods are used to perform the simulations: two approaches to parameterized-expectations and a high-order Taylor expansion. The effects of non-linearity are then evaluated by a comparison with a linearized version of the model.
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