Calculating and Using Second Order Accurate Solution of Discrete Time Dynamic Equilibrium Models

By Christopher A. Sims, Jinill Kim, Sunghyun Kim. 2003

311 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/8df96078f24667e864712f64f408e405078d8fe1

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Citations in the corpus

• Local approximation of DSGE models around the risky steady state (2011, unknown): “Deriving gy from F y = 0 involves solving a polynomial matrix equation Sims (2002); Klein (2000).”
• Incomplete Pass-Through and the Welfare Effects of Exchange Rate Variability (2005, unknown): “E h P̂ i + E h Ĉ i = 0 and E h P̂ ¤ i + E h Ĉ¤ i = 0 (34)”
• Monetary Policy Rules in the Open Economy: Effects on Welfare and Business Cycles (2002, unknown): “The solution method (Sims, 2000): A technical note available from me shows that the aggregate dynamics of the economy is determined by a system of equations that can be written as”
• Estimating Dynamic Equilibrium Economies: Linear versus Nonlinear Likelihood (2005, unknown): “It has been argued (for example Kim et al., 2003) that this linear solution is likely to be accurate enough for fitting the model to the data.”
• Capital Flows and Financial Stability: Monetary Policy and Macroprudential Responses (2011, methodology): “The model is then solved numerically up to a second order approximation using Sims (2005).17 Our choice of parameter values used in the calibration is explained in the next section.”
• Quantifying and Sustaining Welfare Gains from Monetary Commitment (2007, unknown): “Kydland and Prescott (1977) and Barro and Gordon (1983) employed the ‘New Classical Phillips Curve’ (3) and showed that a time-inconsistency or credibility problem in monetary policy arises when the monetary authority at time 0 sets a state-contingent inflation rate πt to minimize the loss function”
• Environmental Policy and Macroeconomic Dynamics in a New Keynesian Model (2013, unknown): “On the other hand, for very rigid prices (27)The computer package Dynare we use to find the solution of the model calculates theoretical moments for all the endogenous variables using the approximation method of Kim et al. (2008).”
• DSGE Models and Central Banks (2009, unknown): “See Schmidtt-Grohé and Uribe (2004) and Kim et al (2008) for a discussion on second-order approximations.”
• A Simple Second-Order Solution Method For Dynamic General Equilibrium Models (2002, background): “Equations (11), ( 12 ) and (13) have been used to eliminate ^”
• Estimating Nonlinear DSGE Models by the Simulated Method of Moments (2010, unknown): “i=1 mi( ) in the statistical objective function, then the resulting generalized method of moments (GMM) estimator is b = argmin 2 M( )0WM( ); (15)”