TY  - UNPD
A1  - Meyer-Gohde, Alexander
T1  - Solving linear DSGE models with Bernoulli iterations
N2  - This paper presents and compares Bernoulli iterative approaches for solving linear DSGE models. The methods are compared using nearly 100 different models from the Macroeconomic Model Data Base (MMB) and different parameterizations of the monetary policy rule in the medium-scale New Keynesian model of Smets and Wouters (2007) iteratively. I find that Bernoulli methods compare favorably in solving DSGE models to the QZ, providing similar accuracy as measured by the forward error of the solution at a comparable computation burden. The method can guarantee convergence to a particular, e.g., unique stable, solution and can be combined with other iterative methods, such as the Newton method, lending themselves especially to refining solutions.
T3  - Working paper series / Institute for Monetary and Financial Stability - 182 
KW  - Numerical accuracy
KW  - DSGE
KW  - Solution methods
Y1  - 2023
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/69199
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-691991
UR  - https://www.imfs-frankfurt.de/de/forschung/imfs-working-papers/details/mm_publication/detail/publication/solving-linear-dsge-models-with-bernoulli-iterations.html
N1  - This research was supported by the DFG through grant nr. 465469938 “Numerical diagnostics and improvements for the solution of linear dynamic macroeconomic models“.
PB  - Johann Wolfgang Goethe-Univ., Inst. for Monetary and Financial Stability
CY  - Frankfurt am Main
ER  -