TY  - UNPD
A1  - Meyer-Gohde, Alexander
A1  - Saecker, Johanna
T1  - Solving linear DSGE models with Newton methods
T2  - Working paper series / Institute for Monetary and Financial Stability ; 174
N2  - The authors present and compare Newton-based methods from the applied mathematics literature for solving the matrix quadratic that underlies the recursive solution of 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. They find that Newton-based methods compare favorably in solving DSGE models, providing higher accuracy as measured by the forward error of the solution at a comparable computation burden. The methods, however, suffer from their inability to guarantee convergence to a particular, e.g. unique stable, solution, but their iterative procedures lend themselves to refining solutions either from different methods or parameterizations.
T3  - Working paper series / Institute for Monetary and Financial Stability - 174 
KW  - Numerical accuracy
KW  - DSGE
KW  - Solution methods
Y1  - 2022
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/65694
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-656948
UR  - https://www.imfs-frankfurt.de/de/forschung/imfs-working-papers/details/mm_publication/detail/publication/solving-linear-dsge-models-with-newton-methods.html
PB  - Johann Wolfgang Goethe-Univ., Inst. for Monetary and Financial Stability
CY  - Frankfurt am Main
ER  -