TY  - UNPD
A1  - Meyer-Gohde, Alexander
T1  - On the accuracy of linear DSGE solution methods and the consequences for log-normal asset pricing
T2  - Working paper series / Institute for Monetary and Financial Stability ; 154
N2  - This paper demonstrates a failure of standard, generalized Schur (or QZ) decomposition based solutions methods for linear dynamic stochastic general equilibrium (DSGE) models when there is insufficient eigenvalue separation about the unit circle. The significance of this is demonstrated in a simple production-based asset pricing model with external habit formation. While the exact solution afforded by the simplicity of the model matches post-war US consumption growth and the equity premium, QZ-based numerical solutions miss the later by many annualized percentage points.
T3  - Working paper series / Institute for Monetary and Financial Stability - 154 
KW  - Numerical accuracy
KW  - Production-based asset pricing
KW  - DSGE
KW  - Solution methods
Y1  - 2021
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/56451
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-564512
UR  - https://www.imfs-frankfurt.de/forschung/imfs-working-papers/details/publication/on-the-accuracy-of-linear-dsge-solution-methods-and-the-consequences-for-log-normal-asset-pricing.html
PB  - Johann Wolfgang Goethe-Univ., Inst. for Monetary and Financial Stability
CY  - Frankfurt am Main
ER  -