Review of Solution and Estimation Methods for Nonlinear Dynamic Stochastic General Equilibrium Models with the Zero Lower Bound

Yasuo Hirose, Takeki Sunakawa

Research output: Contribution to journalArticle

Abstract

We review solution and estimation methods for nonlinear dynamic stochastic general equilibrium models and their application, with a special focus on the zero lower bound on the nominal interest rate. In a fully nonlinear setting, both the solution and estimation methods involve iterative procedures, and their computational expense grows rapidly with an increase in the dimensionality of state variables and parameters. We describe how the procedures deal with the dimensionality problem.

Original languageEnglish
JournalJapanese Economic Review
DOIs
Publication statusAccepted/In press - 2019 Jan 1

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Nonlinear dynamics
Zero lower bound
Dimensionality
Dynamic stochastic general equilibrium model
State variable
Nominal interest rate
Expenses

ASJC Scopus subject areas

  • Economics and Econometrics

Cite this

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abstract = "We review solution and estimation methods for nonlinear dynamic stochastic general equilibrium models and their application, with a special focus on the zero lower bound on the nominal interest rate. In a fully nonlinear setting, both the solution and estimation methods involve iterative procedures, and their computational expense grows rapidly with an increase in the dimensionality of state variables and parameters. We describe how the procedures deal with the dimensionality problem.",
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