Solving DSGE models with incomplete markets by perturbation

IF 2.3 3区 经济学 Q2 ECONOMICS
Guillermo Hausmann-Guil
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Abstract

DSGE models with incomplete markets (with one or many assets) are typically challenging to solve due to their lack of stable dynamics as risk goes to zero. To bypass this difficulty, I propose to first approximate the local dynamics of a tractable auxiliary model and then apply regular perturbation to some of the parameters to reach the model of interest. This method is easy to implement with available packages and allows researchers to solve a wide class of DSGE models around a large subset of the state-space while still relying on the implicit function theorems. Exploiting these properties, the paper develops a simple algorithm to find an auxiliary model whose deterministic steady state equals the stochastic steady state of the model of interest and builds the perturbation solution around this point. The lead application extends the two-period, multi-asset model of Coeurdacier and Gourinchas (2016, JME) to an infinite horizon setup. The calibrated model with bonds and equities delivers a large level of equity home bias and a natural link between trade and financial openness, with external asset positions comparable to the data. However, the model generates excessive risk-sharing and counterfactual co-movements of gross capital flows.
用扰动法求解不完全市场DSGE模型
具有不完全市场(具有一个或多个资产)的DSGE模型通常具有挑战性,因为当风险趋于零时,它们缺乏稳定的动态。为了绕过这个困难,我建议首先近似一个可处理的辅助模型的局部动力学,然后对一些参数应用规则摄动以达到感兴趣的模型。这种方法很容易用可用的包实现,并且允许研究人员在仍然依赖隐函数定理的情况下,围绕状态空间的一个大子集求解广泛的DSGE模型。利用这些性质,本文开发了一种简单的算法来寻找辅助模型,该模型的确定性稳态等于目标模型的随机稳态,并建立了围绕该点的扰动解。主要应用将Coeurdacier和Gourinchas (2016, JME)的两期多资产模型扩展到无限视界设置。经过校准的债券和股票模型显示出很大程度的股票母国偏好,以及贸易与金融开放之间的自然联系,外部资产头寸与数据相当。然而,该模型产生了过度的风险分担和资本流动总额的反事实协同运动。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
3.30
自引率
0.00%
发文量
69
期刊介绍: Review of Economic Dynamics publishes meritorious original contributions to dynamic economics. The scope of the journal is intended to be broad and to reflect the view of the Society for Economic Dynamics that the field of economics is unified by the scientific approach to economics. We will publish contributions in any area of economics provided they meet the highest standards of scientific research.
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