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  4. Solution and Estimation of RE Macromodels with Optimal Policy
 
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Solution and Estimation of RE Macromodels with Optimal Policy

Journal
European Economic Review
ISSN
0014-2921
Type
journal article
Date Issued
1999
Author(s)
Söderlind, Paul  
Abstract
Macro models of monetary policy typically involve forward looking behavior. Except in rare circumstances, we have to apply some numerical method to find the optimal policy and the rational expectations equilibrium. This paper summarizes a few useful methods, and shows how they can be combined with a Kalman filter to estimate the deep model parameters with maximum likelihood. Simulations of a macro model with staggered price setting, interest rate elastic output, and optimal monetary policy illustrate the properties of this estimation approach.
Language
English
Keywords
Unstable roots
Schur decomposition
Kalman filter estimation
HSG Classification
not classified
Refereed
No
Publisher
North-Holland
Publisher place
Amsterdam
Volume
43
Start page
813
End page
823
Pages
11
URL
https://www.alexandria.unisg.ch/handle/20.500.14171/60525
Subject(s)

other research area

Division(s)

SBF - Swiss Institute...

Eprints ID
8746
File(s)
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Thumbnail Image

open.access

Name

MonEEA199812.pdf

Size

122.33 KB

Format

HTML

Checksum (MD5)

a931961b2ee897fad27da19c92bb3429

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