Browsing by Author "Meyer-Gohde, Alexander"

Now showing items 1-13 of 13

2013-05-02Diskussionspapier

Decomposing Risk in Dynamic Stochastic General Equilibrium

Lan, Hong; Meyer-Gohde, Alexander

We analyze the theoretical moments of a nonlinear approximation to a model of business cycles and asset pricing with stochastic volatility and recursive preferences. We find that heteroskedastic volatility operationalizes ...
2012-02-15Diskussionspapier

Existence and Uniqueness of Perturbation Solutions to DSGE Models

Lan, Hong; Meyer-Gohde, Alexander

We prove that standard regularity and saddle stability assumptions for linear approximations are sufficient to guarantee the existence of a unique solution for all undetermined coefficients of nonlinear perturbations of ...
2017-08-09Diskussionspapier

Generalized Entropy and Model Uncertainty

Meyer-Gohde, Alexander

I entertain a generalization of the standard Bolzmann-Gibbs-Shannon measure of entropy in multiplier preferences of model uncertainty. Using this measure, I derive a generalized exponential certainty equivalent, which nests ...
2015-03-23Diskussionspapier

Generalized Exogenous Processes in DSGE

Meyer-Gohde, Alexander; Neuhoff, Daniel

The Reversible Jump Markov Chain Monte Carlo (RJMCMC) method can enhance Bayesian DSGE estimation by sampling from a posterior distribution spanning potentially nonnested models with parameter spaces of different ...
2011-08-03Diskussionspapier

Monetary Policy, Determinacy, and the Natural Rate Hypothesis

Meyer-Gohde, Alexander

Imposing the natural rate hypothesis (NRH) can dramatically alter the determinacy bounds on monetary policy by closing the output gap in the long run. I show that the hypothesis eliminates any role for the output gap in ...
2013-05-07Diskussionspapier

Pruning in Perturbation DSGE Models

Lan, Hong; Meyer-Gohde, Alexander

We derive recursive representations of nonlinear moving average (NLMA) perturbations of DSGE models. As the stability of higher order NLMA representations follows directly from stability at first order, these recursive ...
2014-07-03Diskussionspapier

Risky LinearApproximations

Meyer-Gohde, Alexander

I construct risk-corrected approximations of the policy functions of DSGEmodels around the stochastic steady state and ergodic mean that are linear in the state variables. The resulting approximations are uniformly more ...
2011-12-15Diskussionspapier

Solving DSGE Models with a Nonlinear Moving Average

Lan, Hong; Meyer-Gohde, Alexander

We introduce a nonlinear infinite moving average as an alternative to the standard state-space policy function for solving nonlinear DSGE models. Perturbation of the nonlinear moving average policy function provides a ...
2007-12-17Diskussionspapier

Solving Linear Rational Expectations Models with Lagged Expectations Quickly and Easily

Meyer-Gohde, Alexander

A solution method is derived in this paper for solving a system of linear rationalexpectations equation with lagged expectations (e.g., models incorporating sticky information) using the method of undetermined coefficients ...
2011-01-12Diskussionspapier

Sticky Information and Determinacy

Meyer-Gohde, Alexander

The infinite-dimensional sticky-information Phillips curve is cast as a finite-dimensional timevarying system of difference equations in order to directly assess determinacy in the model with demand given by the forward-looking ...
2014-10-06Diskussionspapier

Strategic Complementaritiesand Nominal Rigidities

König, Philipp; Meyer-Gohde, Alexander

We reconsider the canonical model of price setting with menu costs by Ball and Romer (1990). Their original model exhibits multiple equilibria for nominal aggregate demand shocks of intermediate size. By abandoning Ball ...
2008-08-05Diskussionspapier

The Natural Rate Hypothesis and Real Determinacy

Meyer-Gohde, Alexander

The uniqueness of bounded local equilibria under interest rate rules is analyzed in a model with sticky information `a la Mankiw and Reis (2002). The main results are tighter bounds on monetary policy than in sticky-price ...
2017-07-17Diskussionspapier

(Un)expected Monetary Policy Shocks and Term Premia

Kliem, Martin; Meyer-Gohde, Alexander

We analyze an estimated stochastic general equilibrium model that replicates key macroeconomic and financial stylized facts during the Great Moderation of 1983-2007. Our model predicts a sizeable and volatile nominal term ...