英文标题：
《Semi-Global Solutions to DSGE Models: Perturbation around a
Deterministic Path》
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作者：
Viktors Ajevskis
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最新提交年份：
2015
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英文摘要：
This study proposes an approach based on a perturbation technique to construct global solutions to dynamic stochastic general equilibrium models (DSGE). The main idea is to expand a solution in a series of powers of a small parameter scaling the uncertainty in the economy around a solution to the deterministic model, i.e. the model where the volatility of the shocks vanishes. If a deterministic path is global in state variables, then so are the constructed solutions to the stochastic model, whereas these solutions are local in the scaling parameter. Under the assumption that a deterministic path is already known the higher order terms in the expansion are obtained recursively by solving linear rational expectations models with time-varying parameters. The present work also proposes a method rested on backward recursion for solving general systems of linear rational expectations models with time-varying parameters and determines the conditions under which the solutions of the method exist.
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中文摘要：
本文提出了一种基于摄动技术构造动态随机一般均衡模型（DSGE）全局解的方法。其主要思想是围绕确定性模型（即冲击波动消失的模型）的解决方案，将解决方案扩展为一系列小参数的幂，以衡量经济中的不确定性。如果确定性路径在状态变量中是全局的，那么随机模型的构造解也是全局的，而这些解在标度参数中是局部的。在已知确定性路径的假设下，通过求解具有时变参数的线性理性期望模型，递归地得到展开式中的高阶项。本文还提出了一种基于后向递归的方法，用于求解具有时变参数的线性理性期望模型的一般系统，并确定了该方法的解存在的条件。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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一级分类：Mathematics 数学
二级分类：Dynamical Systems 动力系统
分类描述：Dynamics of differential equations and flows, mechanics, classical few-body problems, iterations, complex dynamics, delayed differential equations
微分方程和流动的动力学，力学，经典的少体问题，迭代，复杂动力学，延迟微分方程
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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