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Working Paper
Tractable latent state filtering for non-linear DSGE models using a second-order approximation
Kollmann, Robert (2013)
This paper develops a novel approach for estimating latent state variables of Dynamic Stochastic General Equilibrium (DSGE) models that are solved using a second-order accurate approximation. I apply the Kalman filter to a state-space representation of the second-order solution based on the ?pruning? scheme of Kim, Kim, Schaumburg and Sims (2008). By contrast to particle filters, no stochastic simulations are needed for the filter here--the present method is thus much faster. In Monte Carlo experiments, the filter here generates more accurate estimates of latent state variables than the ...
Globalization Institute Working Papers , Paper 147

Working Paper
Beliefs, Aggregate Risk, and the U.S. Housing Boom
Jacobson, Margaret M. (2025-01-31)
Endogenously optimistic beliefs about future house prices can account for the increase, time-path, and volatility of house prices in the U.S. housing boom of the 2000s without shocks to housing preferences. In a general equilibrium model with incomplete markets and aggregate risk, heterogeneous agents endogenously form beliefs about future house prices in response to shocks to fundamentals. When fundamentals like credit conditions loosen, agents can only partially revise up their beliefs, resulting in increasingly optimistic beliefs that are consistent with both novel and existing empirical ...
Finance and Economics Discussion Series , Paper 2022-061r1

Working Paper
Search Complementarities, Aggregate Fluctuations, and Fiscal Policy
Yu, Yang; Mandelman, Federico S.; Zanetti, Francesco; Fernández-Villaverde, Jesús (2019-05-01)
We develop a quantitative business cycle model with search complementarities in the inter-firm matching process that entails a multiplicity of equilibria. An active equilibrium with strong joint venture formation, large output, and low unemployment coexists with a passive equilibrium with low joint venture formation, low output, and high unemployment. {{p}} Changes in fundamentals move the system between the two equilibria, generating large and persistent business cycle fluctuations. The volatility of shocks is important for the selection and duration of each equilibrium. Sufficiently adverse ...
FRB Atlanta Working Paper , Paper 2019-9

Working Paper
The market resources method for solving dynamic optimization problems
Kabukcuoglu, Ayse; Martinez-Garcia, Enrique (2016-06-01)
We introduce the market resources method (MRM) for solving dynamic optimization problems. MRM extends Carroll?s (2006) endogenous grid point method (EGM) for problems with more than one control variable using policy function iteration. The MRM algorithm is simple to implement and provides advantages in terms of speed and accuracy over Howard?s policy improvement algorithm. Codes are available.
Globalization Institute Working Papers , Paper 274

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