Template-Type: ReDIF-Paper 1.0
Author-Name: Viktors Ajevskis
Author-X-Name-First: Viktors
Author-X-Name-Last: Ajevskis
Author-Workplace-Name: Bank of Latvia
Title: Generalised Impulse Response Function as a Perturbation of a Global Solution to DSGE Models
Abstract: In the conventional perturbation approach for solving DSGE models, the dynamics of the deviation of solutions from the steady state after a shock hitting an economy represents an impulse response function (IRF). A method to construct the IRF as a deviation from a deterministic global solution is proposed. The approach detects asymmetric reactions of an economy to shocks in different initial conditions. For example, in an economic downturn a negative shock might affect the economy more severely than in normal economic conditions. The method allows for constructing the IRF for highly nonlinear DSGE models.
Creation-Date: 2019-11-29
File-URL: https://datnes.latvijasbanka.lv/papers/wp_4_2019_en.pdf
File-Format: Application/pdf
Number: 2019/04
Classification-JEL: C54, E32, E52, E58
Keywords: DSGE, perturbation, global solution, trend inflation
Handle: RePEc:ltv:wpaper:201904