Research Discussion Papers, Bank of Finland
No 5/2013:
Sticky information models in Dynare
Fabio Verona ()
and Maik H. Wolters ()
Abstract: Macroeconomic models with sticky information include an
infinite number of lagged expectations. Several authors have developed
specialized solutions algorithms to solve these models under rational
expectations. We demonstrate that it is also possible to implement this
class of models in Dynare – a widely used software package for solving
dynamic stochastic general equilibrium (DSGE) models. Using the Dynare
macro language one can easily construct and change the required large
number of lagged expectation terms. We assess the accuracy of simulations
run with different truncation points for the lagged expectations terms and
find that the solution is reasonably precise even for moderate truncation
points.
Keywords: sticky information; Dynare; macro-processor; lagged expectations; (follow links to similar papers)
JEL-Codes: C54; C63; (follow links to similar papers)
17 pages, March 26, 2013
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Verona, Fabio and Maik H. Wolters, 'Sticky information models in Dynare', Computational Economics.
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