论文标题
分析线性DSGE模型：不确定的马尔可夫的方法
Analyzing Linear DSGE models: the Method of Undetermined Markov States
论文作者
论文摘要
我表明，具有一个内源性状态变量的一类线性DSGE模型可以表示为三州马尔可夫链。我基于此表示形式开发了一种新的分析解决方案方法，该方法等于解决马尔可夫州的向量和一个过渡概率。这两个对象构成了足够的统计信息，可以在数字上经常计算的封闭形式对象：脉冲响应函数，累积总和，当前的折扣价值乘数。我将该方法应用于标准的新凯恩斯主义模型，该模型具有最佳的货币政策。
I show that a class of Linear DSGE models with one endogenous state variable can be represented as a three-state Markov chain. I develop a new analytical solution method based on this representation, which amounts to solving for a vector of Markov states and one transition probability. These two objects constitute sufficient statistics to compute in closed form objects that have routinely been computed numerically: impulse response function, cumulative sum, present discount value multiplier. I apply the method to a standard New Keynesian model that features optimal monetary policy with commitment.
