Publications

We develop an iterative implementation of the QZ method for solving DSGE models. It refines the standard QZ solution and, as …

This paper presents and compares Bernoulli iterative approaches for solving linear DSGE models. The methods are compared using nearly …

I provide a solution method in the frequency domain for multivariate linear rational expectations models. The method works with the …

This paper presents and compares Newton-based methods from the applied mathematics literature for solving the matrix quadratic that …

We present determinacy bounds on monetary policy in three models of inattentiveness - sticky information, imperfect common knowledge, …

We study the rationale and performance of DSGE perturbations that are pruned to guarantee stable simulations. We provide theoretical …

This paper applies structure preserving doubling methods to solve the matrix quadratic underlying the recursive solution of linear DSGE …

Central banks including the ECB have moved forward with plans concerning a central bank digital currency (CBDC) to be made available to …

This paper develops and implements a backward and forward error analysis of and condition numbers for the numerical stability of the …

The term structure of interest rates is crucial for the transmission of monetary policy to financial markets and the macroeconomy. …

In this paper, we propose a new method to forecast macroeconomic variables that combines two existing approaches to mixed-frequency …

We relax the standard assumption in the dynamic stochastic general equilibrium (DSGE) literature that exogenous processes are governed …

I provide a model uncertainty foundation to the power certainty equivalent of Epstein-Zin-Weil risk sensitive preferences (EZ), …

I construct risk-sensitive approximations of policy functions of DSGE models around the stochastic steady state and ergodic mean that …

We revisit Ball and Romer’s (1990) canonical model of price setting with menu costs that exhibits multiple equilibria. We show …

We derive recursive solutions to linearized DSGE models with VARMA exogenous driving forces of arbitrary order without inflating the …

We prove that the undetermined Taylor series coefficients of local approximations to the policy function of arbitrary order in a wide …

We analyze the theoretical moments of a nonlinear approximation to real business cycle model with stochastic volatility and recursive …

We propose a nonlinear infinite moving average as an alternative to the standard state space policy function for solving nonlinear DSGE …

This paper contains a solution and an estimation method for linear rational-expectations models with lagged expectations. The solution …