A Robust and Efficient Method for Solving Nonlinear Rational Expectations Models
International Monetary Fund (IMF) - Research Department
IMF Working Paper No. 96/106
The development and use of forward-looking macro models in policymaking institutions has proceeded at a pace much slower than predicted in the early 1980s. An important reason is that researchers have not had access to robust and efficient solution techniques for solving nonlinear forward-looking models. This paper discusses the properties of a new algorithm that is used for solving MULTIMOD, the IMF`s multicountry model of the world economy. This algorithm is considerably faster and much less prone to simulation failures than to traditional algorithms and can also be used to solve individual country models of the same size.
Number of Pages in PDF File: 30
JEL Classification: C63, C88, D84, E17working papers series
Date posted: February 15, 2006
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