Global DSGE Models

55 Pages Posted: 15 Apr 2020 Last revised: 11 May 2020

See all articles by Dan Cao

Dan Cao

Georgetown University - Department of Economics

Wenlan Luo

Tsinghua University - School of Economics & Management

Guangyu Nie

Shanghai University of Finance and Economics

Date Written: April 1, 2020

Abstract

In this paper, we introduce our GDSGE framework and MATLAB toolbox for solving dynamic stochastic general equilibrium models with a novel global solution method. The framework encompasses many well-known incomplete markets models with highly nonlinear dynamics such as models on financial crises, models with rare disasters (such as the current COVID-19 pandemic), with many financial assets and portfolio choices, and with occasionally binding constraints. The toolbox allows users to input a simple and intuitive model description script similar to Dynare, and returns a convenient MATLAB interface for accessing efficient computations implemented in C++. The toolbox is most effective in solving models featuring endogenous state variables with implicit law-of-motion such as wealth shares or consumption shares. It solves many recent important models more efficiently and accurately compared to their original solution algorithms.

Keywords: nonlinear DSGE models, incomplete markets, financial crises, rare disasters, global solution method, computation toolbox, implicit law-of-motions, consistency equations

JEL Classification: C62, C63, C68, D50, D90, E00, F30, F40, G01, G10

Suggested Citation

Cao, Dan and Luo, Wenlan and Nie, Guangyu, Global DSGE Models (April 1, 2020). Available at SSRN: https://ssrn.com/abstract=3569013 or http://dx.doi.org/10.2139/ssrn.3569013

Dan Cao (Contact Author)

Georgetown University - Department of Economics ( email )

Washington, DC 20057
United States

Wenlan Luo

Tsinghua University - School of Economics & Management ( email )

Beijing, 100084
China

Guangyu Nie

Shanghai University of Finance and Economics ( email )

777 Guoding Road
Shanghai, Shanghai 200433
China

HOME PAGE: http://www.nieguangyu.wixsite.com/econ

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
434
Abstract Views
1,990
rank
74,573
PlumX Metrics