A Robust and Efficient Method for Solving Nonlinear Rational Expectations Models

Author/Editor:

Michel Juillard ; Douglas Laxton

Publication Date:

September 1, 1996

Electronic Access:

Free Download. Use the free Adobe Acrobat Reader to view this PDF file

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

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.

Series:

Working Paper No. 96/106

English

Publication Date:

September 1, 1996

ISBN/ISSN:

9781451947144/1018-5941

Stock No:

WPIEA1061996

Format:

Paper

Pages:

30

Please address any questions about this title to publications@imf.org