{"product_id":"finance-and-economics-discussion-series-united-states-federal-reserve-board-9781288697380","title":"Finance and Economics Discussion Series: Computing Dsge Models with Recursive Preferences and Stochastic Volatility","description":"This paper compares different solution methods for computing the equilibrium of dynamic stochastic general equilibrium (DSGE) models with recursive preferences such as those in Epstein and Zin (1989 and 1991) and stochastic volatility. Models with these two features have recently become popular, but we know little about the best ways to implement them numerically. To fill this gap, we solve the stochastic neoclassical growth model with recursive preferences and stochastic volatility using four different approaches: second- and third-order perturbation, Chebyshev polynomials, and value function iteration. We document the performance of the methods in terms of computing time, implementation complexity, and accuracy. Our main finding is that perturbations are competitive in terms of accuracy with Chebyshev polynomials and value function iteration while being several orders of magnitude faster to run. Therefore, we conclude that perturbation methods are an attractive approach for computing this class of problems.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e United States Federal Reserve Board,Dario Caldara\u003cbr\u003e\u003cb\u003eISBN-10:\u003c\/b\u003e 1288697384\u003cbr\u003e\u003cb\u003eISBN-13:\u003c\/b\u003e 9781288697380\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e Bibliogov\u003cbr\u003e\u003cb\u003eLanguage:\u003c\/b\u003e English\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 02\/04\/2013\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 48\u003cbr\u003e\u003cb\u003eFormat:\u003c\/b\u003e Paperback\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 0.23lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 9.69h x 7.44w x 0.10d","brand":"United States Federal Reserve Board","offers":[{"title":"Paperback","offer_id":48449454964991,"sku":"9781288697380","price":15.75,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0662\/2982\/9887\/files\/img_c2d80bd6-9ce4-4b3d-bf31-fad14975c279.jpg?v=1777263463","url":"https:\/\/www.whiterainbookhouse.com\/products\/finance-and-economics-discussion-series-united-states-federal-reserve-board-9781288697380","provider":"WR Book House","version":"1.0","type":"link"}