Dynare Summer School 2021
Introduction to Dynare and local approximation
June 21, 2021
Michel Juillard
Q&A sessions
Session 1: 2021/06/21 7:00-8:30 UTC
Session 2: 2021/06/21 15:00-16:30 UTC
Videos
I. Dynare in a nutshell
- Why Dynare
- Main functionalities
Example: the neoclassical growth model
IV. The solution function
V. First order approximation
VI. Example: A simple RBC model
VII. Second and third order approximation
VIII. Example: An asset pricing model
A1. Solving quadratic matrix equations
Slides
All the slides in a single PDF file
Exercises
Models
Models (examples + exercises)
Papers
1. An, Sungbae and Frank Schorfheide (2006) Bayesian analysis of DSGE models.
Working Paper 06-5. Federal Reserve Bank of Philadelphia.
2. Jermann, Urban (1998) Asset pricing in production
economies. Journal
of Monetary Economics 41, pp. 257--275.
3. Juillard, Michel (2018) Dynamic Stochastic General Equilibrium Models,
in Shu-Heng Chen, Mak Kaboudan, and Ye-Rong Du (eds.) The Oxford Handbook of Computational Economics and Finance. Oxford
University Press.