Solving and analyzing DSGE models in the frequency domain
Abstract
I solve multivariate linear rational expectations models in the frequency domain using the generalized Schur decomposition, providing a numerical implementation suitable for standard DSGE estimation and analysis procedures. This approach generalizes the time domain restriction of autoregressive-moving average exogenous driving forces to arbitrary covariance stationary processes. Applied to the standard New Keynesian model, I find that a Bayesian analysis favors a single parameter log harmonic function of the lag operator over the usual AR(1) assumption as it generates hump shaped autocorrelation patterns more consistent with the data.
Fields of Study & Subjects
Monetary Policy and Economic Impact
Economic Policies and Impacts
Italy: Economic History and Contemporary Issues
Publication details
- Journal / source
- Journal of Economic Dynamics and Control
- Publisher
- Elsevier BV
- Volume
- 185
- Pages
- 105281–105281
- Publication date
- 4 February 2026
- Language
- EN