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Solving and analyzing DSGE models in the frequency domain

Alexander Meyer‐Gohde

Journal of Economic Dynamics and Control2026https://doi.org/10.1016/j.jedc.2026.105281article
AJG 3ABDC A*
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0.50

What the paper says

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.

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https://doi.org/https://doi.org/10.1016/j.jedc.2026.105281

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@article{alexander2026,
  title        = {{Solving and analyzing DSGE models in the frequency domain}},
  author       = {Alexander Meyer‐Gohde},
  journal      = {Journal of Economic Dynamics and Control},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1016/j.jedc.2026.105281},
}

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Solving and analyzing DSGE models in the frequency domain

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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