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Log-Linearization of Stochastic Economic Models

Stachurski, John

Description

This paper studies formally the common practice of log-linearizing stochastic economic models, making precise the conditions under which stability of the original model can be inferred from that of the linearized model. A transformation to recover the stochastic equilibrium of the former from that of the latter is provided.

dc.contributor.authorStachurski, John
dc.date.accessioned2015-12-08T22:18:20Z
dc.identifier.issn1023-6198
dc.identifier.urihttp://hdl.handle.net/1885/31301
dc.description.abstractThis paper studies formally the common practice of log-linearizing stochastic economic models, making precise the conditions under which stability of the original model can be inferred from that of the linearized model. A transformation to recover the stochastic equilibrium of the former from that of the latter is provided.
dc.publisherTaylor & Francis Group
dc.sourceJournal of Difference Equations and Applications
dc.subjectKeywords: Log-linearization; Markov chains; Stochastic equilibrium; Topological conjugacy
dc.titleLog-Linearization of Stochastic Economic Models
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume13
dc.date.issued2007
local.identifier.absfor140102 - Macroeconomic Theory
local.identifier.ariespublicationu9501697xPUB81
local.type.statusPublished Version
local.contributor.affiliationStachurski, John, College of Business and Economics, ANU
local.description.embargo2037-12-31
local.bibliographicCitation.issue2-3 (February-March 2007)
local.bibliographicCitation.startpage217
local.bibliographicCitation.lastpage222
local.identifier.doi10.1080/10236190601069002
dc.date.updated2015-12-08T08:15:30Z
local.identifier.scopusID2-s2.0-33847773131
CollectionsANU Research Publications

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