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Log-Linearization of Stochastic Economic Models

Date

Authors

Stachurski, John

Publisher

Taylor & Francis Group

Abstract

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.

Keywords

Keywords: Log-linearization; Markov chains; Stochastic equilibrium; Topological conjugacy

URI

http://hdl.handle.net/1885/31301

Collections

ANU Research Publications

Source

Journal of Difference Equations and Applications

Type

Journal article

DOI

10.1080/10236190601069002

Restricted until

2037-12-31

Downloads

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Description

01_Stachurski_Log-Linearization_of_2007.pdf (123.09 KB)

02_Stachurski_Log-Linearization_of_2007.pdf (158.87 KB)