A Numerical Method For A Kind Of DSGE Models

The Dynamic Stochastic General Equilibrium(DSGE)model describes the general equilibrium problem of economy in uncertain environment.This has been attracted much attention in recent years as a tool for economic analysis.The DSGE model with estimated parameters is widely used in academia and central bank.The academic circles use it to carry out macroeconomics research;central banks use it to explain the current economic state,to analyze the impact of monetary or fiscal policy changes,to predict the key macroeconomic aggregation and so on.As a result,the study of DSGE model and its applications are of theoretical and practical importance.In this thesis,an ideal DSGE model is established on a small closed economy that only consists of oil consumers and oil producers.The paper describes the decisionmaking process of oil consumers and producers and introduces the equilibrium conditions.Assumptions are made on given productivity shock,oil consumption demand impact and oil finance speculative demand impact distributions.Using these assumptions,the effects of these three exogenous shocks on other macroeconomic variables are analyzed numerically.Based on the first order approximate representation of logarithmic linearization of nonlinear equations,the concrete form of the approximate logarithmic linear dynamic equations of equilibrium equations of the model is derived.By dividing the variables into state variables and observation variables,a linear state transfer equation and an observation equation determined by state variables are obtained.The state transfer matrix and observation matrix contain unknown parameters.The approximate values of parameters that reflect the steady state characteristics of the model are then estimated by the calibration method,and the maximum likelihood estimation method is used to estimate the value of the dynamic characteristic parameters of the model.Finally,the impact to economic variables such as international oil price caused by pulse response as the result of these three exogenous random shocks is obtained using numerical simulation.