Seminar Details
2016-06-01 (14:00) : Solving Markov Switching Rational Expectation Models
At Euler building (A002)
Organized by Mathematical Engineering
Speaker :
Magali Marx (Banque de France)
Abstract :
We consider random invertible matrices following a Markovian process. We are providing explicit conditions ensuring the determinacy of the underlying economic model and show that these conditions are equivalent to the behavior of the 1-radius of this set of matrices. We then describe a numerical illustration and the computational limits.