Solving the Diamond-Mortensen-Pissarides model accurately
An accurate global projection algorithm is critical for quantifying the basic moments of the Diamond-Mortensen-Pissarides model. Log linearization under- states the mean and volatility of unemployment, but overstates the volatility of labor market tightness and the magnitude of the unemployment-vaca...
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| Veröffentlicht in: | Quantitative economics 2017-07, Vol.8 (2), p.611-650 |
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| creator | Petrosky-Nadeau, Nicolas Zhang, Lu |
| description | An accurate global projection algorithm is critical for quantifying the basic moments of the Diamond-Mortensen-Pissarides model. Log linearization under- states the mean and volatility of unemployment, but overstates the volatility of labor market tightness and the magnitude of the unemployment-vacancy correlation. Log linearization also understates the impulse responses in unemployment in recessions, but overstates the responses in the market tightness in booms. Finally, the second-order perturbation in logs can induce severe Euler equation errors, which are often much larger than those from log linearization. |
| doi_str_mv | 10.3982/QE452 |
| format | Article |
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Finally, the second-order perturbation in logs can induce severe Euler equation errors, which are often much larger than those from log linearization.</description><subject>Business cycles</subject><subject>E24</subject><subject>E32</subject><subject>Econometrics</subject><subject>Economic models</subject><subject>finite elements</subject><subject>J63</subject><subject>J64</subject><subject>Labor market</subject><subject>nonlinear dynamics</subject><subject>parameterized expectations</subject><subject>perturbation</subject><subject>projection</subject><subject>Search frictions</subject><subject>Unemployment</subject><issn>1759-7331</issn><issn>1759-7323</issn><issn>1759-7331</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2017</creationdate><recordtype>article</recordtype><sourceid>24P</sourceid><sourceid>WIN</sourceid><sourceid>ABUWG</sourceid><sourceid>AFKRA</sourceid><sourceid>AZQEC</sourceid><sourceid>BENPR</sourceid><sourceid>CCPQU</sourceid><sourceid>DWQXO</sourceid><recordid>eNpVkEtPwzAMxysEEtPYR0CqxA2po3k1yXEa4yGNxwQ7R2nqjkxtM5IOtG9PxjgM-2DL_v1ty0kyQvmYSIFvFjPK8EkyQJzJjBOCTo_y82QUwjqPRoQoOBok8s01X7Zbpf0HpLdWt66rsifne-gCdNmrDUF7W0FIW1dBk2pjtl730OwukrNaNwFGf3GYLO9m79OHbP5y_zidzDNDOeYZQMlwXdCikjnltNCAZF0SUyJc4gojojljtBAYSQFQFxIEAchLU3NdGFaTYXJ1mLvx7nMLoVdrt_VdXKmQxEQyhEgeqfGBWukGlO1q13ttolfQWuM6qG2sTzhhRNCCkihIDwKIXRvUxttW-51COWIMxdP3yPUB-Y7a3RGh9p9Wv59Wi-XkGQke4ct_8_Yh9M7HIxljOfkB7l14sA</recordid><startdate>201707</startdate><enddate>201707</enddate><creator>Petrosky-Nadeau, Nicolas</creator><creator>Zhang, Lu</creator><general>The Econometric Society</general><general>Blackwell Publishing Ltd</general><general>John Wiley & Sons, Inc</general><scope>OT2</scope><scope>24P</scope><scope>WIN</scope><scope>OQ6</scope><scope>3V.</scope><scope>7WY</scope><scope>7WZ</scope><scope>7XB</scope><scope>87Z</scope><scope>8BJ</scope><scope>8FK</scope><scope>8FL</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>AZQEC</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>FQK</scope><scope>FRNLG</scope><scope>F~G</scope><scope>JBE</scope><scope>K60</scope><scope>K6~</scope><scope>L.-</scope><scope>M0C</scope><scope>PIMPY</scope><scope>PQBIZ</scope><scope>PQBZA</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>Q9U</scope></search><sort><creationdate>201707</creationdate><title>Solving the Diamond-Mortensen-Pissarides model accurately</title><author>Petrosky-Nadeau, Nicolas ; 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| ispartof | Quantitative economics, 2017-07, Vol.8 (2), p.611-650 |
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| source | DOAJ Directory of Open Access Journals; EBSCOhost Business Source Complete; Wiley Free Content; Wiley Online Library Open Access; EZB-FREE-00999 freely available EZB journals; Wiley Online Library All Journals |
| subjects | Business cycles E24 E32 Econometrics Economic models finite elements J63 J64 Labor market nonlinear dynamics parameterized expectations perturbation projection Search frictions Unemployment |
| title | Solving the Diamond-Mortensen-Pissarides model accurately |
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