Log-linearization of stochastic economic models

John Stachurski

doi:10.1080/10236190601069002

Log-linearization of stochastic economic models

John Stachurski^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

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.

Original language	English
Pages (from-to)	217-222
Number of pages	6
Journal	Journal of Difference Equations and Applications
Volume	13
Issue number	2-3
DOIs	https://doi.org/10.1080/10236190601069002
Publication status	Published - Feb 2007
Externally published	Yes

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title = "Log-linearization of stochastic economic models",

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 = "Log-linearization, Markov chains, Stochastic equilibrium, Topological conjugacy",

author = "John Stachurski",

year = "2007",

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KW - Log-linearization

KW - Markov chains

KW - Stochastic equilibrium

KW - Topological conjugacy

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Log-linearization of stochastic economic models

Abstract

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