Analyzing Linear DSGE models: the Method of Undetermined Markov States
本文发现一类含一个内生状态变量的线性DSGE模型可表示为三状态马尔可夫链，并据此提出新解析解法，只需解出马尔可夫状态向量和一个转移概率，即可闭式计算脉冲响应等常用数值结果，并应用于含承诺的最优货币政策新凯恩斯模型。
I show that a class of Linear DSGE models with one endogenous state variable can be represented as a three-state Markov chain. I develop a new analytical solution method based on this representation, which amounts to solving for a vector of Markov states and one transition probability. These two objects constitute sufficient statistics to compute in closed form objects that have routinely been computed numerically: impulse response function, cumulative sum, present discount value multiplier. I apply the method to a standard New Keynesian model that features optimal monetary policy with commitment.