The Risky Steady State (AER) 2011

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Hello Johannes,

Risky Steady State

The Coeurdacier et al concept seems problematic. See replication.uni-goettingen.de/wiki/index.php/Talk:The_Risky_Steady_State_(AER_2011). Dynare has Michel Juillard’s risky steady state implemented in a “beta” version, but there is still some work to do. You can play around with it: github.com/DynareTeam/dynare/tree/master/tests/risky_ss More generally, I would refer you to the work of Alexander Meyer-Gohde.

Referring to one of your old notes as above. I tried Nonlinear moving average method of Alexander Meyer-Gohde. So, there is method is approximation around the risky steady state right?

Using their add in “Nonlinear_MA 1.0.8.” for dynare at order 3 I found that It produced very similar second moments as when I do it with dynare with built in pruning. I am wondering why it is? Why there is no difference between these.