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Complex eigenvalues
Posted:
Tue Aug 09, 2011 12:30 pmby ale
Hello everybody!
I would like to know what are the implications of having complex eigenvalues. Is this a bad thing? Does it affect the results of the simulation?
Thank you,
Alexandra
Re: Complex eigenvalues
Posted:
Thu Aug 11, 2011 10:24 amby MichelJuillard
No it is not necessarily a bad thing. In a linear dynamical system, complex eigenvalues smaller than one in modulus generate damped oscillatory trajectories.
Please, consult a textbook for in depth discussion.
Best
Michel
Re: Complex eigenvalues
Posted:
Fri Aug 12, 2011 1:36 pmby ale
Thank you very much for your answer. Actually, the complex eigenvalues that I am getting are larger than one in modulus. I will look into this.
Best regards,
Alexandra
Re: Complex eigenvalues
Posted:
Fri Aug 12, 2011 8:02 pmby MichelJuillard
Note that the solution of linear rational expectation model involves canceling the effect of eigenvalues larger than one in modulus. Look at the paper by Blanchard and Kahn (1980).
Best
Michel