The unit roots could come from equations like
PiH=e-e(-1)+PiHF;
QC=QC(-1)+PiT-PiN;
They basically look like unit root processes and I wonder if that is desired.
If the unit roots are desired, they pose no problem unless you want to estimate or simulate the model. For IRFs at order=1, this is no problem. See also:
[Exchange rate peg and level irfs)