Hello, everyone.

I have been trying to replicate a semi-structural model in Dynare for some time now (a few months). The model is described in the report available at this link: https://www.bcb.gov.br/content/ri/relatorioinflacao/202406/ri202406b12p.pdf. It is a model from the Central Bank of Brazil. Since the document is in Portuguese, I have summarized the equations and the explanation of the variables in a pdf file attached to this message.

I am really lost. Initially, I thought some equations were missing and tried to complete them based on autoregressive processes (like IMF) and/or random walks (Laubach Williams et al.). I made various combinations, but after running them, I cannot replicate the impulse response curves and conditional forecasts. The results are very disparate and sometimes counterintuitive.

Reading more on the subject, I found FRB-type models and then saw other types. I realized that I actually know very little about this.

Therefore, I would like to ask for help. Should I run this model as a VAR? Or in the same way as I run a DSGE model? Do I need to find other eqautions to the exceeding variables? How can I construct graphs similar to those in the report?

Given all that I am going through, I am willing to pay someone to help me if there are people available. I am not sure if I need to use different software. I really don’t know.

Perhaps to start, I need help running the calibrated model along with conditional forecasts and impulse response functions. The coefficient values for the equations are in the bank’s report.

Before suggesting it, I have contacted the Central Bank of Brazil for information about the model, but any information not in the report is confidential.

Thank you.

Semistructural model.pdf (229.8 KB)