A Two Country Model Autocorrelation Problem

Hi all

I have a two country model that generates the same autocorrelation between all variables with the exception of one. I am not sure what is the problem. I would appreciate any help.

NK-two countries.mod (4.05 KB)

You only have one shock activated. All other have 0 variance.

Hi jpfeifer

Yes, I want to have only that shock initially. It is a monetary policy shock. Is there a reason why it generates equal autocorrelation between all variables? I am not sure if I am missing something here or there is something wrong in the specification of the model.

Hard to say. There must be something in your model that implies that all variables move proportionally in response to a TFP shock.