Asymmetric Impulse Response Functions

Estimation SMM/GMM/IRF-Matching
1

Dear all

I am trying to estimate a model using IRF matching between my empirical model and my DSGE model. Using Barnichon and Matthes asymmetric IRF model, I find in the data an asymmetric response of exports and imports to real depreciation shocks

My DSGE model is that of a small open economy where there is a financial friction such that exporters must finance themselves in dollars. Hence, depreciations although it “promotes” exports it “tightens” the financial frictions. However, an appreciation hinders exports but relaxes the financial frictions. This implies that the IRFs are also asymmetric in the DSGE model.

I’ve seen models like Basu et al ECMA paper that estimates this type of models using IRF Matching. Is there a way to estimate my model exploiting the asymmetry both in the empirical model and in the DSGE model?

2

You can do IRF matching along the lines of https://github.com/JohannesPfeifer/DSGE_mod/tree/master/RBC_IRF_matching
combining it with nonlinear IRFs as in https://sites.google.com/site/pfeiferecon/RBC_state_dependent_GIRF.mod?attredirects=0

3

Thank you so much!
It took a while but it worked out great!