"Asymmetric" IRFs at first order in Dynare++


#1

Dear All,

I’m running the Gertler Karadi (2011) model, using the mod file taken from Peter’s webpage modified to work in Dynare++ (code attached for reference; shouldn’t really make any difference, but just for background; original mod file was called Step0FA1++.mod but the pluses didn’t survive the upload, apparently).Step0FA1 .mod (6.0 KB)

ISSUE: Dynare++ reports irfs to positive and negative shocks and I’m finding them to be asymmetric (i.e. positive ones are not mirror images of negative ones). See also figures below where positive and negative IRFs are in red and blue respectively, and where asymmetries are clearly visible (these are IRFs to a monetary policy shock e_i, btw.).

I’ve tried to replicate this in standard dynare, but there everything works as expected - i.e. positive and negative IRFs sum to zero.

The differences in IRFs in dynare++ visible above look too large to be numerical noise (at least to me, see e.g. C top left, or nu…). I’ve also had a look at Euler equation residuals, but nothing struck me as immediately suspicious. So I’m puzzled… Is this a bug, or am I missing something?

Thoughts / suggestions appreciated (I’m using dynare++ distributed with version 4.5.6 and haven’t checked whether the behavior persists in previous builds as well).

Thanks in advance!
Pawel