Asymmetric IRFs in a Two Country Model

Stochastic simulations
1

Integrationv2.mod (4.1 KB)

Hello,

I’m extending the Jermann and Quadrini (2012) model into a two country model and considering the case of financial integration. I noticed that my impulse response functions were asymmetric with regards to the domicile of where the shock originated even under the assumption of symmetry across both countries. I can’t seem to figure out if this just a coding error on my part or more of a fundamental econ problem with my work. Any advice is greatly appreciated.

Thanks

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Are you sure that there is symmetry. It looks like there is a difference in assets.

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Interesting, thanks for the advice Dr. Pfeifer.