Dear forum,

I computed the probability that my variable of interest falls below a certain threshold (e.g. capital-to-asset ratio < 0.09) using Monte Carlo simulations for all exogenous shocks. (You can think of a stress test.) This was an easy exercise using the “simult_” command when all shocks are normally distributed.

However, more realistically when using a Bayesian approach (my shocks are inv_gamma_pdf), I do not know how to draw from the posterior distributions of the exogenous shocks.

Is there a built-in function in Dynare?

Regards,

Samuel