Business-Cycle Anatomy (Angeletos et al 2020)


Sorry if the question was raised before. Did anyone replicate the (Angeletos et al 2020) paper using Dynare? Or more generally is it feasible?


Which part of the paper are you trying to replicate? The Bayesian VAR with the variance share identification?

I’m sorry that my question was not specific, and actually misleading. I was talking about writing the model with shocks to higher-order beliefs in Dynare. Actually the paper is Angeletos et. al 2018 Econometrica.

For the audience, in Angeletos et al 2020, they show empirically that the above model fits the data better than the alternatives.

Yes, the linearized version can be solved in Dynare, but you may have to solve for the beliefs as they do in their appendix manually in a steady state file.