We have a 2-country model where small economy shocks should have no influence on large economy variables. When dynare prints the DSGE and BVARDSGE irfs for small economy shocks, as expected, large economy variables are absent. In the results mat file, the DSGE irfs for small economy shocks are zero vectors. However, the BVARDSGE irf vectors have seemingly nonsensical, non-zero elements. We’re trying to make sense of what these elements are.
BVAR Examples.zip (1.6 MB)