Consecutive and identical shocks

Perfect foresight simulations
1

Hello everyone!
Please, I need some help. I would like to perform identical and consecutive unanticipated monetary policy shocks, but I am not sure how to implement it. For example, in a zero steady state environment, the monetary authority set the interest rate igual to 2% annualized for 4 period consecutive, after 4 stochastic shocks not anticipated by the agents.

I believe that my question is the same that the topic below:

But yet, I do not figure out how to do it.

Thanks in advanced.

2

What is the context of your model? Should it be fully nonlinear? Taking stochastics into account? Or are your shocks essentially MIT shocks?

3

Dear Pfeifer.
I am using a linear Gali and Monacelli model-based with a different phillips curve.Hence, I would like to asses the impact of a 3 period forward guidance shock in comparison to an unanticipated 3 period stochastic shock.
Is it possible?

4

Is the model truly linear or with a ZLB constraint?

5

truly linear, without constraint.

6

Then you can use a stochastic model at order=1 which will be certainty equivalent. The simultaneous shock can be simulated using the simult_-function. The forward guidance can be implemented as a sequence of news shocks. See https://github.com/JohannesPfeifer/DSGE_mod/blob/master/RBC_news_shock_model/RBC_news_shock_model.mod

7

Ok! Thanks.
So, in order to implement a Forward Guidance shocks, I have to use:

Nominal_Interest = rhor*(Nominal_Interest(-1)-Nominal_Interestnat(-1)) + (1-rhor)*(rpi*Inflation_H + ry*(gap_gdp)) + Nominal_Interestnat  + e_r_news; (taylor rule)
 e_r_news= e0+e1(-1)+e2(-2);

shock_matrix = zeros(options_.irf,M_.exo_nbr); %create shock matrix with number of time periods in columns
// set z to 1 for three periods via news shocks

shock_matrix = zeros(options_.irf,M_.exo_nbr);  
shock_matrix(1,strmatch('e0',M_.exo_names,'exact')) = 1; 
shock_matrix(1,strmatch('e1',M_.exo_names,'exact')) = 1;
shock_matrix(1,strmatch('e2',M_.exo_names,'exact')) = 1;

?

And when it comes to 3 periods unanticipated shocks with same size?

8

Yes, that looks correct.

9

Ok, but the 3 periods unanticipated shocks? How to implement?

10 
shock_matrix = zeros(options_.irf,M_.exo_nbr); %create shock matrix with number of time periods in columns

shock_matrix = zeros(options_.irf,M_.exo_nbr);  
shock_matrix(1,strmatch('e0',M_.exo_names,'exact')) = 1; 
shock_matrix(2,strmatch('e0',M_.exo_names,'exact')) = 1; 
shock_matrix(3,strmatch('e0',M_.exo_names,'exact')) = 1;
11

Thank you Pfeifer!
You are always helpful!