Contemporaneous Expectations

Stochastic simulations
1

Dear Dynare Forum community,

I would like to include a variant of the taylor rule in my model using Contemporaneous Expectations, so:

r = rn + phi_pie * pie^e_t + phi_y * ytilde^e_t

Now my question would be how to realize these Contemporaneous Expectations in Dynare.

Thanks in advance!
With kind regards
Flo24

2

How do you define

?

3

The expectation of pie at time t, for example, that I made at time t-1.

4

Do you mean E_t y_{t+1} or E_{t-1}y_{t+1}?

The first one is already implicitly implemented in Dynare if you write down your equations.

The lagged expectation operator is implemented as EXPECTATION(-1)(y(+1)) .

5

That also works with

EXPECTATION(-1)(y)

which is E_{t-1}y_t

6

That’s what I was looking for!
Thanks a lot!