Is it possible to do a crisis event study using Dynare? The example that I have in mind is Mendoza2010 Figure 2 and Akinci-Queralto2022 Figure 6. They simulate the model for long horizon and identify the crises. Then they look at the window around the crises as in the figures. This is somewhat different from impulse response analysis.
Is this something one can do with Dynare? Or one needs to resort to the global method?
Thank you @jpfeifer for your reply!
Regarding your point 2, can I ask if this way would work? What I have in mind is:
options_.irf: # of simulations
y0 is the steady state
M_.exo_nbr matrix with random realizations from normal distribution
simult_(M_,options_,y0,oo_.dr,shock_matrix,1); and get the endogenous variables
- Identify crisis events used for the actual data
Yes, that is the way to proceed.