Feeding (estimated) Structural Shocks into an DSGE model

[Scholzda]

Hello,

this is a general question regarding the possibility of Dynare to feed a model with estimated structural shocks (from an identified sVAR) and trace the evolution of the models endogenous variables through time given certain policy regimes?

If so, could you show me a replication code of such an application in dynare?

Any other tips and references are highly appreciated!

Thank you and best regards from Berlin,
David Scholz

[jpfeifer]

You need to use the simult_.m function for that. See e.g.

Predefined shocks in certain periods with 'simult_' - How? (DSGE)

You initialize the shock matrix. It will always be shock_matrix = zeros(options_.irf,M_.exo_nbr); %create shock matrix with number of time periods in columns Then you set the shocks that you want. The row index sets the time period, the column index the shock: // set shocks for pure news shock_matrix(1,strmatch('eps_z_news',M_.exo_names,'exact')) = 1; %set news shock to 1 (use any shock size you want) sets a shock of size 1 for the first period (therefore in the first row) for the exogenou…

[Scholzda]

Thank you, I will check it out !