Hi, Has anyone worked in the Gerali, Neri, Sessa, Signoretti JMCB 2010 paper “Credit and banking in a DSGE model of the Euro Area”? Any idea from where to get the source code? Thanks!!

Please provide the updated mod-file and the data.

A quick reply a) Gerali’s model is calibrated on quarterly data If the interest rates are expressed in annualized percentage (If you download the data from the ecb website they are expressed in this form), then the observable equations of the interest rates shouldn’t be multiplied by 400 ?

Dear all I upload updated mod file and data file. I didn’t upload them because it took about 2 hours to estimate. I used quarterly interest data (divided by 4) in my data file. Thank you again! Best Seungcheol Gerali_estimation.mod (25.5 KB) dataGerali.m (5.09 KB)

You still do not handle parameter dependence. See Remark 4 (Parameter dependence and the use of model-local variables) in my Guide. Things like r_k_ss = -(1-deltak)-m_e_ss*(1-deltak)*piss/beta_e*(1/(1+r_be_ss)-beta_e/piss)+1/beta_e; % steady state rental rate of capital …

I think that the definition of r_k_ss is correct None of the parameters are estimated in the model block since Gerali et al estimated only the parameters related to the dynamic and not to the steady state for Seungcheol Lee I tried to modify the initial values of your estimation. Look at the file…

Dear Johannes Thank you always for your quick reply! Then is it enough to use r_k_ss = 0.0469 (for example) instead of “-(1-deltak)-m_e_ss*(1-deltak)piss/beta_e(1/(1+r_be_ss)-beta_e/piss)+1/beta_e”? (I mean eliminating all other parameter dependence and use exact numerical values) I had thought t…

Dear Federico Did you change some of the initial values? or do you suggest me to change some of the values? I couldn’t find any change in initial values from your attached mod file. Thank you again! Best Seungcheol

As long as you are not estimating parameters that create a dependency, you should be fine. It is nevertheless recommended to not program a mod-file like this, because you often forget to properly keep track of which parameters can be estimated and which cannot.

[image] Seungcheol_Lee: Seungcheol Hi Seungcheol/Johannes, I am also currently trying to estimate the Gerali model for other countries. The source code I am using is the one from Macromodel database. I am just wondering the way you stated the observables as: dc = 100*(0.0018916 + C - C(-1))…

dc is the growth rate of consumption. So C is log consumption as the log difference is the growth rate. However, in a stationary model the mean growth rate is 0. So 100*0.0018916 captures the mean growth rate in the data.

Gerali et al Credit and banking

General DSGE Modeling Replication Attempts

jpfeifer 29 April 2024 07:12 29

For future reference: