Gertler&Karadi (2011) credit policy implementation

General DSGE Modeling Replication Attempts
1

Hi,
I’m relatively new to dynare, so I was hoping to get some help from this forum.
I’m currently implementing a countercyclical capital requirement into Gertler & Karadi (2011). I downloaded the mod file from the macro model database, but I can’t get the credit policy to run inside dynare.

EDIT: I’ve just tried running it using the Model Database procedure (in which you can select the model, shocks etc.)
The problem is that I HAVE to choose a monetary policy rule, and theirs is not on the list.
Eventually, I want to change some of the equations of the model, and see how the results are different between a situation WITH and WITHOUT the credit policy. Any suggestions?
Thanks in advance!

2

Hi,

In Peter Keradi’s website you can find their original code.

Hope it helps

Federico

3

Thanks for your reply!
I also tried to work with their code. My problem is that ‘‘content’’ is there, but the .mod files are empty.
I do not understand how to run the code from the different files (which are .m files, like DSGE_SteadyState.m)
I guess I have to combine them somehow?

4

Have you looked into the replication folder of the MMB?

5

If I remember correctly, there is a folder
called “dynare” that contains the files that you need.

Otherwise there are several matlab function (mainly FA_func and FA_main) that should
create the dynare file that you need.

6

Thanks! I figured it out.
Indeed, the FA_Main file contains the elements to run it, I just hadn’t figured out that you should run it in matlab instead of dynare.

7

Good evening,

Unfortunately, it seems embarassingly difficult to find out any full derivation of the pricing block in Gertler and Karadi “A Model of Unconventional Monetary Policy” (2011). I am writing a model with a very similar pricing block as theirs, namely competitive wholesale sector - monopolistic retail sector, nonlinearised, i.e. with recursive auxiliary pricing variables, price dispersion and the like.
They appear to be very hard to find, since the monopolistic wholesale-competitive retail is far more common. I have implemented the Gertler and Karadi pricing block and it appears to work, yet I would like to look into the equations more in depth. I have tried to contact the authors, in vain, though.
Do you happen to know derivations for this kind of setup?

8

No, unfortunately I am not aware of anything like this.

9

Thanks anyway! I will keep searching :slightly_smiling_face:

10

Hi @cmarch, I am currently trying to make sense of the pricing conditions (model/code) of the same Gertler Karadi (2011) framework for the wholesale sector (i.e. retail output). Can you guide me into a certain direction to derive the necessary pricing conditions? I have a feeling I might have write a separate post, but this would already help me massively. Thanks!
Rob

11

Hi Robert,

I suggest you have a look at Appendix B here

Jaqi_Li_Banking_DSGE.pdf (693.9 KB)

It arguably contains the most detailed step-by-step derivation.

12

Thanks Camilo, I will give it a go! At the moment I am a bit lost, where all the conditions come from. Hopefully, the document you sent me will clear things up. Thanks.