hello, I want to replicate this work on this subject: Uncertainty about welfare effects of
fluctuations. someone can give me the codes
Which paper are you talking about?
je parle de l’article de Romain houssa Uncertainty about Welfare Effects of
Consumption Fluctuations
Did you ask the author?
oui mais je n’est pas encore eu de réponse venant de l’auteur. mais grand Maitre j’aimerais travailler sur l’impact des fluctuations macroéconomiques sur le bien-être des ménages en Côte-d’Ivoire avec une approche DSGE avec l’estimateur bayésien. plus précisément sur l’incertitude des paramètres de l’aversion au risque des effets des fluctuations de la consommations et de la croissance sur le bien-être des ménages contrairement a l’auteur Romain Houssa. pouvez-vous m’apporter votre aide portant sur le modèle théorique ?
Prof je suis en attente d’une réponse a ma préoccupation
You considerably reduce the probability of having feedbacks on your problem if you write in French, please use English (even poor English like mine will do). I don’t think @jpfeifer understands French.
Going quickly through the paper I don’t see why you would need Dynare to reproduce the welfare evaluations à la Lucas (with Epstein-Zin preferences). If you read the paper, it is obvious that the author did not use Dynare.
Best,
Stéphane.
But Grand Master I would like to work on the impact of macroeconomic fluctuations on household welfare in Ivory Coast with a DSGE approach with the Bayesian estimator. more precisely on the uncertainty of risk aversion parameters of the effects of fluctuations in consumption and growth on household welfare. Is it possible to estimate it with the Dynare software?
In this approach to the welfare cost of fluctuations, the path of consumption is assumed to be exogenous and is modeled with an autoregressive process. Then the estimation of the backward model is “plugged-in” the utility function. It’s not really a DSGE model, i.e. there is no general equilibrium model to be solved here. So I do not think you need Dynare to do that. Obviously you could estimate the model for the growth of consumption with Dynare, but then you would have to understand the details of Dynare (how the MCMC draws are stored) to evaluate the welfare cost posterior distribution. I have the impression, reading your questions, that this would be miles above your head.
First you should carefully read the paper. The author calibrates the utility function. The only source of uncertainty comes from the specification of the stochastic process for consumption growth. So the posterior distribution of welfare cost does not integrates uncertainty coming from risk aversion or the inter temporal elasticity of substitution.
Best,
Stéphane.
thank you great Master I really start to understand in this case it is the Bayesian estimate and not a DSGE. Only I want to bring a touch using the uncertainty in risk aversion and not at the level of preference as was in the case of the author.