HELP for “A Macroeconomic Model with Financial Panics” code

General DSGE Modeling Replication Attempts
1

NBER working paper “A Macroeconomic Model with Financial Panics” by Gertler M., Kiyotaki N. &Prestipino A. I can’t find code of the peper above, could anyone send me the code and data? Thank u.

2

This paper is forthcoming in RESTUD, which requires authors to make their code public, so the original code should be available sooner or later. Note that they solve the model using time iteration, so Dynare won’t be able to handle this.

1 Like
4

Got. Thank you. That’s very helpful.

5

did you get the code? I am also attempting to replicate their model, can you share it with me?

6

Their paper has published at RES for long, but I still cannot find the replication code in either their websites or res website

7

In this case, you may have to ask the journal.

8

Hello

On Andrea Prestipino’s website there is a link to Replication Codes of “A Macroeconomic Model with Financial Panics”

http://andreaprestipino.com/research.html

Good luck

9

The codes have been deleted.Has anyone saved it before, can you share it？

10

HI，Did you find the code for this paper,could you please share me?

11

Thank you for your answer. Do you know of an available tutorial for time iteration methods and/or other methods of solving dsge models that don’t do approximations like linearization around steady state? I have completed a quantitative economics course and studied value function iteration, time iteration method and other similair ones (based on julia quantecon) but havent ever seen an example of a large dsge model being solved using those methods to understand how it workd on large models so i have been stuck to the log-linearization around steady state method. If you have any tutorial/example you can link me to I will very much appreciate it.
Also do these methods take much more time to implement than the typical dynare implementation for the typical dsge models use in papers? If no, why dont all the abled economics PhD students or the professors only use methods that do not approximate? What are the limitations?

12

These global methods suffer from a curse of dimensionality with respect to the state variables. Large models are close to impossible to solve with global techniques in finite time. Think about discretizing the state space: take 1000 points for capital, 1000 for debt, 5 for TFP and 5 for the exogenous interest rate and you already have 1000*1000*5*5=25000000 points.

13

Thank you for your answer.