How to calculate and analyze the IRF of the correlation between two variables in Dynare

Stochastic simulations
1

Hello, everybody.
How can I calculate and analyze the IRF of the correlation between two variables in Dynare?
In Basu and Bundick (2017) paper (“Uncertainty shocks in a model of effective demand”), they calculate the IRF of volatility, which is showns as the IRF of model implied stock market volatiltiy.
"
vxo_evola = 100sqrt(4(max(varexpre_evola+varexpre_sss,1e-16)));
vxo_ea = 100sqrt(4(max(varexpre_ea+varexpre_sss,1e-16)));
vxo_ez = 100sqrt(4(max(varexpre_ez++varexpre_sss,1e-16)));

vxo_sss = 100sqrt(4(varexpre_sss));

logvxo_evola = log(vxo_evola./ vxo_sss);
logvxo_ea = log(vxo_ea./ vxo_sss);
logvxo_ez = log(vxo_ez./ vxo_sss);
"
How can I calculate and analyze the IRF of the correlations between endogenous variables, for example, the IRF of the correlation between price of equity and investment ?
Their codes are attached below.
Thanks a lot !

bbeffectivedemandmodelsupportvar.mod (7.9 KB)
irfsss.m (1.9 KB)
sss.m (1.3 KB)

2

I am not sure I understand. The IRFs are about the conditional movement of the level of variables. Now you want the IRF of a particular moment related to endogenous variable? I am not sure that is feasible. I guess it must be a conditional future correlation.

4

Yes, it’s the conditional future correlation, just like the implied stock market volatility response of uncertainty shock.

5

For example, I want to analysis the influnce of unceratinty shock on the correlation between stock price and investment. How can I construct the impulse responses of the correlation between stock price and investment to uncertainty shock?

2
In Basu and Bundick (2017), they construct the impulse response of model implied stock market volatility to uncertainty shock.