How to calculate central bank loss function

Dynare help (legacy posts)
1

Hi all,

I have a question about calculate loss function.

1)-How can i calculate the central bank loss function by using DSGE model with dynare. I did not clearly understand how can i calculate variance of variables like in table 1,2,3 and 4. in attach file. When i run your mod.file but i did not see variance of variables. is that calculate from std dev. moments of simulated of variables?

Thanks in advance.
loss analysis.pdf (280 KB)

2

Yes, Dynare will provide theoretical moments with order=1 and periods=1. These numbers can be plugged into the loss-function.

3

Thanks for your response jpfeifer. Could you please send me more information about this issue.

Thanks in advance…

4

What do you mean? You may want to have a look at github.com/DynareTeam/dynare/blob/master/tests/optimal_policy/osr_example_objective_correctness.mod how to manually access the variances and construct an objective function.