How to define the variable of stochastic steady state?

Stochastic simulations
1

hello guys,

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in dynare, how to define SSS variable, \sigma_x?

2

Please have a look at https://github.com/JohannesPfeifer/DSGE_mod/blob/master/Basu_Bundick_2017/Basu_Bundick_2017.mod

4

Hi, Pfeifer, sometimes, the response of var(x_t) to a shock is negative, then i can’t compute sigma_x?
so there is not measured uncertainty of x_t.
similar problem as 3rd order simulation negative conditional variance
Any insights?
thanks in advanced

Wenddy

5

I am not sure I understand the issue. Are you talking about IRFs? In that case, the IRF can be negative if it’s relative to a positive steady state.

6

not IRFs, Var(x_t) is negative, so \sigma_{x,t} is complex ,

the formula for x’s volatility: \overline{\sigma}_x=100*ln(\frac{\sigma_{x,t}}{\sigma_x}) can’t be computed.

7

I am afraid that this can happen in perturbation solutions. Does that happen for all values of parameters, particularly all values for the shock volatilities?

9

I didn’t try all values for parameters and shock. is there a way to find the parameters which play key role?

10

You need to experiment with different calibrations and see what happens.