Dear all:
I made a DSGE model with news shocks.
To be easy, in the mod file, I set government expenditure G follows G = rhog * G(-1) + fp and fp = rhofp * fp(-1) + eps_0 + eps_1(-1). Here eps_0 stands for unanticipated fiscal policy shock and eps_1 stands for anticipated shock. Now that news shock equals unanticipated shock plus anticipated shock, what can I do to get the IRF of the news shock? I only know how to get the IRF of a single shock, i.e. IRFS of eps_0 and eps_1(-1).
Thanks for your advice and correction!
Thanks for your reply, professor!
I carefully read and run this mod file. It does include a news shock mechanism, but it’s not in line with my expectation.
To be clear, the IRFs given by the mod file show reactions of variables to eps_z_surprise and eps_z_news(-8), singlely. As it says in the 3rd line of the mod file, this shows “IRFs to a ‘pure’ news shock where an 8 period anticipated news shock does not materialize at time 0”.
However, what I want to make are IRFs to a materialized news shock. Should I aggregate IRFs to eps_z_surprise and eps_z_news(-8) to get the IRF to the materialized TFP news shock?
What exactly do you want to do? The mod-file shows you how to combine shocks at different periods. You just need to specify the desired shock matrix.