Hybrid regime solution in Gertler,Gilchrist,Natalucci (2007)

Hi everyone,

I wonder whether the solution method for the hybrid regime case in Gertler, Gilchrist, Natalucci (2007), “External Constraints on Monetary Policy and the Financial Accelerator” can be applied in Dynare. In the hybrid regime case,the authors assume that as a shock hits the economy, the central bank initially maintains the exchange rate peg and conditional on being on the peg in the current period, it abandons the peg with probability “p” in the subsequent period, where “p” is independent of time. Once off the peg, the central bank reverts to the interest rate feedback rule given by a standart Taylor rule.

Thank you very much for the answers in advance.

Hi did you get a response for your post? I am also trying to solve GGN type model and having trouble with the investment delay part. I believe it is the main problem for not having my endogenous variables returning to its pre-shock levels.
Best