I try to reproduce some results of Kobayashi and Nutahara (2010), “Nominal Rigidities, News-Driven Business Cycles, and Monetary Policy”, B.E. Journal of Macroeconomics (note that the published version is different from WP). degruyter.com/view/j/bejm.20 … 1.2094.xml
More specifically, I try to reproduce Figure 1 (shock on growth of productivity) and Figure 3 (shock on level productivity) when the news realize (then it should be easy to reproduce graphics when the news does not realize). The only difference is that I did not linearize the model and then there are recurrence and price dispersion for sticky prices. But since dynare linearize with stock_simul, results should be similar.
I found a way to reproduce Figure 3 by using old version of adjustment cost function (sigma_phi=0.2 instead of 1.01)…
For Figure 1, I did not found a way to reproduce it. It is hard to understand wheither the mistake is in my code or in the paper (I tried to change other parameters). If it is in my codeI would guess that it is from the shock on growth of productivity (g_1) since I am able to reprocude results for the other shock.
In case of Figure 1, the dynamics before the news realize are similar but turn to be different when the news realizes.
I did a mod file which allow to choose old parameters (sigma_phi=0.02) or new parameters (sigma_phi=1.01), or choose another adjustment cost function. One can choose also if you want to save graphics (Graphs=1 or 0). The mod file also generate a tex file describing the model (easier to read than model in mod file)
You can find attached the mod file as well as the model in pdf generated by dynare and pdf for graphics:
- Figure3_oldSigmaphi.pdf: level productivity news bshock: Reproducing Figure 3 of the paper by using sigmaphi=0.02 instead of 1.01.
- Figure3_newsigmaphi.pdf: level productivity news bshock: Same model and same shock but with sigma_phi=1.01.
- Figure1_oldsigmaphi.pdf: growth productivity news shock with sigmaphi=0.02: do not reproduce Figure 1.
- Figure1_newsigmaphi.pdf: growth productivity news shock with sigmaphi=1.01.
- Figure1, Figure 3 and Model of Kobayashi and Nutahara 2010 (pages 9, 12 and 22 of the paper).
Can anyone help me?
Figure3_oldSigmaphi.pdf (6.54 KB)
Figure1_NewSigmaphi.pdf (6.54 KB)
Figure1_oldSigmaphi.pdf (6.54 KB)
Calvo_falsenews_Utility_stoch_simul_dynamic.pdf (106 KB)
Calvo_falsenews_Utility_stoch_simul.mod (16.3 KB)