Occbin: Convergence issues

Occbin
1

Hello,

I have set up an SOE model with DNWR & fixed exchange rate. I have convergence issues when feeding in ‘large’ shocks. The model is running smoothly and produces reasonable simulations as long as the shocks are small.
I’ve tried playing around with maxit and simul_check_ahead_periods, but to no avail.
I’ve also tried to add a buffer to my constraint, but that didn’t improve anything either.
Does anybody have any other ideas?

Thanks for your help.

SOE_levels.mod (2.1 KB)
main_small.m (5.0 KB)

2

Can you please provide a version compatible with Dynare 6 to exclude bugs in Dynare. That being said, it is not uncommon for no solution to exist for large shocks.

3

Thanks, Johannes. Attached is a version that is compatible with dynare 6. I suspect that there is an issue with the bond position. Unless I crank up the quadratic penalty term to very high values, households borrow more and more as time goes on. Is this due to the piece-wise linear approach of OccBin that cannot deal with higher order drivers of saving decisions?
main_small.m (5.1 KB)