Parameter loop in open economy model

Stochastic simulations
1

Good day professor,

I am interested in running a model with different values for a structural parameter, and basically get the correlation coefficient between relative consumption and real exchange rate for each of those parameters, and save the result in a vector. I followed the loop you suggested, as I think it is appropriate for my case:

thetas = [0.25, 0.5, 0.78, 0.99];
BK = [];
for i=1:length(thetas);
     set_param_value('cHthetaF', thetas(i));
     set_param_value('cFthetaH', thetas(i));
     dynare IAM5 noclearall;
     close all;
     relcons = Hc_Heps - Fc_Heps;
     corr_BK = corrcoef(Q_Heps, relcons);
     BK(i) = corr_BK(1,2); 
end

However, my vector BK is filled up with the same value (the only thing I can see is that the values of my endogenous are not changing). I don’t understand why it is not saving the different correlations that I think I am calculating in the last two lines of my loop. I attach my mod file.

I would appreciate very much your help on this issue.

IAM5.mod (4.4 KB)

2

In the file you provided, Hc_Heps and Fc_Heps are not computed.

3

My apologies, I attach the correct mod file this time:
IAM5.mod (4.4 KB)

This is the loop I am attempting to run. I want to set different values for cHthetaF and cFthetaH, run the model, and compute the new second moments that are generated. However, when I run the code I put below, my vector BK is filled up with the same result (i.e. the one coming from the first time I ran dynare).

dynare IAM5
close all

thetas = [0.25, 0.5];
BK = [];
for i=1:length(thetas);
     set_param_value('cHthetaF', thetas(i));
     set_param_value('cFthetaH', thetas(i));
     [info, oo_, options_] = stoch_simul(M_, options_, oo_, var_list_);
     % Compute new moments with new parameters
     cov_relconsQ = oo_.var(39, 4); % relcons and Q
     var_relcons = oo_.var(39,39); % relcons
     var_rer = oo_.var(4,4); % Q

     corr_BK = cov_relconsQ/(sqrt(var_relcons)*sqrt(var_rer));  
     BK(i) = corr_BK;
end

I would appreciate if you could tell me what is wrong with my loop.

4

You are not handling parameter dependence correctly. Composite parameters should be model-local variables

5

So cHthetaF affects clambaF, so now I included this latter parameters in my loop to handle that parameter dependence. Is that what you were referring to? Anyway, I did that, but I still cannot get any different results.

thetas = [0.25, 0.5];
BK = NaN(1,length(thetas));

for i=1:length(thetas);
     set_param_value('cHthetaF', thetas(i));
     clambdaF = (1 - cHthetaF)*(1 - cbeta*cHthetaF)/cHthetaF;
     set_param_value('cFthetaH', thetas(i));
     clambdaH = (1 - cFthetaH)*(1 - cbeta*cFthetaH)/cFthetaH;
     [info, oo_, options_] = stoch_simul(M_, options_, oo_, var_list_);
     close all
     % Compute new moments with new parameters
     cov_relconsQ = oo_.var(39, 4);
     var_relcons = oo_.var(39,39);
     var_rer = oo_.var(4,4);

     corr_BK = cov_relconsQ/(sqrt(var_relcons)*sqrt(var_rer));  
     BK(i) = corr_BK;
end

Trying a loop changing any other parameter, I do get different results. I just don’t know why nothing changes with the particular parameters I am interested in changing.

6

This is not a proper way to handle parameter dependence. Again, please use model-local variables or a steady state file.