I am confused why a positive sd. shock on variable “q” gives the impulse response of “q” with an immediately fall instead of immediately rise?
Please suggest me. Thanks in advance.
var pih x y ynat rnat r s pi p ph e ystar a pistar q ;
varexo q_ ;
parameters sigma rho tau alpha theta xi beta kappa omega phipi rhoa rhoy lambda gamma delta rhopih;
sigma = 1;
rho = 0.0101;
tau = 1;
alphas = 0.4;
theta = 0;
beta = 0.99;
kappa = 0.3433;
omega = -0.1277;
xi = 0;
phipi = 1.5;
rhoa = 0.66;
rhoy = 0.86;
gamma = 2.4 ;
delta = 1.6 ;
rhopih = 0.8;
model(linear);
x = x(+1) - ( r - pih(+1) - rnat) ;
rnat = -sigma*tau*(1-rhoa)*a + alpha*sigma*(theta+xi)*(rhoy-1)*ystar;
pih = beta * pih(+1)+ kappa*x;
ynat = tau*a + alpha*xi*ystar;
x = y - ynat ;
q = (1-alpha)*s;
q = gamma*( pih ) + delta*x + q_;
y = ystar +(sigma)^(-1)*s;
pi = pih + alpha*(s-s(-1));
pi = p - p(-1);
pih = ph - ph(-1);
s = s(-1) + e - e(-1) + pistar - pih;
pistar = 0;
a = rhoa*a(-1) ;
ystar= rhoy*ystar(-1) ;
end;
shocks;
var q_ =0.52^2;
end;
stoch_simul(order=1, irf=20, noprint ) pih pi x r s e q;