Replicating moments in Colacito Croce (2013)


I am trying to replicate Colacito Croce 2013 “International Asset Pricing with Recursive Preference”.

I am able to replicate all their IRFs, which I think tells me that I did not make mistakes. However, I can not replicate their moments for UIP coefficient and some other moments… They report negative coefficient, but I get a positive one.

Anyone had done it before? Judging from the IRFs I think I solved the model correctly, but I could not match the moments of std(\Delta c)/std(\Delta x) and the \beta_{UIP}. In the simulation, the coefficient on the UIP is positive – but they report negative.

Or there is a substantial change from dynare++ 4.2.1 to 4.6.2? Thanks!

CC2013_simu.m (3.6 KB) CC2013.mod (2.8 KB)

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