Replication file in Dynare

General DSGE Modeling Replication Attempts
1

Dear Prof. @jpfeifer

  1. Is it possible to access your paper’s Dynare code for “Mr. Keynes meets the Classics: Government Spending and the Real Exchange Rate” (published in the Journal of Political Economy, 2024). The journal has the files in Matlab formats and I am wondering if there is .mod file replication.

  2. Out of curiosity, is there any reference or lecture notes that shows/proof why in linear DSGE models, unit root variables does not affect the slope of the policy function ?

Many thanks in advance
Best,

2
  1. The main simulations used a global solution technique and cannot be solved in Dynare. The analytical results under perfect foresight could be replicated in Dynare.
  2. What exactly do you mean with that?
3

Thank you Prof.,

I meant the following regarding 2)

In linear models such as gap-trend models per se. a unit root process is set to any value of our choice at the SS because, as per your previous advise, that in linear models a unit root does not affect the slope of the policy function.

Is it because the derivative in the linearization step of the unit root equation return a constant slope of 1 and therefore does not affects the slope of policy function as variables change ? However, this is not true for an AR(1) process y_t=0.9y_{t-t} +\epsilon per se.

Am I missing out on something here ?

4

It’s because a unit root would simply shift both sides of involved equations up by a constant term.

5

Thank you prof.