Replication for: Risk Matters: The Real Effects of Volatility Shocks

Dear all,

I am working on replicating the model of “Risk Matters: The Real Effects of Volatility Shocks”. I majorly used the codes provided by professor Johannes Pfeifer. But when I only focus on one specific country Argentina, I can’t acquire the same IRFs to a one standard deviation shock to the volatility of the Argentinean country spread, u_sigma_r. Anyone can help me with this question? Thanks in advance!

U3.mod (3.1 KB)

The whole point of our replication file package is that you cannot use standard Dynare to replicate their IRFs.

Thank you professor for your explanation! So how can we study the response of uncertainty shock on variables in Dynare? Because I am working on this RM model as my baseline model and want to apply it to other small open economy. Thank you again!

You can use the model, but just don’t expect the results of the original paper. For IRFs, see DSGE_mod/Basu_Bundick_2017.mod at master · JohannesPfeifer/DSGE_mod · GitHub

Thank you professor!