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

Stochastic simulations
1

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!

JN
U3.mod (3.1 KB)

2

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

4

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!

5

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

6

Thank you professor!