Replication: Gertler, Gilchrist & Natalucci (2007)

Hello everyone,

I wonder whether the solution method for the hybrid regime case in Gertler, Gilchrist, Natalucci (2007), “External Constraints on Monetary Policy and the Financial Accelerator” can be applied in Dynare. Does anyone have a mod file that replicates it?

In the hybrid regime case,the authors assume that as a shock hits the economy, the central bank initially maintains the exchange rate peg and conditional on being on the peg in the current period, it abandons the peg with probability “p” in the subsequent period, where “p” is independent of time. Once off the peg, the central bank reverts to the interest rate feedback rule given by a standard Taylor rule.

Thank you very much!

I haven’t read the paper in question, but to me this sounds like a case where you may have to work analytically.