Replication - Uncertainty Shock - Problem

General DSGE Modeling Replication Attempts
1

Hi,

I was trying to replicate some results from Leduc&Liu (2016) “Uncertainty shocks are aggregate demand shocks”.

The attached “ll_dynare.mod” is the modeling. My test showed that it successfully gave the results for regular stochastic simulation. HOWEVER, in “ll_main.m”, I had difficulty in replicating LL (2016) IRFs for uncertainty shock, in the section %%Uncertainty Shock and %%IRFs.

LL’s main idea is
(1) Use the remaining 96 periods to compute the ergodic mean of each variable.
(2) Starting from the ergodic means, conduct two different simulations
of 20 periods each, one with an uncertainty shock (i.e., a one-standard-deviation increase in uncertainty in the first period) and the other with no shocks
(3) The impulse responses are then calculated as the percentage
differences between these two simulations.

I believe that I followed that correctly. But when I checked the results matrices for the above simulation, called temp2 and temp3 in “ll_main.m”, I found that they’re the same and thus no deviation.

I would appreciate it if anyone can give me some advice. Best.ll_dynare.mod (4.6 KB)
ll_main.m (1.5 KB)

2

I know that my question is time-consuming and “unfriendly”. I googled similar replication codes and tried my best, but this problem hasn’t been solved.

If you can give a help, no need to read my full codes, just go to the %%Uncertainty Shock and %%IRFs sections in ll_main.m. I believe my setup for uncertainty shock, vector “ex2”, and benchmark model, vector “ex”, is correct.

Thank you in advance for your time.

3

I sent you the replication files via PM.

4

Thank you, Professor.

5

Hello Professor Pfeifer,

Do you still have the replication files and its it possible to get them ?
Thank you.

7

Thank you very much!

8

Hello Professor ,Would it be possible for you to share the replication file? I am having difficulty replicating the IRF results as presented in Leduc and Liu (2016).

Thank you

9

I sent it to you via PM.

10

Thank you very much for your time Proffesor!