Solve the IRFs for a DSGE model with a Markov Switching process

General DSGE Modeling
1

Hi all,

I am trying to find information on how to solve a Search Macro model in Dynare with two currencies (fiat money and a private issued currency modelled as a Lucas asset). The latter has a future value that is state contingent on two values (High and low). I want to implement a process that models the beliefs about the future state of the currency following a Markov Switching process. The model could have both shocks in the monetary policy or the fundamental value of the privately issued currency.

Could you help me with some material on how to code it?

Thanks a lot for everything!
Best,

Jorge

2

The short answer is:

3

Hi Johannes,

Thank you so much for your quick response. I was hoping that after some years, this regime switching option was available.

Best,
Jorge

4

Given that there is a specialized program for that out there, it’s not a priority for us.