Dear all,
Given estimated DSGE model which assumes policy rate follows the estimated rule,
I would like to consider alternative scenario such that when shock hits the economy, the central bank announces that it will maintain the interest rate at its pre-shock level(which is steady state) for T-periods and return to estimated rule afterwards.
stoch_simul_para_t.m (20.8 KB)
This is the function which consider alternative scenario and do stochastic simulation .
TNT_Big_May20.mod (30.8 KB)
TNT_Big_May20_steadystate.m (7.7 KB)
And this is the given DSGE Model.
At the end of the mod fiile,
I set the moment of the announcement of policy, terminal point and T period(2,4)
opt.simul = 0;
opt.irf_announce = 0;
opt.irfs = 1;
opt.names_change = {‘R_FIX’};
opt.values_theta = [0 1 0];
opt.T0 = 2; % Moment of the announcement.
opt.Tmax = 55; %Number of periods to be considered (with Tmax>=Tstar)
M_orig = M_;
oo_orig = oo_;
options_orig = options_;
for jj = [4 6]
opt.Tstar = jj; % Moment of the terminal point.
tic
[M_t,oo_t] = stoch_simul_para_t(opt, M_orig,options_orig,oo_orig);
toc
oo_.irfs = oo_t.sol_para_t.irfs;
oo_.sol_para_t = oo_t.sol_para_t.irfs;
eval([‘save mats/TNT_Big_May20_R_fix_’ num2str(jj-opt.T0) ‘.mat oo_ M_ options_;’]);
end
But now I can’t figure out why the function stoch_simul_para_t.m is not working.
Any help would be much appreciated.
Thanks