Time varying parameter after stochastic shock

Perfect foresight simulations
1

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

2

You did not provide all files required to run the model. I am getting

Error using load
Unable to find file or directory ‘TNT_Big_May20_mode_ok’.

3

TNT_Big_May20_mode_ok.mat (31.0 KB)
read_data_May20.m (569 Bytes)
data_to_estim_BigTNTMay20.mat (58.1 KB)

This is the file needed for estimatation,

Thanks for your help

4

The attached file implements a host of compatibility fixes. Note that I did not check correctness.
stoch_simul_para_t.m (19.4 KB)