having an estimated, large-scale DSGE model with 40+ shocks, I am interested in producing a forecast conditional on a path for the interest rate set by the central bank (conditional_forecast). It turns out that this works only for a very limited set of the available shocks (e.g. monetary-policy shock, risk-premium shock, investment-technology shock). For the large majority of shocks, the paths of both the interest rate and the uncontrolled endogenous variables are exploding.
I noticed that the shocks for which the conditional forecast actually works are those that, according to the historical shock decomposition, explain a rather noticable part of the deviation of the interest rate from its steady state.
Is this a coincidence? But shouldn’t it be possible to use any shock in the model to achieve a given path for, say, the interest rate?
Thanks a lot in advance.