welfare cost code and Euler EE (Caldara_et_al_2012)

[yahya]

Dear forums,

I am a beginner and student. I am trying to understand the code of Caldara_et_al_2012.mod uploaded by Johannes Pfeifer for Caldara, et al (2012), "Computing DSGE Models with Recursive Preferences and Stochastic Volatility".

I need to learn the welfare cost of business cycle and Euler Equation Error. Has this code included welfare cost and EE? If yes, where could i find the results? if not, could anyone give me a hint how to learn and do it?

Thank you all.

[jpfeifer]

No, that code does not have Euler errors included. That is still on the to-do list. Regarding welfare, the mod-file has welfare defined, so considering what happens to welfare under various experiments should be straightforward

[yahya]

thanks for your help.
I try to add welfare=V+beta*welfare(+1) with Steady state welfare=V/(1-beta).
The result of the welfare is negative for high sigma (volatility). This gives the opposite result of welfare cost compared from the paper which is positive.
Is that welfare equation is different from welfare cost in term of consumption (like in the paper)??

[jpfeifer]

I might be missing something, but

Code: Select all

V

in my

Code: Select all

Caldara_et_al_2012.mod

already is the welfare measure.