Dear all,
I was wondering if dynare is able to compute the risky steady state of a model (as decribed for example by Coeurdacier, Rey, and Winant, AER2011) or as described by de Groot (EL2013). Several reccent papers such as "Financial crises, bank risk exposure and government financial policy" by Gertler, Kiyotaki and Queralto, JME2012 have used a first-order approximation around the risky steady state. I was therefore wondering if it is implemented in dynare somewhere and if not, if someone knows where to find a replication code for a model with a risky steady state approximation...
Thank you all very much,
Best regards
Kay
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Re: Risky Steady State
by jpfeifer » Wed Jan 18, 2017 9:22 pm
The Coeurdacier et al concept seems problematic. See http://replication.uni-goettingen.de/wiki/index.php/Talk:The_Risky_Steady_State_(AER_2011). Dynare has Michel Juillard's risky steady state implemented in a "beta" version, but there is still some work to do. You can play around with it: https://github.com/DynareTeam/dynare/tree/master/tests/risky_ss
More generally, I would refer you to the work of Alexander Meyer-Gohde.
More generally, I would refer you to the work of Alexander Meyer-Gohde.
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