Hello everybody!
I'd like to know how to do a shock over an endogenous variable (interest rate in a simple monetary model with perfect foresight) by 4 periods (4 quarters). The difference with the typical exogenous shock is that we want to set interest rate in a KNOWN VALUE over the 4 periods. For example,
interest rate keep fixed one year 100 base point (over the steady state). After that, model solves the system. Is possible to do this in Dynare?
(sorry about my english!)
The code is:
model(linear);
// IS Curve
gapr=a1*gapr(-1)+a2*(tpm(-1)-tpme)+s1;
// Phillips Curve
dlipc= +b1*dlipc(+1)+(1-b1)*dlipc(-1)+b2*gapr(-1)+s2;
inf=exp(dlipc+dlipc(-1)+dlipc(-2)+dlipc(-3))-1;
// Taylor Rule
infesp=(inf(8)+inf(6)+inf(4)+inf(2))/4;
tpmx =tpme+c1*(c2*(infesp-meta)+(1-c2)*gapr);
tpmnx =tpmx+infesp;
//-----------------------------------------------------
// THIS IS THE VARIABLE of INTEREst
tpmn =c3*tpmn(-1)+(1-c3)*tpmnx+s3;
//-----------------------------------------------------
tpm =tpmn-infesp;
metita=meta;
end;
initval;
meta=0.0;
tpme=0.0;
dlipc=meta/4;
gapr=0;
inf=meta;
infesp=meta;
tpmx=tpme;
tpmnx=tpme+meta;
tpm=tpme;
tpmn=tpme+meta;
end;
endval;
meta=0.0;
tpme=0.0;
dlipc=meta/4;
gapr=0;
inf=meta;
infesp=meta;
tpmx=tpme;
tpmnx=tpme+meta;
tpm=tpme;
tpmn=tpme+meta;
end;
steady;
shocks;
var tpmn;
periods 1:4;
values 0.01;
end;
simul(periods=120);
Thanks for your future help!
david coble.