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Re: The Zero Lower Bound Constraint on Nominal Int. Rate

PostPosted: Wed May 14, 2014 12:25 pm
by adi199283
jpfeifer wrote:(d_ss, e_ss, l_ss) are not set.

Thank you for your advice. After setting these stuff, the model stil fails.
Have you ever read Michael Funke and Michael Paetz`s paper, "Financial system reforms and China’s monetary policy framework: A DSGE-based assessment of initiatives and proposals". In model with zero lower bound, how could they introduce the market rate while there exist another rate call regulated rate at the same time. I do not how this could be possible in the dynare program.

Re: The Zero Lower Bound Constraint on Nominal Int. Rate

PostPosted: Wed May 14, 2014 1:25 pm
by jpfeifer
The file you posted is not updated. The parameters are still unset. What is the new error message? No I haven't read the paper.

Re: The Zero Lower Bound Constraint on Nominal Int. Rate

PostPosted: Thu May 15, 2014 4:07 am
by adi199283
jpfeifer wrote:The file you posted is not updated. The parameters are still unset. What is the new error message? No I haven't read the paper.

Thank you again for your suggestion. After modifying the code, it seems that the syntax is correct now. But the problem is when I run the mod file, it still shows "Starting MATLAB/Octave computing" after two hours. I am really confused.
Wish you could give me some suggestions.
Many thanks.

Configuring Dynare ...
[mex] Generalized QZ.
[mex] Sylvester equation solution.
[mex] Kronecker products.
[mex] Sparse kronecker products.
[mex] Local state space iteration (second order).
[mex] Bytecode evaluation.
[mex] k-order perturbation solver.
[mex] k-order solution simulation.
[mex] Quasi Monte-Carlo sequence (Sobol).
[mex] Markov Switching SBVAR.

Starting Dynare (version 4.3.1).
Starting preprocessing of the model file ...
Found 491 equation(s).
Evaluating expressions...done
Computing static model derivatives:
- order 1
Computing dynamic model derivatives:
- order 1
Processing outputs ...done
Preprocessing completed.
Starting MATLAB/Octave computing.

Re: The Zero Lower Bound Constraint on Nominal Int. Rate

PostPosted: Wed Oct 14, 2015 5:47 pm
by cfp
I was reminded about this thread earlier today. This is just an update to let you know that there's a spiritual successor to this code available from:

http://github.org/tholden/dynareOBC

The new code is both much easier to use and more accurate. The algorithm also has a more rigorous theoretical justification.

Re: The Zero Lower Bound Constraint on Nominal Int. Rate

PostPosted: Sun Nov 15, 2015 6:58 pm
by sidus87
I've been trying to use DynareOBC to solve a simple NK model where I impose that r=max(taylor,0) . The only shock I consider for the moment is a TFP shock. Using dynareOBC on the uploaded code gives me the following error:

dynareOBC does not support cases in which the constraint just binds in steady-state

Strangely, when I simulate the model without constraint, the interest does become negative, so the constraint should be binding.

Do you guys have an explanation for this?

Thanks in advance

Re: The Zero Lower Bound Constraint on Nominal Int. Rate

PostPosted: Sun Nov 15, 2015 7:34 pm
by cfp
You have:
Code: Select all
(1+i)/(1+i_ss) = max(something,1);

You meant:
Code: Select all
(1+i)= max((1+i_ss)*something,1);

Re: The Zero Lower Bound Constraint on Nominal Int. Rate

PostPosted: Tue May 17, 2016 2:26 am
by xuz
SébastienVillemot wrote:As stated above, Dynare can perform analyses of ZLB in a deterministic setup (using the "simul" command, where nonlinearities are fully handled), but not in a stochastic setup (using "stoch_simul").

If you want to analyze ZLB in a stochastic setup, then use a global method or the extended path methods. These methods will be incorporated in Dynare at some point in the future, but are not yet there.


I wonder anyone has a sample code for the global method with the ZLB? How should we interpret "max{0, i*}" as a spline or Chebyshev?

Thanks in advance!

Re: The Zero Lower Bound Constraint on Nominal Int. Rate

PostPosted: Tue May 17, 2016 6:43 pm
by jpfeifer
@xuz: Global methods like projection methods are not yet implemented. There is the stochastic extended path, which is experimental in the unstable version.