Dear Johannes,
Thanks for your reply, I'm a bit puzzled by the differences between the IRFs computed from the ergodic mean and from the steady state.
I wrote a simple RBC model with only one first moment shock driving the economy (
A, the technology process) and a second moment shock (
StdA, the stochastic volatility of the technology shock). I solved the model with third order approximation and computed the IRFs as discussed in the previous posts.
The IRFs computed from the steady state are:
while the IRFs comnputed from the ergodic mean are:
- Why does the level of the tehnology shock (A) move in the case of the ergodic mean?
- Why does the "uncertainty shock" has permanent effects on real variables? I thought the system was meant to come back to its steady state, am I wrong?
- The IRFs display sensible differences. Do you have any intuition for why this is the case?
You find attached the mod file I am using.
Thanks much