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Hello everyone/Dr. jpfeifer,

I was solving a standard DSGE model, and I was looking for conditional variance of endogenous variables, like var(y_{t+k}|t) with respect to different horizon k.

As Dr. jpfeifer suggested in http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=4844, I changed conditional_variance_decomposition.m to get the conditional variance series.

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save conditionalvariance ConditionalVariance;

My aim is comparative static analysis: the effect of different parameter values on conditional variance series.

My problem: no matter how I adjust the parameter values (including elasticity of substitution, and the exogenous variances), the conditional variance series never change, so I was wondering this variable "ConditionalVariance" in conditional_variance_decomposition.m, is it already treated/normalized by dynare?

Thanks for your help in advance!

Yi

Could you please post the mod-file. I cannot replicate the described behavior.

Hi Dr. jpfeifer,

Sorry for my belated reply.

Please see attached my mod-file and the modified matlab file. The problem is: No matter how I adjust the parameters "tau"(0<tau<1) or "phi"(0<phi<1), the conditional variance series stay the same.

I am aware that the ASYMPTOTIC variances should be independent of "tau" and "phi", but I believe CONDITIONAL variance series should be sensitive to "tau" and "phi".

Thank you very much for your help!

Best Regards,
Yi

Most other parameters change the conditional variance. Thus, it seems to be an economic feature of your model.

Dr. jpfeifer,

Thanks a lot!

Regards, Yi

Hello Dr. jpfeifer,

Could you please tell me which parameter values you tried? Thanks in advance. Because as I tried different parameter values, the conditional variance series do not change.

The following is how I calculate the AGGREGATE conditional variance series (AGGREGATE means subject to all the shocks). Please let me know if I made any mistakes. Thanks a lot.

Since I was trying to get the aggregate conditional variance series, after I run "dynare revision", I use the following matlab code to get the aggregate conditional variance series:

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load conditionalvariance
A = sum(ConditionalVariance,3);
B = A';

Then the rows of matrix B is for different periods, and the columns of matrix B is for different variables.

Thanks again for your kind help!

Regards,
Yi

For example, I changed the variance in the shocks-block and beta.

Dr. jpfeifer,

Thanks a lot for your reply.

Best,
Yi