Hello,
I would like to reproduce Rudebusch & Swanson (2012), AEJ Macro. To compute long-term zero-coupon bond prices they solve the model in two stages. First, they solve for the macroeconomic variables, including the stochastic discount factor, to third order. Then, in a second stage, they use the stochastic discount factor from the first step to solve for the bond prices to third order.
Is it possible to solve the model in two stages in Dynare ? Use a stochastic discount factor from the 1st stage and then solve for bond prices in 2nd stage ?
Thank you very much !
BK
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solve the model in two stages
by bkmark_20 » Wed Feb 25, 2015 5:55 pm
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Re: solve the model in two stages
by StephaneAdjemian » Thu Feb 26, 2015 9:48 am
Hi,
The answer is no. I would do the second stage (bond prices) in a matlab routine (using the results from the first stage).
Best,
Stéphane.
The answer is no. I would do the second stage (bond prices) in a matlab routine (using the results from the first stage).
Best,
Stéphane.
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Re: solve the model in two stages
by bkmark_20 » Thu Feb 26, 2015 10:10 am
Thank you for the answer Stéphane!
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