Signals over permanent and transitory shocks
Posted: Sat Nov 14, 2015 11:23 pmHi everyone
I am trying to work with a model similar to the one presented by Lorenzoni (2006) and Blanchard et al (2011). They deal with the theory of demand shocks or news and noise. Basically, they state that in each period the agents in the economy receive a signal over a productivity shock but they do not know whether the shock is permanent or transitory.
Let say the signal is "s", and the permanent and transitory shock are "u" and "e". In period t the agents can tell which part of "s" is from u and e. But in period "t+1" the know with certainty the composition of the shock in period "t".
I really want to work with this model but I cannot find the way to accurately program it on Dynare.
Any comment will be more than welcomed.
Thanks in advance!
I am trying to work with a model similar to the one presented by Lorenzoni (2006) and Blanchard et al (2011). They deal with the theory of demand shocks or news and noise. Basically, they state that in each period the agents in the economy receive a signal over a productivity shock but they do not know whether the shock is permanent or transitory.
Let say the signal is "s", and the permanent and transitory shock are "u" and "e". In period t the agents can tell which part of "s" is from u and e. But in period "t+1" the know with certainty the composition of the shock in period "t".
I really want to work with this model but I cannot find the way to accurately program it on Dynare.
Any comment will be more than welcomed.
Thanks in advance!