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impulse response
Posted:
Mon May 16, 2016 1:31 amby monsoon
This a GE credit cycle model designed on the lines of Gerali et al (2009). It produces impulse responses as any other model. However, I am puzzled by one issue - why there is no variation in r_ib (policy rate) and r_d (deposit rate) unlike Gerali et al. Even monetary policy shock does not affect the r_ib. Any help is highly appreciated.
Re: impulse response
Posted:
Tue May 17, 2016 6:31 pmby jpfeifer
You need to figure out how your model works compared to the original one. It seems there is no shock that moven r_ib. That is very strange. I would say there is still an error.
Re: impulse response
Posted:
Tue May 17, 2016 9:59 pmby monsoon
But the monetary policy equation is similar to what Gerali has. There is no change. And the monetary policy shock produces changes in all variables except the policy rate (r_ib). What could possibly be wrong?
Re: impulse response
Posted:
Wed May 18, 2016 9:43 amby jpfeifer
Start with Gerali's model and then change one element at a time to see when the problem arises.