I'm doing my first steps with Dynare at the moement. At the moment, I basically try to reproduce the result, that Gali gets in his Introductions book to NKM. Sofar it seems very nice. And after some starting problems I am very happy that dynare makes so much work for me.
I'm trying to perform a positive technological shock that is defined as
with persistence parameter
at 0.0 and 0.8. The problem:
When using persistence 0.8 i get:
When I use persistence 0.0:
Gali tells us (in 4.1.2 The Effects of a Technology Shock):
Hence, and as long as
sistent decline in both inflation and the output gap.
So why do I not get persistent declines in case
= 0.0? I get just a one period peak 
My mod file looks like this:
- Code: Select all
//------------------------------------------
// Preambel
//------------------------------------------
var pi y Y rn i m_r a;
varexo a_init;
parameters beta epsilon theta sigma rho psi alpha phi_pi phi_y eta PSI_yan THETA lambda kappa rho_a LAMBDA_a;
beta = 0.99;
epsilon = 0.3;
theta = 2/3;
sigma = 1;
rho = 0;
psi = 1;
alpha = 0;
phi_pi = 1.5;
phi_y = 0.5/4;
eta = 4;
PSI_yan = (1+psi) / ( sigma*(1-alpha)+psi+alpha );
THETA = (1-alpha)/(1-alpha+alpha*epsilon);
lambda = (1-theta)*(1-beta*theta)*THETA/theta;
kappa = lambda * (sigma + (psi+alpha)/(1-alpha));
rho_a = 0.0;
LAMBDA_a = 1 / ( (1-beta*rho_a)*(sigma*(1-rho_a)+phi_y)+kappa*(phi_pi-rho_a) );
//------------------------------------------
// Model
//------------------------------------------
model(linear);
// Taylor-Rule
i = rho + phi_pi*pi + phi_y*y;
// IS-Equation
y = y(+1) - 1/sigma * (i - pi(+1) - rn);
rn = rho + sigma*PSI_yan* (a(+1)-a);
Y = a * PSI_yan * ( 1 - sigma*(1-rho_a)*(1-beta*rho_a)*LAMBDA_a );
// Phillips-Kurve
pi = beta*pi(+1) + kappa*y;
// Money Demand
m_r = y - eta*i;
// Autoregressive Error
a = rho_a*a(-1) + a_init;
end;
//------------------------------------------
// Steady State
//------------------------------------------
check;
//------------------------------------------
// Shocks
//------------------------------------------
shocks;
var a_init = 0.25;
end;
//------------------------------------------
// Computation
//------------------------------------------
stoch_simul(periods=1000);
//------------------------------------------
// Plots
//------------------------------------------
figure(1); clf;
subplot(4,2,1); plot(pi_a_init); title('inflation');
subplot(4,2,2); plot(y_a_init); title('output gab');
subplot(4,2,3); plot(i_a_init); title('nominal interest rate');
subplot(4,2,4); plot(Y_a_init); title('output');
subplot(4,2,5); plot(i_a_init(1:39)-[ pi_a_init(2:40)]); title('real interest rate');
subplot(4,2,6); plot(m_r_a_init); title('real money');
subplot(4,2,8); plot(m_r_a_init- [0;m_r_a_init(1:39)]); title('real money growth');
Thank you very much ahead,
MegaMatze
