I have specified a basic 2 country DSGE model with price and wage rigidities, as well as incomplete international bond markets. The model is specified in nonlinear terms and it runs fine.
However, Dynare cannot compute the theoretical moments of some variables
VARIABLE MEAN STD. DEV. VARIANCE
Welf_H NaN NaN NaN
Util_H NaN NaN NaN
R_H 9.4538 0.0165 0.0003
infl_H 8.3700 0.0211 0.0004
r_H 1.1298 0.0195 0.0004
Q_H -4.5229 0.1171 0.0137
Y_H NaN NaN NaN
K_H NaN NaN NaN
H_H NaN NaN NaN
I_H NaN NaN NaN
C_H NaN NaN NaN
MC_H 22.6730 0.0261 0.0007
R_F 9.7114 0.0163 0.0003
S NaN NaN NaN
rer NaN NaN NaN
tot NaN NaN NaN
infl_F 9.1610 0.0214 0.0005
r_F 1.0470 0.0195 0.0004
Q_F -3.5885 0.1183 0.0140
Y_F NaN NaN NaN
K_F NaN NaN NaN
H_F NaN NaN NaN
I_F NaN NaN NaN
C_F NaN NaN NaN
MC_F 14.6085 0.0268 0.0007
If I understood correctly, this is caused by the presence of unit roots in the model. It is indeed the case that 4 of the eigenvalues are equal to 1.
Can anybody explain me what shall I do to eliminate those unit roots? Please note that I didn't includ price levels in the model, only relative prices and inflation rates. Furthermore, an international risk premium is already present, in the spirit of Schmitt-Grohe and Uribe, which should stabilize the behavior of net foreign assets.
The .mod file is attached.
Thank you for your help!
Mary
