Rotemberg Pricing in Simple New Keynesian Model

[R1346]

Hello,

I've been trying to get a simple New Keynesian model with Rotemberg pricing working, but the IRF's are strange. It's hard to explain, but I guess I could say that they are "spiky". I've attached the mod file and the IRF for the monetary policy shock (e_i in the mod file) so you can see if I've done anything blatantly wrong with the FOC's or calibration or something.

Thanks in advance!

BNK.mod

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[R1346]

Also, the problem seems to go away if I switch to a first order approximation of the model.

[jpfeifer]

That's because at order>1 we are talking about generalized impulse responses. Either increase replic or use pruning or use order=1.