anticipated and unanticipated shock

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anticipated and unanticipated shock

Postby fda » Thu Nov 19, 2015 12:41 pm

Hello everybody,
I have a model , that I attach the file,and now I want to examine my model once with unanticipated shock epsilonm=-gammap*infl-gammayg*yg-rho*m(-1)-gammao*po for periods t=1 to 4
and for other periods this shock is :epsilonm=rhom*epsilonm(-1)+epsah
my model with anticipated shock :
epsilonm=0 for t=1 to 4
epsilonm=rhom*epsilonm(-1)+epsah for other periods
but I don't know how do I write this equation in dynare? and where do I write this equation in dynare?
Attachments
calib7.mod
(6.27 KiB) Downloaded 52 times
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Re: anticipated and unanticipated shock

Postby jpfeifer » Sat Nov 21, 2015 3:15 pm

What you should do is define two separate shocks. One surprise shock and then a set of news shocks that are anticipated for the number of periods you want. Then use the simult_ function to simulate the model with the shock combination you desire. See https://github.com/JohannesPfeifer/DSGE_mod/blob/master/RBC_news_shock_model/RBC_news_shock_model.mod
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
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