Incorrect impulse curves - replication of a paper

[ahoruzhenko]

Good afternoon,

I am trying to replicate the paper Aoki Benigno Kiyotaki (2016) Monetary and Financial Policies in Emerging
Markets. My code works properly, but the impulse curves do not coincide with those in the paper (screen attached). Above this, the impulse curves for one of the shocks are not curves but rather short straight lines (attached).

What could be the problem? I checked many times that all equations are OK.

Thank you in advance for your precious help.

[ahoruzhenko]

https://www.dropbox.com/s/dnbrlsb5cypcbxh/Screenshot_1.png?dl=0

[jpfeifer]

Your IRFs are explosive. Either use order=1 or pruning.

[ahoruzhenko]

Thank you a lot.
If someone has a similar problem, it works when the order of approximation is set to 1 and all variables are replaced with exp(x) instead of x to linearize the model (do not forget to log the steady-state values).

[jpfeifer]

You don't need the exp()-part, only

Code: Select all

order=1

or

Code: Select all

pruning

If you don't use higher order with pruning, the exp()-substitution inducing a loglinearization instead of linearization may actually help to prevent explosive simulations.