Incorrect impulse curves - replication of a paper

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Incorrect impulse curves - replication of a paper

Postby ahoruzhenko » Tue May 02, 2017 9:17 pm

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.
Attachments
ABKmodelforum.mod
dynare code
(4.61 KiB) Downloaded 73 times
ABKmodel_steadystate.m
steady state calculation
(4.51 KiB) Downloaded 61 times
Last edited by ahoruzhenko on Tue May 02, 2017 9:29 pm, edited 1 time in total.
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Re: Incorrect impulse curves - replication of a paper

Postby jpfeifer » Wed May 03, 2017 7:39 am

Your IRFs are explosive. Either use order=1 or pruning.
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
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Re: Incorrect impulse curves - replication of a paper

Postby ahoruzhenko » Thu May 04, 2017 7:43 pm

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).
ahoruzhenko
 
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Re: Incorrect impulse curves - replication of a paper

Postby jpfeifer » Fri May 05, 2017 6:05 am

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.
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
jpfeifer
 
Posts: 6940
Joined: Sun Feb 21, 2010 4:02 pm
Location: Cologne, Germany


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