Hi,
I got the code for the BGG model and I have simulated it. However, the results for the monetary policy shock seems off since and increase in the policy rate caused output (y) to increase. Can anyone help? I have attached the file. Thanks.
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Monetary Policy shock in BGG model
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Monetary Policy shock in BGG model
by Carol » Mon Apr 30, 2012 11:30 am
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Re: Monetary Policy shock in BGG model
by adraine » Tue May 08, 2012 8:54 pm
In the model block of the provided code you have the following:
rn = rho*rn(-1) + sig*pi(-1) - e_rn.
A 1 standard deviation interest rate shock would thus cause the interest rate to fall which would lead to an increase in output. Note the sign of the exogenous error term in the policy equation. Hope this helps.
rn = rho*rn(-1) + sig*pi(-1) - e_rn.
A 1 standard deviation interest rate shock would thus cause the interest rate to fall which would lead to an increase in output. Note the sign of the exogenous error term in the policy equation. Hope this helps.
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- Joined: Sun Jul 31, 2011 3:41 pm
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