/DTC

NKDSGE model w/ liquidity

Primary LanguageAMPL

Liquidity DSGE model

This repo contains the Dynare files to simulate a NEw Keynesian DSGE model augmented with liquidity conditions. This model is part of a research project on inflation persistence and monetary policy rules. The main repo for this project is available at this link (to be published soon).

How to use these files?

  1. nkdtc.mod contains the model equations and embeds several specifications. It requires Dynare and needs two flags.

    • calibras = 0 or 1: this flag declare the calibration on the monetary policy rule to be adopted, 0 for the active Central Bank, 0 for the passive one. This flag in turns calls two ancillary files, usual_tp.mod and passive_tp.mod, respectively. Every option of this flag produces and stores simulated time series for inflation and IRFs for selected and full set of variables, with labelling differences.

    • z_flag = 1 activates an end-of-the-world liquidity shock, and needs to be declared with the previous flag. All other values for z_flag turn off this shock.

  2. z_graph.m runs independently and uses nkdtc.mod as an input. It outputs graphs representing the overall behaviour of the stylised economy under two monetary policy regimes, following the end-of-the-world liquidity shock.

Todo list
  • extract and plot policy function for each model $\Rightarrow$ Pfeiffer wrote an ad hoc function.