A collection of Dynare models
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Fixed small typo in model description of Gali (2008, Ch. 3).
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Aguiar_Gopinath_2007 Add Aguiar_Gopinath_2007.mod Aug 21, 2015
Ascari_Sbordone_2014 Ascari_Sbordone_2014.mod: fix non-log case Aug 28, 2017
Basu_Bundick_2017 Add Basu_Bundick_2017.mod Aug 17, 2017
Born_Pfeifer_2014 Add Born_Pfeifer_2014/Born_Pfeifer_RM_Comment.mod Dec 12, 2016
Born_Pfeifer_2018 Born_Pfeifer_2018: Set qz_criterium Jun 25, 2018
Caldara_et_al_2012 Various fixes to plot_policy_fun.m Aug 24, 2015
Chari_et_al_2007 Add further disclaimer to Chari_et_al_2007 Sep 3, 2016
FV_et_al_2007 Add FV_et_al_2007_ABCD.mod Aug 22, 2015
Gali_2008 Fixed small typo in model description of Gali (2008, Ch. 3). Jul 12, 2018
Gali_2010 Add missing file for Gali_2010/Gali_2010_calib_target.mod Jun 14, 2017
Gali_2015 Fix scaling of shocks in Gali_2015/Gali_2015_chapter_6_5.mod Sep 20, 2017
Gali_Monacelli_2005 Change compatibility disclaimers to 4.5 Jun 11, 2017
GarciaCicco_et_al_2010 GarciaCicco_et_al_2010.mod: clarify inconsistency in paper and code Dec 5, 2017
Ghironi_Melitz_2005 Add note to Ghironi_Melitz_2005.mod Mar 22, 2018
Hansen_1985 Add Hansen_1985.mod Aug 22, 2015
Ireland_2004 Change compatibility disclaimers to 4.5 Jun 11, 2017
Jermann_1998 Add first version of Jermann (1998) algebra file Dec 21, 2017
Jermann_Quadrini_2012 Change compatibility disclaimers to 4.5 Jun 11, 2017
RBC_IRF_matching Add IRF matching example Jul 3, 2017
RBC_baseline RBC_baseline.mod: Add LaTeX definitions Aug 17, 2017
RBC_baseline_welfare Add RBC_baseline_welfare.mod Aug 17, 2017
RBC_capitalstock_shock Fix naming of RBC_capitalstock_shock.mod Aug 22, 2015
RBC_news_shock_model RBC_news_shock_model.mod: fix type May 18, 2017
SGU_2003 Correct trade balance definition in SGU_2003.mod (thanks to Sidney Ca… Sep 20, 2016
SGU_2004 Add SGU_2004.mod Aug 22, 2015
Sims_2012 Add Sims_2012_RBC.mod Aug 22, 2015
Smets_Wouters_2007 Smets_Wouters_2007_45.mod: correct variable description Mar 31, 2018
Solow_model Add Solow-Swan model mod-files Oct 9, 2016
Woodford_2003 Delete redundant option in Woodford_2003/Woodford_2003_Chapter_7.mod Oct 26, 2016
.gitignore Update ignore file Nov 27, 2016
LICENSE Update License file to GPL3. Aug 22, 2015
README.md Add replication files for Born_Pfeifer_2018 Mar 22, 2018
run_all_files.m Add replication files for Born_Pfeifer_2018 Mar 22, 2018

README.md

DSGE_mod

A collection of Dynare models. It aims at demonstrating Dynare best practices and providing tractable replication files for important models that can be useful for further model development.

Replicability Issues

The headers of the respective mod-files also note obvious mistakes and typos in the respective papers.

Compatibility

These mod-files have been tested against Dynare 4.5. Compatibility with earlier versions is not guaranteed.

Contributing your own mod-files

Contributions of replication files to this collection are highly welcomed. When doing do, e.g. through pull requests, please clearly line out which results of the original paper are replicated so that correctness can be verified.

Contained Mod-files

Ascari_Sbordone_2014.mod

Replicates Ascari, Guido and Sbordone, Argia M. (2014): "The Macroeconomics of Trend Inflation", Journal of Economic Literature, 52(3), pp. 679-739.

This mod-file shows how to access steady state variables in order to plot steady state dependences on parameters. It also shows how to manually do a stability mapping be iterating over a grid on the parameter space.

Aguiar_Gopinath_2007.mod

Replicates Aguiar, Mark and Gopinath, Gita (2007): "Emerging Market Business Cycles: The Cycle is the Trend", Journal of Political Economy, 115(1), pp. 69-102.

This mod-file shows how to deal with trend growth and how to recover the non-stationary variables from the detrended model variables.

Basu_Bundick_2017.mod

Replicates the Generalized Impulse Response Functions (GIRFs) at the stochastic steady/ergodic mean in the absence of shocks by Basu/Bundick (2017): "Uncertainty shocks in a model of effective demand", Econometrica, 85(3), pp. 937-958

Born_Pfeifer_2014.mod

Replicates Benjamin Born and Johannes Pfeifer (2014): "Risk Matters: A comment", American Economic Review, 104(12), pp. 4231-4239.

This mod-file shows how to estimate a model solved with third order perturbation using the Simulated Method of Moments. It also shows how to generate IRFs at the stochastic steady state (ergodic mean in the absence of shocks (EMAS) in the terminology of the paper). For practical purposes it is highly recommended to use the standard Andreasen et al. (2013) pruning scheme available in Dynare's simult_.m instead of the FGRU version in simult_FGRU.m (see the comments in the mod-file).

Born_Pfeifer_2018

Replicates Benjamin Born and Johannes Pfeifer (2018): "The New Keynesian Wage Phillips Curve: Calvo vs. Rotemberg".

Welfare

run_welfare_comparison_efficient_steady_state.m and run_welfare_comparison_inefficient_steady_state.m create the welfare comparison between the four different labor market setups presented in Tables 4 and 5 of the paper. The mod-file Born_Pfeifer_2018_welfare.mod shows how to compute conditional and unconditional welfare.

Monetary_Policy_IRFs

run_IRF_comparison.m creates "Figure 1: Impulse response functions to 1 percentage point (annualized) monetary policy shock under Calvo".

Caldara_et_al_2012.mod

Replicates Caldara, Dario and Fernandez-Villaverde, Jesus and Rubio-Ramirez, Juan F. and Yao, Wen (2012): "Computing DSGE Models with Recursive Preferences and Stochastic Volatility", Review of Economic Dynamics, 15, pp. 188-206.

This mod-file shows how to use auxiliary variables to deal with recursive preferences and expected returns. It also shows how to use the plot_policy_fun.m to plot the policy functions using Dynare

Chari_et_al_2007.mod

Replicates Chari, V.V/Kehoe, Patrick J./McGrattan, Ellen (2007), "Business Cycle Accounting", Econometrica, 75(3), pp. 781-836.

It demonstrates how to use the linearized benchmark model estimated using Maximum Likelihood to conduct the Business Cycle Accounting as is done in the paper for the 1982 recession.

FV_et_al_2007

Replicates the ABCD-test for the example of the permanent income model provided in Fernandez-Villaverde, Rubio-Ramirez, Sargent, and Watson (2007), "ABCs (and Ds) of Understanding VARs", American Economic Review, 97(3), pp. 1021-1026

Includes the ABCD_test.m

Gali_2008

Gali_2008_chapter_2.mod

Implements the baseline Classical Monetary Economy model of Jordi Galí­ (2008): Monetary Policy, Inflation, and the Business Cycle, Princeton University Press, Chapter 2

Gali_2008_chapter_3.mod

Implements the baseline New Keynesian model of Jordi Galí (2008): Monetary
Policy, Inflation, and the Business Cycle, Princeton University Press, Chapter 3

Gali_2008_chapter_5_discretion.mod

Implements the optimal monetary policy under discretion exercise of Jordi Galí (2008): Monetary Policy, Inflation, and the Business Cycle, Princeton University Press, Chapter 5.1.1. It shows how to use the discretionary_policy command.

Gali_2008_chapter_5_commitment.mod

Implements the optimal monetary policy under commitment exercise of Jordi Galí (2008): Monetary Policy, Inflation, and the Business Cycle, Princeton University Press, Chapter 5.1.2. It shows how to use the ramsey_policy command.

Gali_2010

Gali_2010.mod

This file was written together with Lahcen Bounader. It replicates the results of the baseline sticky wage model of Jordi Galí (2010): Monetary Policy and Unemployment, Handbook of Monetary Economics, Volume 3A, Chapter 10, pp. 487-546. Please see the header of the mod-file for additional remarks.

Gali_2010_calib_target.mod

This file was written together with Lahcen Bounader. It implements the baseline sticky wage model of Jordi Galí (2010): Monetary Policy and Unemployment, Handbook of Monetary Economics, Volume 3A, Chapter 10, pp. 487-546. When doing so, it corrects issues with the original calibration of Gali (2010). It demonstrates how in a linearized model a steady_state-file can be used to set the deep parameters of the model to satisfy calibration targets on the non-linear model. The steady_state-file takes the calibration targets and calls a numerical solver on some of the nonlinear steady state equations to get the corresponding parameters that make the steady state satisfy the targets.

Gali_2015

Gali_2015_chapter_2.mod

Implements the baseline Classical Monetary Economy of Jordi Gali (2015): Monetary Policy, Inflation, and the Business Cycle, Princeton University Press, Second Edition, Chapter 2

Gali_2015_chapter_3.mod

Implements the baseline New Keynesian model of Jordi Gali (2015): Monetary Policy, Inflation, and the Business Cycle, Princeton University Press, Second Edition, Chapter 3

Gali_2015_chapter_4.mod

Implements the welfare analysis of Chapter 4.4 on simple rules in the baseline New Keynesian model of Jordi Gali (2015): Monetary Policy, Inflation, and the Business Cycle, Princeton University Press, Second Edition.

Gali_2015_chapter_5_discretion.mod

Implements the optimal monetary policy under discretion exercise of Jordi Gali (2015): Monetary Policy, Inflation, and the Business Cycle, Princeton University Press, Second Edition, Chapter 5.2.1. It shows how to use the discretionary_policy command.

Gali_2015_chapter_5_commitment.mod

Implements the optimal monetary policy under commitment exercise of Jordi Gali (2015): Monetary Policy, Inflation, and the Business Cycle, Princeton University Press, Second Edition, Chapter 5.2.2. It shows how to use the ramsey_policy command.

Gali_2015_chapter_5_discretion_ZLB.mod

Implements the optimal monetary policy at the ZLB under discretion exercise Jordi Gali (2015): Monetary Policy, Inflation, and the Business Cycle, Princeton University Press, Second Edition,
Chapter 5.4.1. It shows how to solve a perfect foresight model with a Levenberg-Marquardt mixed complementarity problem (lmmcp) approach to deal with the zero lower bound on interest rates.

Gali_2015_chapter_5_commitment_ZLB.mod

Implements the optimal monetary policy at the ZLB under commitment exercise Jordi Gali (2015): Monetary Policy, Inflation, and the Business Cycle, Princeton University Press, Second Edition,
Chapter 5.4.2. It shows how to solve a perfect foresight model with a Levenberg-Marquardt mixed complementarity problem (lmmcp) approach to deal with the zero lower bound on interest rates.

Gali_2015_chapter_6.mod

Implements the New Keynesian model with price and wage rigidities of Jordi Galí (2015): Monetary Policy, Inflation, and the Business Cycle, Princeton University Press, Second Edition, Chapter 6

Gali_2015_chapter_6_4.mod

Implements the New Keynesian model with price and wage rigidities under optimal policy with commitment (Ramsey) of Jordi Galí (2015): Monetary Policy, Inflation, and the Business Cycle, Princeton University Press, Second Edition, Chapter 6.4

Gali_2015_chapter_6_5.mod

Implements the New Keynesian model with price and wage rigidities under under simple rules of Jordi Galí (2015): Monetary Policy, Inflation, and the Business Cycle, Princeton University Press, Second Edition, Chapter 6.5

Gali_2015_chapter_7.mod

Implements the New Keynesian model with price and wage rigidities and unemployment of Chapter 7 of Jordi Galí (2015): Monetary Policy, Inflation, and the Business Cycle, Princeton University Press, Second Edition.

Gali_2015_chapter_8.mod

Implements the baseline New Keynesian small open economy model of Chapter 8 of Jordi Gali (2015): Monetary Policy, Inflation, and the Business Cycle, Princeton University Press, Second Edition.

Gali_Monacelli_2005.mod

Replicates Galí, Jordi and Monacelli, Tommaso (2005): "Monetary Policy and Exchange Rate Volatility in a Small Open Economy", Review of Economic Studies 72, pp. 707-734.

This mod-file shows how to use Dynare's LaTeX-capacities

GarciaCicco_et_al_2010.mod

Replicates the model studied in García-Cicco, Javier and Pancrazi, Roberto and Uribe, Martín (2010): "Real Business Cycles in Emerging Countries", American Economic Review, 100(5), pp. 2510-2531.

It provides a replication code for the main results of the original paper for the case of Argentina.

This mod-file shows how to use the loglinear and logdata options of Dynare.

Ghironi_Melitz_2005.mod

This file replicates the Baseline model under Financial Autarky of Ghironi/Melitz (2005), "International trade and macroeconomic dynamics with heterogeneous firms", Quarterly Journal of Economics, 120(3), 865-915.

Hansen_1985.mod

Replicates the model studied in Hansen, Gary D. (1985): "Invisible labor and the business cycle", Journal of Monetary Economics 16, pp.309-327.

This mod-file shows how to use the loglinear option to get moments of percentage deviations without loglinearizing the model and how to use the get_simul_replications.m file to read out simulations generated by the simul_replic option

Ireland_2004.mod

Estimates the New Keynesian model of Ireland, Peter (2004): "Technology shocks in the New Keynesian Model", Review of Economics and Statistics, 86(4), pp. 923-936

This mod-file shows how to estimate DSGE models using maximum likelihood in Dynare.

Jermann_Quadrini_2012

Provides replication files for Pfeifer, Johannes (2016): "Macroeconomic effects effects of financial shocks: A comment", Dynare Working Paper 50. This paper replicates and corrects the results obtained in Jermann/Quadrini (2012): "Macroeconomic effects of financial shocks", American Economic Review, 102(1): 238-271.

Jermann_Quadrini_2012_RBC

Implements the RBC model of Jermann/Quadrini (2012). It allows replicating the original results and generates the results of Pfeifer (2016), who documents a mistake in the TFP-construction of JQ that requires recalibrating the model.

Jermann_Quadrini_2012_NK

This file replicates the estimation of the New Keynesian model of Jermann/Quadrini (2012) conducted and described in Pfeifer (2016).

RBC_baseline

RBC_baseline.mod

This file presents a baseline RBC model with TFP and government spending shocks, calibrated to US data from 1947Q4:2016Q1. The model setup is described in Handout_RBC_model.pdf and resembles the one in King/Rebelo (1999): Resuscitating Real Business Cycles, Handbook of Macroeconomics, Volume 1, and Romer (2012), Advanced macroeconomics, 4th edition. The driving processes are estimated as AR(1)-processes on linearly detrended data.

RBC_baseline_first_diff_bayesian.mod

Estimates the baseline RBC model on simulated data.

RBC_baseline_welfare.mod

Computes the welfare-maximizing optimal labor tax rate in a baseline RBC model with only TFP shocks. It does so by defining welfare recursively in the model block and calling an optimizer to find the parameter for the steady state tax rate that maximizes welfare.

Estimates the baseline RBC model on simulated data.

RBC_capitalstock_shock.mod

Implements a simple RBC model with a time t shock to the capital stock.

RBC_IRF_matching.mod

This file takes the baseline RBC model with TFP and government spending shocks, calibrated to US data from 1947Q4:2016Q1 and estimates the persistence of the AR(2) government spending shock via impulse response function (IRF) matching.

RBC_news_shock_model.mod

Implements a simple RBC model with additively separable utility and TFP news calibrated to US data. It shows how to generate IRFs to a "pure" news shock where an 8 period anticipated news shock does not materialize at time 0. This is the type of policy experiment that is for example performed in Beaudry Portier (2004): An exploration into Pigou's theory of cycles, Journal of Monetary Economics 51, pp. 1183-1216.

SGU_2003.mod

Replicates Schmitt-Grohé, Stephanie and Uribe, Martín (2003): "Closing small open economy models", Journal of International Economics, 61, pp. 163-185.

SGU_2004.mod

Replicates the neoclassical growth model for Schmitt-Grohé/Uribe (2004): "Solving dynamic general equilibrium models using a second-order approximation to the policy function", Journal of Economic Dynamics & Control, 28, pp. 755-775

Sims_2012

Replicates the results for the basic RBC model presented in Eric R. Sims (2012): "New, Non-Invertibility, and Structural VARs", Advances in Econometrics, Volume 28, 81-135

Requires the ABCD_test.m from the FV_et_al_2007-folder to be located in the same folder.

Smets Wouters 2007

Provides replication files for Smets, Frank and Wouters, Rafael (2007):
"Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach", American Economic Review, 97(3), pp. 586-606.

Smets_Wouters_2007.mod

Rudimentary code that is compatible with Dynare 4.2.5 onwards. See also the header to Smets_Wouters_2007_45.mod for additional remarks.

Smets_Wouters_2007_45.mod

Provides replication files that are compatible with Dynare 4.5 onwards and make full use of Dynare's LaTeX-capabilities to better document the original replication files.

Solow_model

Various mod-files related to the basic Solow-Swan model, using Dynare's perfect foresight routines to study steady state transitions when e.g. parameters change

Solow_SS_transition.mod

Studies the transition behavior of a simple Solow-Swan economy with Cobb-Douglas production function to its steady state when started with a capital stock different from steady state.

Solow_growth_rate_changes.mod

Studies the transition behavior of a simple Solow-Swan economy with Cobb-Douglas production function after unanticipated for changes in technology or population growth.

Solow_nonstationary.mod

Studies the transition behavior of a simple Solow-Swan economy with Cobb-Douglas production function to its balanced growth path (BGP). The Solow model is solved here in aggregate, i.e. non-detrended form along its balanced growth path. For that purpose, trending labor-augmenting technology and population processes are defined.

Woodford_2007_Chapter_7.mod

Implements the deterministic optimal policy exercise in Figure 7.1 of Michael Woodford (2003): "Interest and prices", Princeton University Press, page 476. The same figure is reproduced as Figure 2 in Michael Woodford (2010): "Optimal Monetary Stabilization Policy", Chapter 14 of the Handbook of Monetary Economics, Volume 3B, Elsevier