Dear all ,

I want to repeat paper ‘The financial accelerator in an estimated New Keynesian model’. When running the MMB database of US_CD08 , I can get humped IRFS(like attachments picture) .

But when I rewrite US_CD08 without changing any parameters and variables, why do I have to produce a hump-shaped IRFS?

My question is when I want to try to repeat US_CD08 code in separate code, why don’t I have similar IRFs?I didn’t change any parameters and variables.I am really puzzled.

// Model: US_CD08

// Created by Jens Kruk

// Last edited: 2010/09/07 by S. Schmidt// Christensen, Ian and Ali Dib. 2008. “The financial accelerator in an estimated

// New Keynesian model,” Review of Economic Dynamics 11, pp. 155-178.var lambda c b m e r h w y k a i cost z mu pi q x f n rp;

varexo e_r u_x u_a u_e u_b ;

parameters

gamma alpha rho_pi rho_y rho_mu delta chi beta phi psi nu

rho_a rho_e rho_x rho_b c1 m1 r1 h1 cy1 iy1 f1 z1 kn1 pi_ss r_ss xi_ss f_ss z_ss

lambda_c lambda_m k__y c__y w_h_y h_ss i__y b_ss k__n S;gamma=0.0598;

alpha=0.3384;

rho_pi=1.4059;

rho_y=0.2947;

rho_mu=0.6532;

delta=0.025;

b_ss=0.062;

chi=0.5882;

beta=0.9928;

eta=1.315;

phi=0.7418;

psi=0.042; // 0 in the NoFa

nu=0.9728;

rho_a=0.7625;

rho_e=0.6156;

rho_x=0.6562;

rho_b=0.7206;

pi_ss=1.0079;

xi_ss=5/6;

k__n=2;S=1.0075; // Jens Kruk replicated the standard deviations of CD more accurately when setting S=1. However, S should be 1.0075 (see p.163 in DC).

r_ss=pi_ss/beta;

f_ss=(Sr_ss)/pi_ss;(pi_ss/(pi_ss-beta))^(gamma-1))^(-1);

z_ss=f_ss+ delta-1;

lambda_c=(1+b_ss

lambda_m=lambda_cb_ss(pi_ss/(pi_ss-beta))^(gamma);

k__y=alpha*(xi_ss/z_ss);

c__y=1-delta*(k__y);

w_h_y=(1-alpha)lambda_cxi_ss/(c__y);

h_ss=w_h_y/(eta+w_h_y);

i__y=1-c__y;model(linear);

((1-gamma)

lambda_c-1)((r_ss-1)/r_ss)*(b+(gamma-1)c=gammalambda+lambda_mm)-gammae;(gamma*r)/(r_ss-1)=b+c-m;

h_ss

h=(1-h_ss)(w+lambda);lambda(+1)=lambda-r+pi(+1);

y=alpha*k(-1)+(1-alpha)*h+(1-alpha)*a;

y=c__y

c+i__yi;w=y+cost-h;

z=y+cost-k(-1);

mu=m-m(-1)+pi;

r=rho_pi

pi+rho_mumu+rho_y*y+e_r;f=(z_ss/f_ss)

z+(1-delta)/f_ssq-q(-1);q=chi*(i-k(-1))-x;//q=chi

delta(i-k(-1))-x;pi=beta

pi(+1)+((1-betaphi)*(1-phi)/phi)*cost;k=delta

i+deltax+(1-delta)*k(-1);f(+1)=r-pi(+1)+psi*(q+k-n);

rp=psi*(q+k-n);

n/(nuf_ss)=k__n((z_ss/f_ss)z+(1-delta)/f_ssq-q(-1))-(k__n-1)(r(-1)-pi)-psi(k__n-1)(k(-1)+q(-1))+(psi(k__n-1)+1)*n(-1);x=rho_x

x(-1)+u_x;a(-1)+u_a;

a=rho_a

e=rho_ee(-1)+u_e;b(-1)+u_b;

b=rho_bend;

shocks;

var e_r ; stderr 0.0058 ;

//var u_e ; stderr 0.0073 ;

//var u_b ; stderr 0.0103 ;

//var u_a ; stderr 0.0096 ;

//var u_x ; stderr 0.0331 ;

end;stoch_simul(irf=20);