Question about US_CD08 model

1

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)US_CD08 .
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;
z_ss=f_ss+ delta-1;
lambda_c=(1+b_ss(pi_ss/(pi_ss-beta))^(gamma-1))^(-1);
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)c=gammalambda+lambda_m((r_ss-1)/r_ss)*(b+(gamma-1)m)-gammae;

(gamma*r)/(r_ss-1)=b+c-m;

h_ssh=(1-h_ss)(w+lambda);

lambda(+1)=lambda-r+pi(+1);

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

y=c__yc+i__yi;

w=y+cost-h;

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

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

r=rho_pipi+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=chidelta(i-k(-1))-x;

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

k=deltai+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_xx(-1)+u_x;
a=rho_aa(-1)+u_a;
e=rho_ee(-1)+u_e;
b=rho_bb(-1)+u_b;

end;

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);

2

Dear aibenaimer1,

in the simulation with the MMB, depicted in the graphs above, you chose to simulate the model with the monetary policy rule as described by Taylor (1993) (to see the exact specifications of the monetary policy rules in the MMB either click the button “Monetary Policy Rules description pdf” of the Graphical User Interface of the MMB, or directly open the MMB_MPRule_description.pdf in the folder MMB_Options).

The code below contains the monetary policy rule that Christensen and Dib included in their model (i.e. different feedback coefficients, reaction of interest rate to money growth). The difference in the interest rate rules causes the IRFs to look different.

For most of the models in the MMB, we allow to simulate the model with the model-specific policy rule as well. In the case of US_CD08, however, the MMB cannot accomodate the reaction to money growth in the interest rate rule.

I hope, this answers your question.
Best regards,
Felix