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.
The headers of the respective mod-files also note obvious mistakes and typos in the respective papers.
These mod-files have been tested against Dynare 6.0. Users are advised to reference specific branches of this repository tailored to earlier versions of Dynare to ensure compatibility.
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.
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.
Replicates Table 2 in Andreasen (2012): "On the effects of rare disasters and uncertainty shocks for risk premia in non-linear DSGE models", Review of Economic Dynamics, 15, pp. 295-316.
This mod file shows how to simulate DSGE models solved with third-order perturbation and non-symmetric innovations. The underlying model is a New-Keynesian model with Epstein-Zin preferences.
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 dependencies on parameters. It also shows how to manually do a stability mapping be iterating over a grid on the parameter space.
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
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).
Replicates Benjamin Born and Johannes Pfeifer (2018): "The New Keynesian Wage Phillips Curve: Calvo vs. Rotemberg", Macroeconomic Dynamics, 24, 2020, 1017–1041.
run_IRF_comparison.m creates "Figure 1: Impulse response functions to 1 percentage point
(annualized) monetary policy shock under Calvo".
The mod-file Born_Pfeifer_2018_welfare.mod shows how to compute conditional and unconditional 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.
Replicates the DSGE model results of Benjamin Born and Johannes Pfeifer (2020): "Uncertainty-driven business cycles: assessing the markup channel", forthcoming at Quantitative Economics. The main file is run_model_IRF_generation.m
Note that sequential calling of Dynare can cause problems on Windows if the created files are temporarily locked by other processes like e.g. cloud drive apps. We recommend not running the codes in folders synchronized by cloud drives.
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
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.
Replicates example 1 of Collard (2001): "Stochastic simulations with DYNARE: A practical guide".
The file get_shock_standard_deviation shows how to find the shock size that induces a given response
of an endogenous variable in a specified period.
Provides codes for the ABCD-test of 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. Note that it tests only a sufficient condition, not
a necessary one, if the minimal state space is not computed. For details, see e.g. Komunjer/Ng (2011):
"Dynamic Identification of Dynamic Stochastic General Equilibrium Models", Econometrica, 79(6), 1995–2032.
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
Shows how to compute the minimal state space using Matlab's Control toolbox for the example of Saccal, Alessandro (2020): "A note on minimality in Dynare", available at https://mpra.ub.uni-muenchen.de/103656/1/MPRA_paper_103656.pdf.
Implements the baseline Classical Monetary Economy model of Jordi Galí (2008): Monetary Policy, Inflation, and the Business Cycle, Princeton University Press, Chapter 2
Implements the baseline New Keynesian model of Jordi Galí (2008): Monetary
Policy, Inflation, and the Business Cycle, Princeton University Press,
Chapter 3
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.
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.
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.
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.
Implements the baseline Classical Monetary Economy of Jordi Gali (2015): Monetary Policy, Inflation, and the Business Cycle, Princeton University Press, Second Edition, Chapter 2
Implements the baseline New Keynesian model of Jordi Gali (2015): Monetary Policy, Inflation, and the Business Cycle, Princeton University Press, Second Edition, Chapter 3
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.
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.
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.
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.
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.
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
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
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
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.
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.
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
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.
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.
Replicates the example results of Guerrieri, Luca and Iacoviello, Matteo (2015): "OccBin: A toolkit for solving dynamic models with occastionally binding constraints easily", Journal of Monetary Economics 70, pp.22-38. It provides replication codes for the IRFs in figures 3 and 5. The mod files show how to use Dynare's occbin toolbox for stochastic simulations with occasionally binding constraints.
Replicates the RBC model with a constraint on investment (irreversible investment).
Replicates the New Keynesian model with a constraint on the nominal interest rate (zero-lower-bound).
This file implements a Hodrick/Prescott HP-filter employing a diffuse Kalman smoother. Due to using the Kalman smoother instead of the typical matrix formula, the HP-filter naturally handles missing observations/NaN.
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
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.
This file replicates some of the results in Jermann (1998): Asset pricing in production economies, Journal of Monetary Economics, 41, pp. 257-275, using a second-order perturbation approximation.
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.
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.
This file replicates the estimation of the New Keynesian model of Jermann/Quadrini (2012) conducted and described in Pfeifer (2016).
This folder contains replication files for George McCandless (2008): The ABCs of RBCs - An Introduction to Dynamic Macroeconomic Models, Harvard University Press
This file replicates the Money in the Utility Function model studied in Chapter 9
This file replicates the open economy model studied in Chapter 13
Shows how to implement forward guidance in a baseline New Keynesian model using a sequence of monetary policy shocks.
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.
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.
Estimates the baseline RBC model on simulated data.
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.
Implements a simple RBC model with a time t shock to the capital stock.
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.
This file takes the baseline RBC model and demonstrates how to compute Generalized Impulse Response Functions using Dynare's simult_-function. The model is solved up to second order to allow for non-linearities.
Studies the transition behavior of a simple Ramsey/Cass/Koopmans economy with Cobb-Douglas production function to its balanced growth path (BGP). The RCK 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.
Replicates Schmitt-Grohé, Stephanie and Uribe, Martín (2003): "Closing small open economy models", Journal of International Economics, 61, pp. 163-185.
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
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.
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.
Rudimentary code that is compatible with Dynare 4.2.5 onwards. See also the header to Smets_Wouters_2007_45.mod for additional remarks.
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.
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
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.
Studies the transition behavior of a simple Solow-Swan economy with Cobb-Douglas production function after unanticipated for changes in technology or population growth.
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.
This file implements a simple Susceptible-Infected-Recovered (SIR) model as in James H. Stock (2020): "Data Gaps and the Policy Response to the Novel Coronavirus".
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