Measuring the Effects of a Shock to Monetary Policy - Humboldt ...

More documents

Recommendations

Info

Bayesian FAVARs with Agnostic Identification 105 spec_nBC = length(input.specification.IRA.BC); for bc_i = 1:spec_nBC; end; nsteps = input.specification.IRA.nsteps; scale = calculation.IRA.scale; specDraws = input.specification.model.draws; specAlphaDraws = input.specification.IRA.alpha_draws; ira.finalresponses(bc_i).no = size(ira.finalresponses(bc_i).response,3); %GLOG (sprintf(’Accepted Responses for BC-%d: %d’,bc_i, ira.finalresponses(bc_i).no),1); % transform back to levels for i=1:size(ira.finalresponses(bc_i).response,1); end; if input.specification.IRA.var_index_sr(i,2)==4 ira.finalresponses(bc_i).response(i,:,:) =... exp(ira.finalresponses(bc_i).response(i,:,:))-ones(1, nsteps,ira.finalresponses(bc_i).no); elseif input.specification.IRA.var_index_sr(i,2)==5 end ira.finalresponses(bc_i).response(i,:,:) = ... exp(cumsum(ira.finalresponses(bc_i).response(i,:,:),2))-ones(1,... % FINAL RESPONSES nsteps,ira.finalresponses(bc_i).no); ira.finalresponses(bc_i).response = sort(ira.finalresponses(bc_i).response,3); ira.finalresponses(bc_i).fimpResponse = median(ira.finalresponses(bc_i).response,3); if ira.finalresponses(bc_i).no > 0 end; % ERROR BANDS ira.finalresponses(bc_i).lowerErrorBand = ira.finalresponses(bc_i).response(:,:,floor(0.16*ira.finalresponses(bc_i).no)); ira.finalresponses(bc_i).upperErrorBand = ira.finalresponses(bc_i).response(:,:,floor(0.84*ira.finalresponses(bc_i).no)); % concatenate the estimate and confidence bounds ira.finalresponses(bc_i).collRespMat =... cat(3,ira.finalresponses(bc_i).lowerErrorBand, ... ira.finalresponses(bc_i).fimpResponse, ... ira.finalresponses(bc_i).upperErrorBand); % transform scale to std ira.finalresponses(bc_i).collRespMat =... ira.finalresponses(bc_i).collRespMat ./ repmat(scale’,[1 nsteps 3]) ; %%%%%%**********************************************************%%%%% %%%%%% Bayesian FAVAR Code August 26th %%%%% %%%%%%**********************************************************%%%%%
106 Bayesian FAVARs with Agnostic Identification %%%%%% DO _CALCULATION_IRA_UHLIG %%%%% %%%%%% Uhlig (2005) - Sign Restriction %%%%% %%%%%% see Sequence Diagram Block B.4.1 %%%%% %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %%%%%% Impulse Response Analysis with Uhlig (2005) Sign %%%%%% Restrictions. Returns finalresponse which is a vector %%%%%% with the length of nBlockCriteria. Responses are %%%%%% checked to satisfy each block criteria, which are %%%%%% set in input.specification.IRA.BC. %%%%%% Accepted Responses are added to %%%%%% finalresponses(bc_i).response %%%%%% where bc_i is the block criteria satistied by %%%%%% the responses. function [finalresponses] = DO_CALCULATION_IRA_UHLIG (input) %function [finalresponses] = DO_CALCULATION_IRA_UHLIG (input) % declare calculation As global structure global calculation; GLOG (’Starting Impulse Responses Ulhig (2005)’,2); specDraws = input.specification.model.draws; specK = input.specification.model.K; specM = input.specification.dim.M; specNSteps = input.specification.IRA.nsteps; spec_nBC = length(input.specification.IRA.BC); specAlphaDraws = input.specification.IRA.alpha_draws; specZ = input.specification.IRA.sr_horizon; %prepare finalresponses fr_current_length = zeros (spec_nBC,1); % fr_current_length is current length of finalresponses matrix and also the initial size of it fr_add_length = zeros (spec_nBC,1); % if current length of finalresponses is not enough add fr_add_length more slices last_slice = zeros (spec_nBC,1); for bc_i = 1:spec_nBC; end; fr_current_length (bc_i) = ceil(0.03*(specDraws*specAlphaDraws)); % set fr_current_length according to your block criteria. % the more restrictive a block criteria is, the smaller the % impulse responses satisfying the restriction, the smaller % the initial value of ft_current_length fr_add_length (bc_i) = ceil(0.01*(specDraws*specAlphaDraws)); last_slice (bc_i) = 0; % initialise finalresponses(bc_i).response with initial size finalresponses (bc_i).response (:,:,fr_current_length (bc_i)) = zeros(size(input.specification.IRA.var_index_sr,1), specNSteps); % /todo CHECK SCLE FOR SR!!! calculation.IRA.scale =... std(input.data(:,input.specification.IRA.var_index_sr(:,1)));
Page 1 and 2:
Measuring the Effects of a Shock to
Page 3 and 4:
2 Bayesian FAVARs with Agnostic Ide
Page 5 and 6:
Page 7 and 8:
Page 9 and 10:
Page 11 and 12:
10 Bayesian FAVARs with Agnostic Id
Page 13 and 14:
Page 15 and 16:
Page 17 and 18:
Page 19 and 20:
Page 21 and 22:
Page 23 and 24:
Page 25 and 26:
Page 27 and 28:
Page 29 and 30:
Page 31 and 32:
Page 33 and 34:
Page 35 and 36:
Page 37 and 38:
Page 39 and 40:
Page 41 and 42:
Page 43 and 44:
Page 45 and 46:
Page 47 and 48:
Page 49 and 50:
Page 51 and 52:
Page 53 and 54:
Page 55 and 56: 54 Bayesian FAVARs with Agnostic Id
Page 101 and 102: 100 Bayesian FAVARs with Agnostic I
Page 105: 104 Bayesian FAVARs with Agnostic I
show all

Measuring the Effects of a Shock to Monetary Policy - Humboldt ...

You also want an ePaper? Increase the reach of your titles

Delete template?

Save as template?