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

Bayesian FAVARs with Agnostic Identification 107
calculation.IRA.choleskyRespMat = zeros(specDraws,specK+specM,specK+specM,specNSteps);
% vector of initial impulse SHOCK: 25 basis points of FFR
% "CONTRACTIONARY MONETARY POLICY"
% /TODO : initial impulse vector to be premultiplied
calculation.IRA.initialImpulse = diag([zeros(1,specK+specM-1) .25]);
% customize calculation.Lam_collect
calculation.Lam_collect =...
calculation.Lam_collect(:,input.specification.IRA.var_index_sr(:,1),:);
% SELECT VARIABLES FOR IRA
calculation.Lam_collect = permute(calculation.Lam_collect,[2 3 1]);
%%%% this [X * F * draws]
alpha_tilde = zeros(specK+specM,1);
alpha = zeros(specK+specM,1);
%each draw of alpha has size (nvar,1) and norm=1
for i=1:specDraws
GLOG (sprintf(’Impulse-Responses for Draw: %d’,i),2);
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Begin Calculation of Cholesky Responses Matrix
Phi_v = squeeze(calculation.Phi_bar_collect(i,:,:,:));
Q_v = squeeze(calculation.QQ_bar_collect(i,:,:));
%
chol_Q = chol(Q_v);
norm_mat = diag(diag(chol_Q));
chol_Q = inv(norm_mat)*chol_Q; % SMAT
% chol_Q is upper triangular decomposition of omega;
% gives matrix of initial shocks with 1’s on the diagonal
chol_Q = calculation.IRA.initialImpulse*chol_Q;
calculation.IRA.choleskyRespMat(i,:,:,:) = impulsdtrf(Phi_v,chol_Q,specNSteps);
%%%% End Calculation of Cholesky Responses Matrix
for nalpha = 1:input.specification.IRA.alpha_draws;
%for each Cholesky, draw alpha vectors of norm unity
alpha_tilde=randn(specK+specM,1); % standard Gaussian draws
alpha=(1/norm(alpha_tilde)) * alpha_tilde;
candidateA = zeros(specK+specM,1,specNSteps);
for j=1:specNSteps; %creating structural impulse responses
candidateA(:,:,j) =...
squeeze(calculation.IRA.choleskyRespMat(i,:,:,j)) * alpha;
end; %structural responses combine Cholesky with alpha draws
candidateB = calculation.Lam_collect(:,:,i) * squeeze(candidateA);
for bc_i = 1:spec_nBC;
check_sign_restriction_result = 0;