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Theoretical and Applied Economics
No. 1 / 2015 (602), Spring

Beyond the implementation of a dynamic stochastic general equilibrium model

Oana Simona HUDEA (CARAMAN)
University of Bucharest, Romania

Abstract. The present paper is structured as a brief guide focused on the rendering of the output generated by Dynare, a specific tool of Matlab, when implementing a Dynamic Stochastic General Equilibrium model for impulse-response function analysis purpose. After a concise description of a standard Real Business Cycle model, the steady state of variables, the eigenvalues, the matrix of covariance of exogenous shocks, the policy and transition functions, the theoretical moments, the variance decomposition, the matrix of correlations and the coefficient of autocorrelation of simulated variables, as well as the graphical representation of the impulse-response functions are displayed and construed accordingly.

Keywords: Dynamic Stochastic General Equilibrium model, Real Business Cycle model, impulse-response function, structural shocks, Dynare code.

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The Economicity. The Epistemic Landscape, Marin Dinu, 2016

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