**Simulating dynamic general
equilibrium models**

Example
files

LAST UPDATED: Monday, 24 January, 2005

In order for you to learn how
to practice with dynamic stochastic general equilibrium models, I suggest you
learn to use the toolkit by Harald Uhlig, described on his webpage.

In order to understand how
the toolkit works and, above all, how rational expectations models work, you
have to read Uhlig (1997) A Toolkit
for Analyzing Nonlinear Dynamic Stochastic Models Easily''
. Uhligs approach is based upon the method of the undetermined coefficients.

I suggest you to take the
following steps:

1)

2)
Create a
directory in your computer, say C:\UHLIG

3)
Download the Harald Uhligs
toolkit files (Uhligs files are also available on his webpage)

4)
Unzip them in
C:\UHLIG

5)
Open

6)
From

7)
Create another
directory in your computer, say C:\

8)
Repeat step 6,
adding C:\MATTEO

9)
Copy in that
directory the files containing the programs necessary to run the simulations

Below are the programs that
need to go into C:\

To plot the impulse responses
of all the models below:

(you have to edit this file
if you like to change color of the impulse responses)

0) Real business cycle model
with no capital depreciation (and exogenous labor)

rbcsimple.m (which calls the rbcsimple_go.m
file, which you will have to download too)

1) Sidrauski money in utility
function model, based on functional forms in Walsh, first edition

sidrauski.m
(which calls the Sidrauski_go.m
file, which you will have to download too)

New version added October
2003, based on functional forms given in Walsh, Monetary Theory and Policy,
MIT Press, second edition

sidrauski2.m (which calls the Sidrauski2_go.m
file, which you will have to download too)

For details, see also my graduate
monetary theory lecture notes (Chapter 3)

2) Cash in advance model

cia.m (which calls the cia_go.m
file)

For details, see also my graduate
Monetary Theory lecture notes (Chapter 3)

3) Optimal interest rate
rules model by Giannoni and Woodford (2002)

giannoni.m
(which calls the giannoni_go.m
file)

For details, see also my graduate
Monetary Theory lecture notes (Chapter 6)

4) Leeper-Woodford model of
interaction between monetary and fiscal policy

leeper.m (which
calls the leeper_go.m
file)

For details, see also my graduate
Monetary Theory lecture notes (Chapter 7)

5) Credit cycle model based
on my EC751 lecture notes (simplified version of Kiyotaki and Moore, JPE, 1997)

kiyotaki.m
(which calls the kiyotaki_go.m
file)

For details, see also my EC751
Graduate Macroeconomics lecture notes (Ch 3)

6) 3-equations, reduced form
of the DNK (Dynamic New-keynesian) model based as described in McCallum AER
paper (2001)_{}

mc.m (which calls
the mc_go.m
file)

Slightly simpler version with
3 shocks only and no y(t-1) in IS curve (mc3.m and mc3_go.m)

7) Dynamic-new-Keynesian
model with capital and habit formation and with productivity, monetary and
cost-push shocks

dnwk.m
which calls

- either
dnwk_go.m:
simplest version of the model, like in my EC751:
graduate Macroeconomics lecture notes (Ch 4)

- or dnwk_p_go.m:
version of the model with ad-hoc lags, with inflation and output chosen one
period in advance, as in Boivin-Giannoni, Has

8) Dynamic new-Keynesian
model without capital, inflation chosen ONE period in advance and output chosen
TWO periods in advance (like in Rotemberg-Woodford 1997 NBER Macro Annual
paper)

dnlag.m (which
calls the dnlag_go.m
file)

9) Mankiw-Reis sticky
information model (QJE, 2002)

mankiwreis.m
(which calls the mankiwreis_go.m
file)

10) RBC (Real business cycle)
model with capital adjustment costs and to calculate the asset pricing
statistics as in Martin Lettau:
Inspecting The Mechanism:
Closed-Form Solutions For Asset Prices In Real Business Cycle Models, Economic
Journal, 2003

rbcfull.m
(which calls rbcfull_go.m
file and the rbcfull_sim.m
file)

This programs come as they
are, and I accept no responsibility if your paper is rejected, your
representative agent kills you, your country enters a
recession because of these files.

However, if you happen to use
these files, find any bugs or want to give me comments and suggestions you can
email me at iacoviel@bc.edu, thanks!