Cushman & Zha JME 1997

[TomDoan]

First of all, what are your "R" variables (lnr and lnrus)?

What are your money demand and money supply equations supposed to be? Have you read the Cushman and Zha paper? Your equations bear no resemblance to theirs.

[bjing]

Hi, I'm looking at the code and was wondering what I should do if I want to implement a negative interest rate shock. Thanks.

[TomDoan]

Hi, I'm looking at the code and was wondering what I should do if I want to implement a negative interest rate shock. Thanks.

The model in the paper has a "money demand" shock and a "money supply shock", not a money shock and an interest rate shock. You would need to change out those two equations to do something that would be more reasonably interpreted as an interest rate shock.

[bjing]

Sorry for the confusing description. I just want to construct a negative initial shock.

Code: Select all

compute [vector] canmoney=%xcol(faclast,3)

The above code gives positive change, and I want to make it negative.

[TomDoan]

This combination is making shock #3 (money supply) have a negative impact on money (variable 2).

Code: Select all

   compute [vector] canmoney=%xcol(faclast,3)
   compute canmoney=%if(canmoney(2)>0.0,-1.0,1.0)*canmoney

If you want the money supply shock to have a negative effect on interest rates, you would need to change the (2) in the second line to (3) (and reword the variables):

Code: Select all

   compute [vector] canmoneyrate=%xcol(faclast,3)
   compute canmoneyrate=%if(canmoneyrate(3)>0.0,-1.0,1.0)*canmoneyrate