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Re: Cushman & Zha JME 1997
Posted: Thu Sep 07, 2023 1:19 pm
by 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.
Re: Cushman & Zha JME 1997
Posted: Sat Oct 21, 2023 10:21 pm
by 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.
Re: Cushman & Zha JME 1997
Posted: Mon Oct 23, 2023 7:26 am
by TomDoan
bjing wrote: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.
Re: Cushman & Zha JME 1997
Posted: Wed Oct 25, 2023 8:24 pm
by 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.
Re: Cushman & Zha JME 1997
Posted: Thu Oct 26, 2023 4:01 am
by 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