*
* Model from Lubik, Thomas A. & Schorfheide, Frank, 2007. "Do central
* banks respond to exchange rate movements? A structural investigation,"
* Journal of Monetary Economics, vol. 54(4), pages 1069-1087, May 2007
*
dec series y phi r q exch A phistar ystar
dec series er eq eystar ephistar ez
dec real beta tau k alpha rhor rhoq rhoystar rhophistar rhoz gamma1 gamma2 gamma3
*
compute beta=0.96
compute tau=0.5
compute k=0.5
compute alpha=0.10
compute rhor=0.5
compute rhoq=0.4
compute rhoystar=0.9
compute rhophistar=0.8
compute rhoz=0.2
compute gamma1=1.5
compute gamma2=0.25
compute gamma3=0.25
frml(identity) eqn1 = y - (y{-1}-(tau+alpha*(2-alpha)*(1-tau))*(r-phi{-1})-rhoz*(A-A{1})-$
   alpha*(tau+alpha*(2-alpha)*(1-tau))*q{-1}+alpha*(2-alpha)*((1-tau)/tau)*(ystar))
frml(identity) eqn2 = phi - (beta*phi{-1}+alpha*beta*q{-1}-(alpha*q)+(k/(tau+alpha*(2-alpha)*(1-tau)))*$
     (y+alpha*(2-alpha)*((1-tau)/tau)*ystar))
frml(identity) eqn3 = r - (rhor*r{1}+(1-rhor)*(gamma1*phi+gamma2*y+gamma3*exch)+er)
frml(identity) eqn4 = exch - (phi-(1-alpha)*q-phistar)
frml(identity) eqn5 = q - (rhoq*q{1}+eq)
frml(identity) eqn6 = A - (A{1}+ez)
frml(identity) eqn7 = phistar - (rhophistar*phistar{1}+ephistar)
frml(identity) eqn8 = ystar - (rhoystar*ystar{1}+eystar)
frml           eqn9 = er
frml           eqn10 = eq
frml           eqn11 = eystar
frml           eqn12 = ephistar
frml           eqn13 = ez
group dsge eqn1 eqn2 eqn3 eqn4 eqn5 eqn6 eqn7 eqn8 eqn9 eqn10 eqn11 eqn12 eqn13
dsge(model=dsge,a=adlm,f=fdlm,z=zdlm) y phi r q exch A phistar ystar er eq eystar ephistar ez
@dlmirf(a=adlm,f=fdlm,page=byshock,$
  shocks=||"R","Q","YSTAR","PHISTAR","Z"||,$
  variables=||"Y","PHI","R","Q","EXCH","A"||)