*************************************************************************************************
*** SIMPLIFIED MODEL FROM Canova and Menz, 2011, "Does Money Matter in Shaping International Business Cycle?"
****Journal of Money, Credit and Banking  43 (4)
*************************************************************************************************

dec series y phi m r a e z mp
dec series epsa epse epsz epsmp
dec real h omega1 omega2 gamma1 gamma2 gamma3 beta psi rhor rhoy rhophi rhom

compute h       =    .71
compute omega1  =   2.00
compute omega2  =   0.52
compute gamma1  =   1.00
compute gamma2  =    .07
compute gamma3  =    .80
compute beta    =    .99
compute psi     =    .74
compute rhor    =   2.00
compute rhoy    =    .17
compute rhophi =    4.37
compute rhom    =   1.58
compute rhoa    =     .9
compute rhoe    =    .97
compute rhoz    =    .70
compute rhomp    =   .00


frml(identity) eqn1 = y - ((1/1+h)*y{-1} - (h/1+h)*y{1} + (omega1/1+h)*(r - phi{-1} - (a - a{-1})) - (omega2/1+h)*(m - e - m{-1} + e{-1}))
frml(identity) eqn2 = m - (gamma1*(y - h*y{1}) + gamma2*r - gamma3*e)
frml(identity) eqn3 = phi -((beta*phi{-1} - psi*((1/omega1)*(y-h*y{1}) - (omega2/omega1)*(m - e) - z)))
frml(identity) eqn4 = r - ((rhor*r{1} - (1-rhor)*rhoy*y{1} - (1-rhor)*rhophi*phi{1} - (1-rhor)+rhom*(m{1}-m{2}+phi{1}-phi{2})+epsmp))

*** EXOGENOUS SHOCKS *****

frml(identity) eqn5  = a  - (rhoa*a{1}   + epsa)
frml(identity) eqn6  = e  - (rhoe*e{1}   + epse)
frml(identity) eqn7  = z  - (rhoz*z{1}   + epsz)
frml(identity) eqn8  = mp - (rhomp*mp{1} + epsmp)
frml(identity) eqn9  = epsa
frml(identity) eqn10 = epse
frml(identity) eqn11 = epsz
frml(identity) eqn12 = epsmp

group dsge eqn1 eqn2 eqn3 eqn4 eqn5 eqn6 eqn7 eqn8 eqn9 eqn10 eqn11 eqn12
dsge(model=dsge,a=adlm,f=fdlm) y m phi r a e z mp epsa epse epsz epsmp
@dlmirf(page=byshock,a=adlm,f=fdlm,$
  shocks=||"Preference","Liquidity","Technology", "Monetary policy"||,$
  variables=||"Gap","Price Inflation","Money", "Interest rate"||)