Monetary Policy Transmission

[istiak]

Hi Tom
It would be a great help if I can get RATS code to replicate the following paper.

Koop, G., R. Gonzalez, and R. Strachan. "On the evolution of the monetary policy transmission mechanism." Journal of Economic Dynamics & Control 33 (2009), 997–1017.

I hereby attach the paper (in PDF format), data (in excel format) and the MATLAB codes. I think the MATLAB codes do not work properly.

Thank you so much.

KI

[TomDoan]

Not that I would ever use it other than for guidance, but what do you think is wrong with the Matlab code?

[istiak]

Hi Tom
Thanks for your response. The main program "TVP_VAR_GCK" works but no output is shown. Moreover, the impulse.m file shows errors when I run it. So, no impulse response function is achieved.

[TomDoan]

It does seem rather odd that the TVP_VAR_GCK.m ends after computing the Gibbs averages and goes no farther. It seems like there was a "wrapper" program that didn't make it into their zip file.

Have you look at Todd Clark's code: http://www.estima.com/forum/viewtopic.php?f=5&t=781