Replication of Jermann and Quadrini (2012)

This project replicates and updates the analysis of the paper "Macroeconomic Effects of Financial Shocks" (AER 2012, 102(1): pp. 238-271) by Jermann and Quadrini developed in close collaboration with Jan Wickerath.

Building the Project

The project is written in Matlab and Dynare. It is built using Waf. After a successful build, the full documentation of the project can be found in:

	project_documentation/index.html 

To run Waf and execute the files, you need to:

1. Save the project on your computer (clone the repository or save the zip file).

2. Install Miniconda or Anaconda in case they are not already installed and make sure that a LaTeX distribution can be found on your path.

3. Make sure a Matlab executable is added to your path. Under Mac OS X, this can be achieved by opening the bash profile in a shell and adding for example:

    # Matlab directory
    export PATH="${PATH}:/Applications/MATLAB_R2014b.app/bin"
   

   Details on how to open the bash profile in a shell and general instructions for adding programmes permanently to your path for Windows, Mac and Linux can be found here.

4. Make sure that Dynare is added to your Matlab search path. To do this under Mac OS, open Matlab and use File->Set Path... to add

     /Applications/Dynare/<<version>>/matlab/
   

5. Navigate to the project folder in a shell and execute the following commands to create a conda environment (named as the current directory) with a minimal Python setup.

   (Mac, Linux)

    source set-env.sh
   

   (Windows)

    set-env.bat
   

   Details for setting up a Python environment can be found here.

6. Execute the following commands in the shell:

    python waf.py configure
    python waf.py build
    python waf.py install
   

   The execution of the first command will fail if any of the programmes required to run the project is not installed.

Note

In case you just want to quickly execute the whole project, apply the following changes to greatly reduce the runtime:

src/analysis/dynare_files/extended_model.mod (line 329): mh_replic=2000

src/analysis/dynare_files/run_extended_model.m (line 21): options_.trace_plot_ma = 300000