These codes reproduce the results in:
Cúrdia, V., and M. Woodford (2010)
Credit Spreads and Monetary Policy
Journal of Money, Credit and Banking, 42 (s1), pp. 3-35.
These replication codes are available online at:
https://github.com/vcurdia/CW2010-ReplicationCodes
The codes were tested using Matlab (R) R2016b with the following toolboxes
- Symbolic Toolbox
- Optimization Toolbox
LaTeX is used by some tools to compile certain documents.
epstopdf, included in most LaTeX releases, is used by some tools.
Codes by Vasco Cúrdia:
Codes by Chris Sims:
All auxiliary codes included in this repository in subfolders.
IntModelFF.m
Solves the model for a given parameter specification. Code itself has a section
describing default parameter configuration (for those optional) and a list of
all possible optional arguments. Output is stored in mat files starting with
"Output_", concatenated with a specifier of the specific exercise name,
generated based on the options used. This mat file needs to be produced before
plotting and welfare evaluations can take place. As part of the output display
the welfare level for each policy is shown.
IntModelNoFF.m
Solves the model with heterogeneous agents, but no spread, for a given
parameter specification. Code itself has a section describing default parameter
configuration (for those optional) and a list of all possible optional
arguments. Output is stored in mat files starting with "Output_", concatenated
with a specifier of the specific exercise name, generated based on the options
used. This mat file needs to be produced before plotting and welfare
evaluations can take place. As part of the output display the welfare level for
each policy is shown.
IntModelRepHH.m
Solves the model with representative agent (no heterogenous agents and no
spread) for a given parameter specification. Code itself has a section
describing default parameter configuration (for those optional) and a list of
all possible optional arguments. Output is stored in mat files starting with
"Output_", concatenated with a specifier of the specific exercise name,
generated based on the options used. This mat file needs to be produced before
plotting and welfare evaluations can take place. As part of the output display
the welfare level for each policy is shown.
RunAllModels.m
Runs several times the previous codes (IntModelFF, IntModelNoFF,
IntModelRepHH) under alternative parameter configurations. The list of
specifications to run can be adjusted at the beginning of the code.
IRFPlotCompare.m
Function that plots impulse response functions (IRF) to all the shocks
considered (one shock per figure) comparing alternative models under a same
policy rule or alternative policies for the same model. The first option is
which model(s), specified as a cell array with the suffix of the models
desired (FF, NoFF, and/or RepHH). The second option sets the
alternative policies to compare (for a list of policies available, can
simple load the specification of interest and simply type IRF,
which will show all policies computed, where LQ stands for optimal
policy). Cannot set multiple policies and multiple models at the same time.
Choose either one model and multiple policies or one policy and multiple
models. Can also choose a single model and a single policy. Can choose
alternative composition of the panel (different variables to plot), whether
to make figure in black and white or color, whether to create eps and many
other alternatives. See first few sections of the code for all options.
For example, the following command will create a figure comparing outcomes for
the FFmodel with baseline calibration under optimal policy, flexible
targeting criterion, and the Taylor rule:
IRFPlotCompare({'FF'},{'LQ','FlexTarget','Taylor'})
ExerciseZLB.m
Similar to IntModelFF.m but accounting for the ZLB.
IRFPlotCompareZLB.m
Plots the IRF to different shocks for the model under alternative policies.
In this case the model is FF and the policies need to be specified inside
the function code.
TaylorSPAltCoef.m
Performs a grid search for the optimal response to the spread, in response
to a given shock, for a given model specification. Also plots welfare for
alternative parameter values. The grid can and should be tweaked to get more
or less precision.
TaylorSPAltCoefFcn.m
Function called by TaylorSPAltCoef.m.
TaylorBAltCoef.m
Performs a grid search for the optimal response to credit deviations from
steady state, in response to a given shock, for a given model specification.
Also plots welfare for alternative parameter values. The grid can and should
be tweaked to get more or less precision.
TaylorBAltCoefFcn.m
Function called by TaylorBAltCoef.m.