replication-study-financial-macro

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replication-study-financial-macro

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Replication and update of the analysis of the paper "Macroeconomic Effects of Financial Shocks" (AER 2012, 102(1): pp. 238-271) using MATLAB and Dynare.

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- - __init__.py
  - ansiterm.py
  - Build.py
  - ConfigSet.py
  - Configure.py
  - Context.py
  - Errors.py
  - fixpy2.py
  - Logs.py
  - Node.py
  - Options.py
  - Runner.py
  - Scripting.py
  - Task.py
  - TaskGen.py
  - Utils.py
- .gitignore
- - baseline_simulation.m
  - shock_construction.m
  - wscript
- - data_preparation.m
  - simulation_data_preparation.m
  - wscript
- - analysis.rst
  - conf.py
  - data_management.rst
  - final.rst
  - index.rst
  - introduction.rst
  - library.rst
  - original_data.rst
  - paper.rst
  - references.rst
  - wscript
- - autocorrelogram.m
  - replication_figure_1.m
  - replication_figure_2.m
  - replication_figure_5.m
  - replication_table_3.m
  - table_matrix_a.m
  - wscript
- - wscript
- - AWHI.xlsx
  - DataSet.xlsx
  - FRB_Z1.xlsx
  - NIPA_Hist_from_1969.xlsx
  - NIPA_Hist_until_1969.xlsx
  - recessiondates.mat
- - ecta.bst
  - refs.bib
  - replication_report.tex
  - section_appendix.tex
  - section_baseline_model.tex
  - section_conclusion.tex
  - section_data.tex
  - section_extended_model.tex
  - section_introduction.tex
  - titlepage.tex
  - wscript
- wscript
.gitignore
conda_versions.txt
LICENSE.txt
README.md
requirements.txt
set-env.bat
set-env.sh
waf.py
wscript

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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](https://github.com/JanWickerath).

Building the Project
--------------------

The project is written in Matlab and Dynare. It is built using [Waf](https://code.google.com/p/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:

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](http://hmgaudecker.github.io/econ-python-environment/paths.html).

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](http://hmgaudecker.github.io/econ-python-environment/).

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

replication-study-financial-macro

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