US_CCF12 replication

literature:Vasco Curdia & Andrea Ferrero & Han Chen, 2012. "The Macroeconomic Effects of Large-Scale Asset Purchase Programs," 2012 Meeting Papers 372, Society for Economic Dynamics

last change: 2018-03-04

information on the replication process:

The results in CCF12 could not be fully replicated using the equations and data provided in the original paper. The authors needed to be contacted to get the equations used for coding. Differences between these equations and those shown in the paper are present for the long-term policy rule, the term premium equation and the transfers feedback rule. The parameters for price and wage markups are not gieven and set to be equal 0.2. Also Government spending in the steady state is not given and set to 0.2. 

Furthermore, the model features a unit root (affirmed by the authors) which creates persistent deviations from steady state in several variables such as output. 

In the original paper, mainly deterministic experiments are performed. The results shown are dependent on the forecasting horizon chosen in such a simulation.