Sudo-Tanaka-2021-JMCB_ReplicationCodes

This is the replication codes for Sudo and Tanaka (2021), "Quantifying Stock and Flow Effects of QE," Journal of Money Credit and Banking. The codes are identical to those available on the journal website.

A) Requirements

• MATLAB
• DYNARE
• 00_tool (contained in this repository)

• Please add 00_tools to your MATLAB search path, in advance of running the replication codes.

• We used MATLAB 2016a and DYNARE 4.4.3.

• Older versions of DYNARE (including v4.4.3) are available on the official webpage of DYNARE ( https://www.dynare.org/release/ ).

B) Description of Replication Codes

B-0) Overview

[../00_tools] This directory contains MATLAB functions which are required to compute and plot impulse response functions.

[../01_Baseline] This directory contains MATLAB and DYNARE codes for our "baseline" model. The codes in this directory are required to replicate the following tables and figures. Table 3, Table 4, Figure 4, Figure 5, Figure 6(1)

[../02_Alternative1] This directory contains MATLAB and DYNARE codes for our "Alternative 1" model. The codes in this directory are required to replicate the following table and figures. Table 4, Figure 6(2), Figure 7

[../03_Alternative2] This directory contains MATLAB and DYNARE codes for our "Alternative 2" model. The codes in this directory are required to replicate the following table and figures. Table 4, Figure 6(3), Figure 7

[../04_Alternative3] This directory contains MATLAB and DYNARE codes for our "Alternative 3" model. The codes in this directory are required to replicate the following table and figures. Table 4, Figure 6(4), Figure 7

B-1) Replicate Table 3

1. Run Step1_estimation.m in 01_Baseline.

2. Open Baseline_estimation_results.mat, which DYNARE automatically will make in the estimation procedure.

   oo_.posterior_mean.parameters: Posterior means of the estimated parameters

   oo_.posterior_hpdsup.parameters Upper bounds of the posterior 90% intervals

   oo_.posterior_hpdinf.parameters Lower bounds of the posterior 90% intervals

B-2) Replicate Figure 4

[IRFs with commitment to ZLB, depicted as thick lines in Figure 4]

1. Run Step2_IRF_with_commitment.m in 01_Baseline.

2. IRFs will appear in a new graph window.

[IRFs without commitment to ZLB, depicted as thin lines in Figure 4]

1. Run Step3_IRF_without_commitment.m in 01_Baseline.

2. IRFs will appear in a new graph window.

B-3) Replicate Figure 5

Note: This step takes much time (approximately one hour), because DYNARE is iteratively implemented using 1000 sets of drawn parameters.

1. Run Step4_historical_decomp.m in 01_Baseline.

2. The results will be stored in Historical_Decomposition_Baseline.xlsx.

B-4) Table 4

1. For each alternative model, run Step1_estimation.m in the corresponding directory.

2. Open AlternativeX_estimation_results.mat (X = 1, 2, 3)

   oo_.posterior_mean.parameters: Posterior means of the estimated parameters

   oo_.posterior_hpdsup.parameters: Upper bounds of the posterior 90% intervals

   oo_.posterior_hpdinf.parameters: Lower bounds of the posterior 90% intervals

B-5) Figure 6

1. For each alternative model, run Step2_IRF_without_commitment.m in the corresponding directory.

2. IRFs will appear in a new graph window.

B-6) Figure 7

Note: This step takes much time (approximately one hour), because DYNARE is iteratively implemented using 1000 sets of drawn parameters.

1. For each alternative model, run Step3_historical_decomp.m in the corresponding directory.

2. The results will be stored in Historical_Decomposition_AltX.xlsx. (X = 1, 2, 3)

C) References

Adjemian, S., H. Bastani, M. Juillard, F. Karame, J. Maih, F. Mihoubi, W. Mutschler, G. Perendia, J. Pfeifer, M. Ratto and S. Villemot, "Dynare: Reference Manual, Version 4," 2011, CEPREMAP.

• See the manual for the software requirements, installation, and usage of DYNARE.

Chen, H., V. Curdia, and A. Ferrero, "Technical Appendix to the Macroeconomic Effects of Large-Scale Asset Purchase Programmes," 2012, Wiley. https://onlinelibrary.wiley.com/action/downloadSupplement?doi=10.1111%2Fj.1468-0297.2012.02549.x&file=ecoj2549_sm_Appendix.pdf

• Our simulation method used in Step B-2 and B-5 are based on their Appendix F.2.

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Copyright 2018-2020 by Nao Sudo and Masaki Tanaka (Bank of Japan)