Material corresponding to ‘Risk Shocks’, by Christiano, Motto and Rostagno, 2014, American Economic Review, 104(1): 27-65

 

Manuscript.

 

Technical Appendix.

 

Code for replicating the material in the manuscript prepared by Ben Johannsen.

Instructions for using the code to reproduce the tables and figures are provided in the cmr-ref.pdf manual, located in the doc subdirectory.

In each case, running the code for a particular figure or table requires executing the Dynare file, cmr.mod, out of the relevant directory.

To run the code, you must be use Dynare version 4.3.2 and you must type addpath ../ at the MATLAB command prompt.

The code has been tested on MATLAB version 8.0.0.783 (R2012b).

 

 

Background information on the standard debt contract in the model:

A rigorous discussion of the standard debt contract can be found in many places, including the 1999 Handbook Chapter of Bernanke, Gertler and Gilchrist.

Such a discussion also appears in these lecture notes. The code needed to replicate the computations in the notes is here.