Hi, I have two problems while trying to replicate the baseline model in Sami Alpanda and Serdar Kabaca (2020) which studies the spillovers of FED’s QE policy. The problems may sound easy but I can’t find solutions from Dynare handbook and search engines.

The first is how to keep an endogenous variable at certain constant value for some periods. In this case short-term policy rate(R) is constrained to zero in the beginning 4 periods to resemble ZLB during QE after 2008. The code provided by authors didn’t cover this setting. I tried to define a new shock, like

shocks;

var *test* ; periods 1:4, 5:40 ;values 0,1;

end;

And I multiply *test* with R in Taylor rule. However the results show R remains at 0 for all 40 periods. I’m wondering why and R remains at 0 even when *test* is set to 1 for all 40 periods.

The second is the code use model (linear); command to begin their equations which means we don’t have to calculate the steady state. Is there anywhere or by any command I can get the steady state value of the variables? Because I want to set shocks at defined size, like a bond supply shock with the size of 4% amount of GDP to bond holdings on market.

Thanks so much in advance!