CSOEM Replication

Replication and extension of the models in:

Schmitt-Grohé, S. and Uribe, M. (2003),
Closing Small Open Economy Models,
Journal of International Economics, 61, 163–185. https://www.sciencedirect.com/science/article/abs/pii/S0022199602000569

The project reproduces impulse response functions and second moments for the small open economy models presented in Schmitt-Grohé and Uribe (2003), using Julia.

The implementation of Models 1–4 is based on the Dynare replication code by Johannes Pfeifer: https://github.com/JohannesPfeifer/DSGE_mod/tree/master/SGU_2003

In addition, the project extends the analysis of Model 5 by implementing a nonlinear perfect-foresight solver in Julia and comparing alternative terminal conditions for foreign debt dynamics.

Report

The report of the replication project is available online at: https://gianluca-romeo.github.io/CSOEM_Replication/

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Repository Structure

CSOEM_Replication/
│
├── src/
│   ├── CSOEM_Replication.jl   # Main project module
│   ├── models.jl              # SGU Models 1–4 specifications
│   ├── irf_tools.jl           # IRF generation and plotting
│   ├── moment_tools.jl        # Computation of second moments
│   │
│   ├── M5_calibration.jl      # Calibration for Model 5
│   ├── M5_steadystate.jl      # Steady-state computation for Model 5
│   ├── M5_solver.jl           # Nonlinear perfect-foresight solver
│   └── M5_irfs.jl             # IRFs and terminal-condition comparison
│
├── test/
│   ├── runtests.jl            # Basic project tests
│   └── output/                # Test-generated outputs
│
├── output/
│   ├── figures/               # Generated figures
│   └── tables/                # Generated tables
│
├── run.jl                     # Main execution script
├── Project.toml               # Project dependencies
├── Manifest.toml              # Reproducible package versions
├── report.qmd                 # Online report
├── figures/                   # Folder with images for the report
│
└── README.md

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Installation

Open Julia in the project directory and run:

using Pkg
Pkg.activate(".")
Pkg.instantiate()

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Run

From the terminal, inside the project directory:

julia run.jl

The run.jl script allows the user to choose which models to execute.

Models 1–4 can be activated through the active_models dictionary:

active_models = Dict(
    "M1"  => 1,
    "M1a" => 1,
    "M2"  => 1,
    "M3"  => 1,
    "M4"  => 1
)

A value equal to 1 activates the model, while 0 skips it.

The perfect foresight extension for Model 5 can be activated separately through:

run_model5 = 1

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Tests

Open Julia in the project directory and run:

using Pkg
Pkg.activate(".")
Pkg.test()

The test suite checks:

• Models 1–4 functionality and IRFs;
• moment table generation;
• Model 5 steady state and perfect-foresight solver output.

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Authors

• Gianluca Romeo
• Matteo Cagno