wfopen C:\bob.wf1

pageselect mens
smpl 2009:07 2023

' ARDL equation
equation mortgage_rate_ardl
mortgage_rate_ardl.ardl(deplags=12, reglags=12, ic=aic)  mortgage_rate  ger_3m_yield  log(qe)   mp_surprises   france_inflation

' ARDL Model
pageselect mens
string first="2012"
string last="2023"
smpl {first} {last}
model mortgage_rate_mod
mortgage_rate_mod.merge mortgage_rate_ardl
string deb_sim_date="2020m01"

' baseline simulations deterministic and stochastic
mortgage_rate_mod.solve(s=d)
mortgage_rate_mod.solve(s=b, r=2000)

'********************************** Scenario 1 (sc1) **********************************
mortgage_rate_mod.scenario(n, a="_sc1") "sc1"
mortgage_rate_mod.override ger_3m_yield

' Impluse sc1 (for exemple)
genr ger_3m_yield_sc1=ger_3m_yield
genr ger_3m_yield_sc1 = @recode(@date>=@dateval(deb_sim_date) and @date=<@dateadd(@dateval(deb_sim_date), 0, "mm") , ger_3m_yield_sc1 + 1, ger_3m_yield)

' Simulations deterministic and stochastic sc1
mortgage_rate_mod.solve(s=d)
mortgage_rate_mod.solve(s=b, r=1000, a=t)


'********************************** Scenario 2 (sc2) **********************************
mortgage_rate_mod.scenario(n, a="_sc2") "sc2"
mortgage_rate_mod.override qe

' Impluse sc2 (for exemple)
genr qe_sc2=qe
genr qe_sc2 = @recode(@date>=@dateval(deb_sim_date) and @date=<@dateadd(@dateval(deb_sim_date), 0, "mm") , qe_sc2 + 100, qe)

' Simulations deterministic and stochastic sc2
mortgage_rate_mod.solve(s=d)   'manual simulation below
mortgage_rate_mod.solve(s=b, r=1000, a=t)


'********************************** manual simulation Scenario 2 (sc2) **********************************
delete mortgage_rate_mod 
genr mortgage_rate_0_svg=mortgage_rate_0
genr qe_sc2=qe
genr qe_sc2 = @recode(@date>=@dateval(deb_sim_date) and @date=<@dateadd(@dateval(deb_sim_date), 1000, "mm") , qe_sc2 + 100, qe)
genr qe_svg=qe
genr qe=qe_sc2
model mortgage_rate_mod
mortgage_rate_mod.merge mortgage_rate_ardl
mortgage_rate_mod.solve(s=d)
genr mortgage_rate_deviation=(mortgage_rate_0-mortgage_rate_0_svg)/mortgage_rate_0_svg*100