Commit 423f4817 authored by Thomas Brand's avatar Thomas Brand

Add YDZE and PIZE as observables.

parent 60fc2fce
shocks;
%var TAUC_EXO; stderr 1;
%var TAUN_EXO; stderr 1;
%var TAUWH_EXO; stderr 1;
%var TAUWF_EXO; stderr 1;
%var TAULS_EXO; stderr 1;
%var A_EXO; stderr 1;
%var XIA_EXO; stderr 1;
%var MU_EXO; stderr 1;
%var ZETAI_EXO; stderr 1;
%var EPS_EXO; stderr 1;
%var EPSW_EXO; stderr 1;
%var R_EXO; stderr 1;
%var D_EXO; stderr 1;
%var XIB_EXO; stderr 1;
var TAUC_EXO; stderr 1;
var TAUN_EXO; stderr 1;
var TAUWH_EXO; stderr 1;
var TAUWF_EXO; stderr 1;
var TAULS_EXO; stderr 1;
var A_EXO; stderr 1;
var XIA_EXO; stderr 1;
var MU_EXO; stderr 1;
var ZETAI_EXO; stderr 1;
var EPS_EXO; stderr 1;
var EPSW_EXO; stderr 1;
var R_EXO; stderr 1;
var D_EXO; stderr 1;
var XIB_EXO; stderr 1;
var GC_EXO; stderr 1;
%var GI_EXO; stderr 1;
%var T_EXO; stderr 1;
%var OTHGOV_EXO; stderr 1;
%var SIGMA_EXO; stderr 1;
%var GAMMAN_EXO; stderr 1;
%var YW_EXO; stderr 1;
%var POIL_EXO; stderr 1;
var GI_EXO; stderr 1;
var T_EXO; stderr 1;
var OTHGOV_EXO; stderr 1;
var SIGMA_EXO; stderr 1;
var GAMMAN_EXO; stderr 1;
var YW_EXO; stderr 1;
var POIL_EXO; stderr 1;
var YDZE_EXO; stderr 1;
var PIZE_EXO; stderr 1;
end;
......@@ -144,4 +144,7 @@ TAUWH_OBS $TAUWH\_OBS$ (measure='level', long_name='Contribution rate to social
TAUWF_OBS $TAUWF\_OBS$ (measure='level', long_name='Contribution rate to social security, by employers')
YWORLD_OBS $YWORLD\_OBS$ (measure='%', long_name='Foreign demand')
POIL_OBS $OIL\_OBS$ (measure='%',long_name='Oil price')
YDZE_OBS $YDZE\_OBS$ (measure='%', long_name='Euro area GDP')
PIZE_OBS $PIZE\_OBS$ (measure='%', long_name='Euro area inflation')
;
......@@ -20,7 +20,7 @@ gammac, GAMMA_PDF, 2.5, 1;
gammai, GAMMA_PDF, 2.5, 1;
gammapi, NORMAL_PDF, 1.7, 0.1;
gammay, BETA_PDF, 0.5, 0.2;
gammab, BETA_PDF, 0.001, 0.01;
gammab, BETA_PDF, 0.001, 0.0005;
FBAR, BETA_PDF, 0.0075, 0.00375;
rhotauc, BETA_PDF, 0.75, 0.10;
......@@ -61,12 +61,14 @@ sigepsw, UNIFORM_PDF,,, 0, 1;
sigr, UNIFORM_PDF,,, 0, 1;
sigd, UNIFORM_PDF,,, 0, 1;
sigxib, UNIFORM_PDF,,, 0, 1;
siggc, UNIFORM_PDF,,, 0, 1;
siggi, UNIFORM_PDF,,, 0, 1;
sigt, UNIFORM_PDF,,, 0, 1;
sigothgov, UNIFORM_PDF,,, 0, 1;
siggc, UNIFORM_PDF,,, 0, 1;
siggi, UNIFORM_PDF,,, 0, 1;
sigt, UNIFORM_PDF,,, 0, 1;
sigothgov, UNIFORM_PDF,,, 0, 1;
siggamman, UNIFORM_PDF,,, 0, 1;
sigsigma, UNIFORM_PDF,,, 0, 1;
sigyw, UNIFORM_PDF,,, 0, 1;
sigpoil, UNIFORM_PDF,,, 0, 1;
sigydze, UNIFORM_PDF,,, 0, 1;
sigpize, UNIFORM_PDF,,, 0, 1;
stderr NETWORTH_OBS, UNIFORM_PDF,,, 0, 1;
......@@ -21,4 +21,6 @@ GAMMAN_EXO $\sigma_{\gamma n}$ (long_name='Equity', measure='shock')
SIGMA_EXO $\sigma_{\sigma}$ (long_name='Financial Risk', measure='shock')
YW_EXO $\sigma_{yw}$ (long_name='Foreign demand', measure='shock')
POIL_EXO $\sigma_{oil}$ (long_name='Oil price', measure='shock')
YDZE_EXO $\sigma_{ydze}$ (long_name='Euro area GDP', measure='shock')
PIZE_EXO $\sigma_{\pi ze}$ (long_name='Euro area inflation', measure='shock')
;
omega,0.686049 ;
omega,0.286049 ;
iota,0.498892 ;
epsk,0.811827 ;
epsg,0.172664 ;
epsg,0.8 ;
h,0.568159 ;
thetaw,0.774568 ;
thetap,0.787178 ;
......@@ -67,3 +67,5 @@ siggamman,0.007366 ;
sigsigma,0.035105 ;
sigyw,0.017308 ;
sigpoil,0.154146 ;
sigydze, 0.154146 ;
sigpize, 0.154146 ;
// Load data in levels.
dataFRlevels = dseries('../../data/dataFR_forecast.csv');
dataFRlevels = dseries('../../data/dataFR.csv');
// Remove the first observations (same starting date as in CMR) and rename the dseries object.
dataFR=dataFRlevels(1995Q1:dataFRlevels.dates(end));
......@@ -29,6 +29,8 @@ dataFR = dataFR.rename('loans_nfc_rpc', 'CREDIT_OBS');
dataFR = dataFR.rename('networth_rpc', 'NETWORTH_OBS');
dataFR = dataFR.rename('world_demand', 'YWORLD_OBS');
dataFR = dataFR.rename('oil_prices', 'POIL_OBS');
dataFR = dataFR.rename('eagdp_rpc', 'YDZE_OBS');
dataFR = dataFR.rename('eadefgdp', 'PIZE_OBS');
// Set subsample used to demean the dataFR
range = 1995Q2:2016Q4;
......
......@@ -261,6 +261,8 @@ CREDITSPREAD_OBS= 1;
NETWORTH_OBS = 1;
YWORLD_OBS = 1;
POIL_OBS = 1;
YDZE_OBS = 1;
PIZE_OBS = 1;
TAUC_OBS=TAUC;
TAUN_OBS=TAUN;
TAUWH_OBS=TAUWH;
......
......@@ -135,8 +135,8 @@ GAMMAPRI=gammai*(XIM^(-1/gammai)*(IM/I)/(IM(-1)/I(-1))-1)*(XIM^(-1/gammai)*1/I/(
PIRZE=PIRZE(-1)^rhopirze*PIBAR^(1-rhopirze)*(PI/PIBAR)^rhopi;
YDRZE=YDRZE(-1)^rhoydrze*steady_state(YDRZE)^(1-rhoydrze)*(YD/steady_state(YD))^rhoyd;
PIZE=PI^shfr*PIRZE^(1-shfr);
YDZE=YD^shfr*YDRZE^(1-shfr);
PIZE=PI^shfr*PIRZE^(1-shfr)*exp(sigpize*PIZE_EXO);
YDZE=YD^shfr*YDRZE^(1-shfr)*exp(sigydze*YDZE_EXO);
% Taylor rule
R/steady_state(R)=(R(-1)/steady_state(R))^rhor*((PIZE/PIBAR)^(gammapi)*(YDZE/YDZE(-1))^(gammay))^(1-rhor)*exp(XIR);
......@@ -278,3 +278,5 @@ TAUWH_OBS=TAUWH;
TAUWF_OBS=TAUWF;
YWORLD_OBS=YW/YW(-1);
POIL_OBS=POILOPEX/POILOPEX(-1);
PIZE_OBS=PIZE/PIBAR;
YDZE_OBS=YDZE/YDZE(-1);
......@@ -123,4 +123,6 @@ siggamman $\sigma_{\gamma n}$ (long_name='Standard deviation, equity shock', mea
sigsigma $\sigma_{\sigma}$ (long_name='Standard deviation, financial risk shock', measure='shock')
sigyw $\sigma_{yw}$ (long_name='Standard deviation, foreign demand shock', measure='shock')
sigpoil $\sigma_{oil}$ (long_name='Standard deviation, oil price shock', measure='shock')
sigydze $\sigma_{ydze}$ (long_name='Standard deviation, Euro area GDP shock', measure='shock')
sigpize $\sigma_{\pi ze}$ (long_name='Standard deviation, Euro area inflation shock', measure='shock')
;
......@@ -71,3 +71,5 @@ siggamman = 0.007366;
sigsigma = 0.035105;
sigyw = 0.017308;
sigpoil = 0.154146;
sigydze = 0.154146;
sigpize = 0.154146;
......@@ -20,3 +20,5 @@ TAUWH_OBS
TAUWF_OBS
YWORLD_OBS
POIL_OBS
PIZE_OBS
YDZE_OBS
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