Commit 5ea7aec9 authored by Thomas Brand's avatar Thomas Brand

Add parameters in fiscal rules specific to each instrument.

parent 423f4817
......@@ -7,7 +7,7 @@ ZETAIBAR=1;
GAMMANBAR=0.985;
ng=0.75;
vartheta=2;
shfr=0.2;
shfr=0.193;
gammabw=0.001;
phi2=0.1;
tauo=0;
......
......@@ -26,10 +26,35 @@ FBAR, BETA_PDF, 0.0075, 0.00375;
rhotauc, BETA_PDF, 0.75, 0.10;
rhotaun, BETA_PDF, 0.75, 0.10;
rhotauwh, BETA_PDF, 0.75, 0.10;
rhotauls, BETA_PDF, 0.75, 0.10;
rhogc, BETA_PDF, 0.75, 0.10;
rhogi, BETA_PDF, 0.75, 0.10;
rhot, BETA_PDF, 0.75, 0.10;
rhoothgov, BETA_PDF, 0.75, 0.10;
rhotauwf, BETA_PDF, 0.75, 0.10;
rhogcy, BETA_PDF, 0.20, 0.10;
rhogiy, BETA_PDF, 0.20, 0.10;
rhoothgovy, BETA_PDF, 0.20, 0.10;
rhoty, BETA_PDF, 0.20, 0.10;
rhotaucy, BETA_PDF, 0.20, 0.10;
rhotauny, BETA_PDF, 0.20, 0.10;
rhotauwfy, BETA_PDF, 0.20, 0.10;
rhotauwhy, BETA_PDF, 0.20, 0.10;
rhotaulsy, BETA_PDF, 0.20, 0.10;
rhogcb, BETA_PDF, 0.02, 0.005;
rhogib, BETA_PDF, 0.02, 0.005;
rhoothgovb, BETA_PDF, 0.02, 0.005;
rhotb, BETA_PDF, 0.02, 0.005;
rhotaucb, BETA_PDF, 0.02, 0.005;
rhotaunb, BETA_PDF, 0.02, 0.005;
rhotauwfb, BETA_PDF, 0.02, 0.005;
rhotauwhb, BETA_PDF, 0.02, 0.005;
rhotaulsb, BETA_PDF, 0.02, 0.005;
rhoyw, BETA_PDF, 0.75, 0.10;
rhopoil, BETA_PDF, 0.75, 0.10;
rhotauls, BETA_PDF, 0.75, 0.10;
rhoa, BETA_PDF, 0.75, 0.10;
rhoxia, BETA_PDF, 0.75, 0.10;
rhomu, BETA_PDF, 0.75, 0.10;
......@@ -40,12 +65,6 @@ rhor, BETA_PDF, 0.75, 0.10;
rhod, BETA_PDF, 0.75, 0.10;
rhoxib, BETA_PDF, 0.75, 0.10;
rhosigma, BETA_PDF, 0.75, 0.10;
rhogc, BETA_PDF, 0.75, 0.10;
rhogi, BETA_PDF, 0.75, 0.10;
rhot, BETA_PDF, 0.75, 0.10;
rhoothgov, BETA_PDF, 0.75, 0.10;
rhogovy, BETA_PDF, 0.20, 0.10;
rhogovb, BETA_PDF, 0.02, 0.005;
sigtauc, UNIFORM_PDF,,, 0, 1;
sigtaun, UNIFORM_PDF,,, 0, 1;
......
......@@ -22,13 +22,37 @@ gammapi,1.732484 ;
gammay,0.895491 ;
gammab,0.001 ;
FBAR,0.009991 ;
rhotauc,0.926178 ;
rhotaun,0.918729 ;
rhotauwh,0.966294 ;
rhotauwf,0.967888 ;
rhotauls,0.625948 ;
rhogc,0.937163 ;
rhogi,0.961622 ;
rhot,0.898516 ;
rhoothgov,0.823865 ;
rhotaucb,0.011807 ;
rhotaunb,0.011807 ;
rhotauwhb,0.011807 ;
rhotauwfb,0.011807 ;
rhotaulsb,0.011807 ;
rhogcb,0.011807 ;
rhogib,0.011807 ;
rhoothgovb,0.011807 ;
rhotb,0.011807 ;
rhotaucy,0.0926178 ;
rhotauny,0.0918729 ;
rhotauwhy,0.0966294 ;
rhotauwfy,0.0967888 ;
rhotaulsy,0.0625948 ;
rhogcy,0.154495 ;
rhogiy,0.154495 ;
rhoothgovy,0.154495 ;
rhoty,0.154495 ;
rhoyw,0.942149 ;
rhopoil,0.927868 ;
rhotauls,0.625948 ;
rhoa,0.861692 ;
rhoxia,0.987510 ;
rhomu,0.826122 ;
......@@ -39,12 +63,6 @@ rhor,0.906523 ;
rhod,0.559434 ;
rhoxib,0.918113 ;
rhosigma,0.960773 ;
rhogc,0.937163 ;
rhogi,0.961622 ;
rhot,0.898516 ;
rhoothgov,0.823865 ;
rhogovy,0.154495 ;
rhogovb,0.011807 ;
sigtauc,0.010030 ;
sigtaun,0.019346 ;
sigtauwh,0.007444 ;
......
......@@ -237,16 +237,16 @@ D=D(-1)^rhod*exp(sigd*D_EXO);
%domestic risk premium
XIB=XIB(-1)^rhoxib*exp(sigxib*XIB_EXO);
%fiscal shocks
GC/steady_state(GC)=(GC(-1)/steady_state(GC))^rhogc*(B(-1)/BBAR)^(-rhogovb)*(YD/YD(-1))^(-rhogovy)*exp(siggc*GC_EXO);
OTHGOV/steady_state(OTHGOV)=(OTHGOV(-1)/steady_state(OTHGOV))^rhoothgov*(B(-1)/BBAR)^(-rhogovb)*(YD/YD(-1))^(-rhogovy)*exp(sigothgov*OTHGOV_EXO);
GI/steady_state(GI)=(GI(-1)/steady_state(GI))^rhogi*(B(-1)/BBAR)^(-rhogovb)*(YD/YD(-1))^(-rhogovy)*exp(siggi*GI_EXO);
T/steady_state(T)=(T(-1)/steady_state(T))^rhot*(B(-1)/BBAR)^(-rhogovb)*(YD/YD(-1))^(-rhogovy)*exp(sigt*T_EXO);
GC/steady_state(GC)=(GC(-1)/steady_state(GC))^rhogc*(B(-1)/BBAR)^(-rhogcb)*(YD/YD(-1))^(-rhogcy)*exp(siggc*GC_EXO);
OTHGOV/steady_state(OTHGOV)=(OTHGOV(-1)/steady_state(OTHGOV))^rhoothgov*(B(-1)/BBAR)^(-rhoothgovb)*(YD/YD(-1))^(-rhoothgovy)*exp(sigothgov*OTHGOV_EXO);
GI/steady_state(GI)=(GI(-1)/steady_state(GI))^rhogi*(B(-1)/BBAR)^(-rhogib)*(YD/YD(-1))^(-rhogiy)*exp(siggi*GI_EXO);
T/steady_state(T)=(T(-1)/steady_state(T))^rhot*(B(-1)/BBAR)^(-rhotb)*(YD/YD(-1))^(-rhoty)*exp(sigt*T_EXO);
TAUC/TAUCBAR=(TAUC(-1)/TAUCBAR)^rhotauc*exp(sigtauc*TAUC_EXO);
TAUN/TAUNBAR=(TAUN(-1)/TAUNBAR)^rhotaun*exp(sigtaun*TAUN_EXO);
TAUWH/TAUWHBAR=(TAUWH(-1)/TAUWHBAR)^rhotauwh*exp(sigtauwh*TAUWH_EXO);
TAUWF/TAUWFBAR=(TAUWF(-1)/TAUWFBAR)^rhotauwf*exp(sigtauwf*TAUWF_EXO);
TAULS/steady_state(TAULS)=(TAULS(-1)/steady_state(TAULS))^rhotauls*exp(sigtauls*TAULS_EXO);
TAUC/TAUCBAR=(TAUC(-1)/TAUCBAR)^rhotauc*(B(-1)/BBAR)^(rhotaucb)*(YD/YD(-1))^(rhotaucy)*exp(sigtauc*TAUC_EXO);
TAUN/TAUNBAR=(TAUN(-1)/TAUNBAR)^rhotaun*(B(-1)/BBAR)^(rhotaunb)*(YD/YD(-1))^(rhotauny)*exp(sigtaun*TAUN_EXO);
TAUWH/TAUWHBAR=(TAUWH(-1)/TAUWHBAR)^rhotauwh*(B(-1)/BBAR)^(rhotauwhb)*(YD/YD(-1))^(rhotauwhy)*exp(sigtauwh*TAUWH_EXO);
TAUWF/TAUWFBAR=(TAUWF(-1)/TAUWFBAR)^rhotauwf*(B(-1)/BBAR)^(rhotauwfb)*(YD/YD(-1))^(rhotauwfy)*exp(sigtauwf*TAUWF_EXO);
TAULS/steady_state(TAULS)=(TAULS(-1)/steady_state(TAULS))^rhotauls*(B(-1)/BBAR)^(rhotaulsb)*(YD/YD(-1))^(rhotaulsy)*exp(sigtauls*TAULS_EXO);
%fa shocks
GAMMAN=GAMMANBAR*exp(siggamman*GAMMAN_EXO);
SIGMA=steady_state(SIGMA)^(1-rhosigma)*SIGMA(-1)^rhosigma*exp(sigsigma*SIGMA_EXO);
......
......@@ -77,11 +77,37 @@ rhopirze
rhoydrze
rhoyd
rhopi
rhotauc $\rho_{\tau c}$ (long_name='Autocorrelation, tax rate on consumption shock', measure='shock')
rhotaun $\rho_{\tau n}$ (long_name='Autocorrelation, tax rate on labour income shock', measure='shock')
rhotauwh $\rho_{\tau wh}$ (long_name='Autocorrelation, contribution rate to social security by employees', measure='shock')
rhotauwf $\rho_{\tau wf}$ (long_name='Autocorrelation, contribution rate to social security, by employers', measure='shock')
rhotauls $\rho_{\tau ls}$ (long_name='Autocorrelation, lump-sum transfers', measure='shock')
rhogc $\rho_{gc}$ (long_name='Autocorrelation, government consumption shock', measure='shock')
rhogi $\rho_{gi}$ (long_name='Autocorrelation, government investment shock', measure='shock')
rhot $\rho_t$ (long_name='Autocorrelation, government transfers shock', measure='shock')
rhoothgov $\rho_{othgov}$ (long_name='Autocorrelation, other government expenditures shock', measure='shock')
rhotaucb $\rho_{\tau c}$ (long_name='Autocorrelation, tax rate on consumption shock', measure='shock')
rhotaunb $\rho_{\tau n}$ (long_name='Autocorrelation, tax rate on labour income shock', measure='shock')
rhotauwhb $\rho_{\tau wh}$ (long_name='Autocorrelation, contribution rate to social security by employees', measure='shock')
rhotauwfb $\rho_{\tau wf}$ (long_name='Autocorrelation, contribution rate to social security, by employers', measure='shock')
rhotaulsb $\rho_{\tau ls}$ (long_name='Autocorrelation, lump-sum transfers', measure='shock')
rhogcb $\rho_{g b}$ (long_name='Debt feedback in fiscal rule', measure='shock')
rhogib $\rho_{g b}$ (long_name='Debt feedback in fiscal rule', measure='shock')
rhoothgovb $\rho_{g b}$ (long_name='Debt feedback in fiscal rule', measure='shock')
rhotb $\rho_{g b}$ (long_name='Debt feedback in fiscal rule', measure='shock')
rhogcy $\rho_{g y}$ (long_name='Output feedback in fiscal rule', measure='shock')
rhogiy $\rho_{g y}$ (long_name='Output feedback in fiscal rule', measure='shock')
rhoothgovy $\rho_{g y}$ (long_name='Output feedback in fiscal rule', measure='shock')
rhoty $\rho_{g y}$ (long_name='Output feedback in fiscal rule', measure='shock')
rhotaucy $\rho_{\tau c}$ (long_name='Autocorrelation, tax rate on consumption shock', measure='shock')
rhotauny $\rho_{\tau n}$ (long_name='Autocorrelation, tax rate on labour income shock', measure='shock')
rhotauwhy $\rho_{\tau wh}$ (long_name='Autocorrelation, contribution rate to social security by employees', measure='shock')
rhotauwfy $\rho_{\tau wf}$ (long_name='Autocorrelation, contribution rate to social security, by employers', measure='shock')
rhotaulsy $\rho_{\tau ls}$ (long_name='Autocorrelation, lump-sum transfers', measure='shock')
rhoa $\rho_{a}$ (long_name='Autocorrelation, persistent technology growth shock', measure='shock')
rhoxia $\rho_{\xi a}$ (long_name='Autocorrelation, temporary technology shock', measure='shock')
rhomu $\rho_{\mu}$ (long_name='Autocorrelation, investment price shock', measure='shock')
......@@ -91,12 +117,6 @@ rhoepsw $\rho_{\epsilon w}$ (long_name='Autocorrelation, wage markup shock', mea
rhor $\rho_{r}$ (long_name='Autocorrelation, monetary policy shock', measure='shock')
rhod $\rho_{d}$ (long_name='Autocorrelation, consumption preferences shock', measure='shock')
rhoxib $\rho_{\xi b}$ (long_name='Autocorrelation, government bond risk shock', measure='shock')
rhogc $\rho_{gc}$ (long_name='Autocorrelation, government consumption shock', measure='shock')
rhogi $\rho_{gi}$ (long_name='Autocorrelation, government investment shock', measure='shock')
rhot $\rho_t$ (long_name='Autocorrelation, government transfers shock', measure='shock')
rhoothgov $\rho_{othgov}$ (long_name='Autocorrelation, other government expenditures shock', measure='shock')
rhogovy $\rho_{g y}$ (long_name='Output feedback in fiscal rule', measure='shock')
rhogovb $\rho_{g b}$ (long_name='Debt feedback in fiscal rule', measure='shock')
rhosigma $\rho_{\sigma}$ (long_name='Autocorrelation, financial risk shock', measure='shock')
rhoyw $\rho_{yw}$ (long_name='Autocorrelation, foreign demand shock', measure='shock')
rhopoil $\rho_{oil}$ (long_name='Autocorrelation, oil price shock', measure='shock')
......
......@@ -26,13 +26,39 @@ rhopirze = 0.8;
rhoydrze = 0.8;
rhoyd = 0.6;
rhopi = 0.6;
rhotauc = 0.926178;
rhotaun = 0.918729;
rhotauwh = 0.966294;
rhotauwf = 0.967888;
rhotauls = 0.625948;
rhogc = 0.937163;
rhogi = 0.961622;
rhot = 0.898516;
rhoothgov = 0.823865;
rhotaucb = 0.0926178 ;
rhotaunb = 0.0918729 ;
rhotauwhb = 0.0966294 ;
rhotauwfb = 0.0967888 ;
rhotaulsb = 0.0625948 ;
rhogcb = 0.011807 ;
rhogib = 0.011807 ;
rhoothgovb = 0.011807 ;
rhotb = 0.011807 ;
rhotaucy = 0.0926178 ;
rhotauny = 0.0918729 ;
rhotauwhy = 0.0966294 ;
rhotauwfy = 0.0967888 ;
rhotaulsy = 0.0625948 ;
rhogcy = 0.154495 ;
rhogiy = 0.154495 ;
rhoothgovy = 0.154495 ;
rhoty = 0.154495 ;
rhoyw = 0.942149;
rhopoil = 0.927868;
rhotauls = 0.625948;
rhoa = 0.861692;
rhoxia = 0.987510;
rhomu = 0.826122;
......@@ -43,12 +69,6 @@ rhor = 0.906523;
rhod = 0.559434;
rhoxib = 0.918113;
rhosigma = 0.960773;
rhogc = 0.937163;
rhogi = 0.961622;
rhot = 0.898516;
rhoothgov = 0.823865;
rhogovy = 0.154495;
rhogovb = 0.011807;
sigtauc = 0.010030;
sigtaun = 0.019346;
sigtauwh = 0.007444;
......
Markdown is supported
0% or
You are about to add 0 people to the discussion. Proceed with caution.
Finish editing this message first!
Please register or to comment