Commit 60fc2fce authored by Thomas Brand's avatar Thomas Brand

Add premium on domestic interest rates depending on domestic public debt.

parent 85a70e0c
......@@ -27,6 +27,8 @@ KP
GAMMAPRC
GAMMAPRI
GAMMABW
GAMMAB
REFF
YDZE
YDRZE
PIZE
......
......@@ -20,6 +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;
FBAR, BETA_PDF, 0.0075, 0.00375;
rhotauc, BETA_PDF, 0.75, 0.10;
......
......@@ -20,6 +20,7 @@ gammac,1.110787 ;
gammai,1.697801 ;
gammapi,1.732484 ;
gammay,0.895491 ;
gammab,0.001 ;
FBAR,0.009991 ;
rhotauc,0.926178 ;
rhotaun,0.918729 ;
......
......@@ -14,6 +14,7 @@ GAMMAI=0;
GAMMAU=0;
COSTI=0;
GAMMABW=0;
GAMMAB=0;
GAMMAX=0;
GAMMAPRC=0;
GAMMAPRI=0;
......@@ -37,6 +38,7 @@ ZETAI=ZETAIBAR;
A=Z^(1-alpha)*MU^(-alpha);
R=PI*Z/beta;
REFF=R;
RW=R;
PIW=PI;
......
......@@ -15,8 +15,12 @@ C=(1-omega)*CR+omega*CNR;
% Intra-households tranfers
iota*TNR=(1-iota)*TR;
% Euler equation for domestic public bonds
LAMBDA=beta*LAMBDA(+1)/Z(+1)*R/PI(+1);
% Euler equation for foreign public bonds
LAMBDA=beta*LAMBDA(+1)/Z(+1)*REFF/PI(+1);
% Domestic financial intermediation premium
GAMMAB=gammab*(XIB^(1/gammab)*exp(B-BBAR)-1);
% Effective nominal interest rate
REFF=(1+GAMMAB)*R;
% Euler equation for foreign public bonds
LAMBDA=beta*LAMBDA(+1)/Z(+1)*RW*(1-GAMMABW)/PI(+1)*DELTAEX(+1);
% External financial intermediation premium
GAMMABW=gammabw*(XIBW^(1/gammabw)*exp(EXBW/YD)-1);
......@@ -48,13 +52,13 @@ GAMMA=OMEGABAR*(1-F)+G;
GAMMAPR=(1-F);
GPR=(OMEGABAR*normpdf((log(OMEGABAR)+SIGMA(-1)^2/2)/SIGMA(-1))/OMEGABAR/SIGMA(-1));
% FOC for capital
0=(1-GAMMA(+1))*RK(+1)/R+GAMMAPR(+1)/(GAMMAPR(+1)-mu*GPR(+1))*(RK(+1)/R*(GAMMA(+1)-mu*G(+1))-1);
0=(1-GAMMA(+1))*RK(+1)/REFF+GAMMAPR(+1)/(GAMMAPR(+1)-mu*GPR(+1))*(RK(+1)/REFF*(GAMMA(+1)-mu*G(+1))-1);
% Return of entrepreneurs
RK=PI/(Z*MU)*((1-delta)*Q+(RENTK*U-PIOP*GAMMAU)*(1-tauk)+PIOP*delta*tauk)/Q(-1);
% Zero profit condition
Q(-1)*KP(-1)*(RK)*((1-mu)*G+OMEGABAR*(1-F))/(N(-1)*R(-1))-Q(-1)*KP(-1)/N(-1)+1=0;
Q(-1)*KP(-1)*(RK)*((1-mu)*G+OMEGABAR*(1-F))/(N(-1)*REFF(-1))-Q(-1)*KP(-1)/N(-1)+1=0;
% Law of motion of net worth
N=GAMMAN/(PI*Z)*(RK-R(-1)-mu*G*(RK))*KP(-1)*Q(-1)+we+GAMMAN*(R(-1))*N(-1)/(PI*Z);
N=GAMMAN/(PI*Z)*(RK-REFF(-1)-mu*G*(RK))*KP(-1)*Q(-1)+we+GAMMAN*(REFF(-1))*N(-1)/(PI*Z);
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% INTERMEDIATE GOODS PRODUCERS
......@@ -137,9 +141,9 @@ YDZE=YD^shfr*YDRZE^(1-shfr);
% Taylor rule
R/steady_state(R)=(R(-1)/steady_state(R))^rhor*((PIZE/PIBAR)^(gammapi)*(YDZE/YDZE(-1))^(gammay))^(1-rhor)*exp(XIR);
% Government budget constraint
B=GC/YD+GI/YD+T/YD+OTHGOV/YD+R(-1)*B(-1)*YD(-1)/(PI*YD*Z)-tauk*(U*RENTK-PIOP*(GAMMAU+delta))*KP(-1)/(YD*Z*MU)-(TAUN+TAUWH+TAUWF)*W*LD/YD-TAUC*PCOP*C/YD-TAULS/YD;
B=GC/YD+GI/YD+T/YD+OTHGOV/YD+REFF(-1)*B(-1)*YD(-1)/(PI*YD*Z)-tauk*(U*RENTK-PIOP*(GAMMAU+delta))*KP(-1)/(YD*Z*MU)-(TAUN+TAUWH+TAUWF)*W*LD/YD-TAUC*PCOP*C/YD-TAULS/YD;
REVGDP = tauk*(U*RENTK-PIOP*(GAMMAU+delta))*KP(-1)/(YD*Z*MU)+(TAUN+TAUWH+TAUWF)*W*LD/YD+TAUC*PCOP*C/YD+TAULS/YD;
TOTGOVGDP = GC/YD+GI/YD+T/YD+OTHGOV/YD+(R(-1)-1)*B(-1)*YD(-1)/(PI*YD*Z);
TOTGOVGDP = GC/YD+GI/YD+T/YD+OTHGOV/YD+(REFF(-1)-1)*B(-1)*YD(-1)/(PI*YD*Z);
GOVGDP = GC/YD+GI/YD+T/YD+OTHGOV/YD;
BALGDP = REVGDP - TOTGOVGDP;
PRIMBALGDP = REVGDP - GOVGDP;
......
......@@ -70,6 +70,7 @@ gammac $\gamma c$ (long_name='Adjustment cost in imported consumption', measure=
gammai $\gamma i$ (long_name='Adjustement cost in imported investment', measure='economic param')
gammapi $\gamma_{\pi}$ (long_name='Monetary policy weight on inflation', measure='economic param')
gammay $\gamma_{y}$ (long_name='Monetary policy weight on output growth', measure='economic param')
gammab $\gamma_{b}$ (long_name='Elasticity of spread of government bond', measure='economic param')
FBAR $F(\omega)$ (long_name='Steady state probability of default', measure='economic param')
rhopirze
......
......@@ -20,6 +20,7 @@ gammac = 1.110787;
gammai = 1.697801;
gammapi = 1.732484;
gammay = 0.895491;
gammab = 0.001;
FBAR = 0.009991;
rhopirze = 0.8;
rhoydrze = 0.8;
......
......@@ -21,5 +21,5 @@ steady;
check;
stoch_simul(order=1,irf=100) YD C I LD W PI R B GC EXBW M X RW GAMMABW MC;
stoch_simul(order=1,irf=100) YD C I LD W PI R REFF B GC EXBW M X RW GAMMABW MC GAMMAB;
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