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macro
marsFR
Commits
60fc2fce
Commit
60fc2fce
authored
Jan 16, 2019
by
Thomas Brand
Browse files
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Plain Diff
Add premium on domestic interest rates depending on domestic public debt.
parent
85a70e0c
Changes
8
Hide whitespace changes
Inline
Side-by-side
Showing
8 changed files
with
20 additions
and
8 deletions
+20
-8
mod/common/endogenous-variables.inc
mod/common/endogenous-variables.inc
+2
-0
mod/common/estimated-parameters.inc
mod/common/estimated-parameters.inc
+1
-0
mod/common/initial-values.inc
mod/common/initial-values.inc
+1
-0
mod/common/mars_steadystate.source
mod/common/mars_steadystate.source
+2
-0
mod/common/model.inc
mod/common/model.inc
+11
-7
mod/common/parameters.inc
mod/common/parameters.inc
+1
-0
mod/common/values-for-estimated-parameters.inc
mod/common/values-for-estimated-parameters.inc
+1
-0
mod/mars-simul/mars.mod
mod/mars-simul/mars.mod
+1
-1
No files found.
mod/common/endogenous-variables.inc
View file @
60fc2fce
...
@@ -27,6 +27,8 @@ KP
...
@@ -27,6 +27,8 @@ KP
GAMMAPRC
GAMMAPRC
GAMMAPRI
GAMMAPRI
GAMMABW
GAMMABW
GAMMAB
REFF
YDZE
YDZE
YDRZE
YDRZE
PIZE
PIZE
...
...
mod/common/estimated-parameters.inc
View file @
60fc2fce
...
@@ -20,6 +20,7 @@ gammac, GAMMA_PDF, 2.5, 1;
...
@@ -20,6 +20,7 @@ gammac, GAMMA_PDF, 2.5, 1;
gammai
,
GAMMA_PDF
,
2.5
,
1
;
gammai
,
GAMMA_PDF
,
2.5
,
1
;
gammapi
,
NORMAL_PDF
,
1.7
,
0.1
;
gammapi
,
NORMAL_PDF
,
1.7
,
0.1
;
gammay
,
BETA_PDF
,
0.5
,
0.2
;
gammay
,
BETA_PDF
,
0.5
,
0.2
;
gammab
,
BETA_PDF
,
0.001
,
0.01
;
FBAR
,
BETA_PDF
,
0.0075
,
0.00375
;
FBAR
,
BETA_PDF
,
0.0075
,
0.00375
;
rhotauc
,
BETA_PDF
,
0.75
,
0.10
;
rhotauc
,
BETA_PDF
,
0.75
,
0.10
;
...
...
mod/common/initial-values.inc
View file @
60fc2fce
...
@@ -20,6 +20,7 @@ gammac,1.110787 ;
...
@@ -20,6 +20,7 @@ gammac,1.110787 ;
gammai
,
1.697801
;
gammai
,
1.697801
;
gammapi
,
1.732484
;
gammapi
,
1.732484
;
gammay
,
0.895491
;
gammay
,
0.895491
;
gammab
,
0.001
;
FBAR
,
0.009991
;
FBAR
,
0.009991
;
rhotauc
,
0.926178
;
rhotauc
,
0.926178
;
rhotaun
,
0.918729
;
rhotaun
,
0.918729
;
...
...
mod/common/mars_steadystate.source
View file @
60fc2fce
...
@@ -14,6 +14,7 @@ GAMMAI=0;
...
@@ -14,6 +14,7 @@ GAMMAI=0;
GAMMAU=0;
GAMMAU=0;
COSTI=0;
COSTI=0;
GAMMABW=0;
GAMMABW=0;
GAMMAB=0;
GAMMAX=0;
GAMMAX=0;
GAMMAPRC=0;
GAMMAPRC=0;
GAMMAPRI=0;
GAMMAPRI=0;
...
@@ -37,6 +38,7 @@ ZETAI=ZETAIBAR;
...
@@ -37,6 +38,7 @@ ZETAI=ZETAIBAR;
A=Z^(1-alpha)*MU^(-alpha);
A=Z^(1-alpha)*MU^(-alpha);
R=PI*Z/beta;
R=PI*Z/beta;
REFF=R;
RW=R;
RW=R;
PIW=PI;
PIW=PI;
...
...
mod/common/model.inc
View file @
60fc2fce
...
@@ -15,8 +15,12 @@ C=(1-omega)*CR+omega*CNR;
...
@@ -15,8 +15,12 @@ C=(1-omega)*CR+omega*CNR;
%
Intra
-
households
tranfers
%
Intra
-
households
tranfers
iota
*
TNR
=
(
1
-
iota
)
*
TR
;
iota
*
TNR
=
(
1
-
iota
)
*
TR
;
%
Euler
equation
for
domestic
public
bonds
%
Euler
equation
for
domestic
public
bonds
LAMBDA
=
beta
*
LAMBDA
(
+
1
)
/
Z
(
+
1
)
*
R
/
PI
(
+
1
);
LAMBDA
=
beta
*
LAMBDA
(
+
1
)
/
Z
(
+
1
)
*
REFF
/
PI
(
+
1
);
%
Euler
equation
for
foreign
public
bonds
%
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
);
LAMBDA
=
beta
*
LAMBDA
(
+
1
)
/
Z
(
+
1
)
*
RW
*
(
1
-
GAMMABW
)
/
PI
(
+
1
)
*
DELTAEX
(
+
1
);
%
External
financial
intermediation
premium
%
External
financial
intermediation
premium
GAMMABW
=
gammabw
*
(
XIBW
^
(
1
/
gammabw
)
*
exp
(
EXBW
/
YD
)
-
1
);
GAMMABW
=
gammabw
*
(
XIBW
^
(
1
/
gammabw
)
*
exp
(
EXBW
/
YD
)
-
1
);
...
@@ -48,13 +52,13 @@ GAMMA=OMEGABAR*(1-F)+G;
...
@@ -48,13 +52,13 @@ GAMMA=OMEGABAR*(1-F)+G;
GAMMAPR
=
(
1
-
F
);
GAMMAPR
=
(
1
-
F
);
GPR
=
(
OMEGABAR
*
normpdf
((
log
(
OMEGABAR
)
+
SIGMA
(
-
1
)
^
2
/
2
)
/
SIGMA
(
-
1
))
/
OMEGABAR
/
SIGMA
(
-
1
));
GPR
=
(
OMEGABAR
*
normpdf
((
log
(
OMEGABAR
)
+
SIGMA
(
-
1
)
^
2
/
2
)
/
SIGMA
(
-
1
))
/
OMEGABAR
/
SIGMA
(
-
1
));
%
FOC
for
capital
%
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
)
/
R
EFF
+
GAMMAPR
(
+
1
)
/
(
GAMMAPR
(
+
1
)
-
mu
*
GPR
(
+
1
))
*
(
RK
(
+
1
)
/
REFF
*
(
GAMMA
(
+
1
)
-
mu
*
G
(
+
1
))
-
1
);
%
Return
of
entrepreneurs
%
Return
of
entrepreneurs
RK
=
PI
/
(
Z
*
MU
)
*
((
1
-
delta
)
*
Q
+
(
RENTK
*
U
-
PIOP
*
GAMMAU
)
*
(
1
-
tauk
)
+
PIOP
*
delta
*
tauk
)
/
Q
(
-
1
);
RK
=
PI
/
(
Z
*
MU
)
*
((
1
-
delta
)
*
Q
+
(
RENTK
*
U
-
PIOP
*
GAMMAU
)
*
(
1
-
tauk
)
+
PIOP
*
delta
*
tauk
)
/
Q
(
-
1
);
%
Zero
profit
condition
%
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
)
*
R
EFF
(
-
1
))
-
Q
(
-
1
)
*
KP
(
-
1
)
/
N
(
-
1
)
+
1
=
0
;
%
Law
of
motion
of
net
worth
%
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
-
R
EFF
(
-
1
)
-
mu
*
G
*
(
RK
))
*
KP
(
-
1
)
*
Q
(
-
1
)
+
we
+
GAMMAN
*
(
REFF
(
-
1
))
*
N
(
-
1
)
/
(
PI
*
Z
);
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%
INTERMEDIATE
GOODS
PRODUCERS
%
INTERMEDIATE
GOODS
PRODUCERS
...
@@ -137,9 +141,9 @@ YDZE=YD^shfr*YDRZE^(1-shfr);
...
@@ -137,9 +141,9 @@ YDZE=YD^shfr*YDRZE^(1-shfr);
%
Taylor
rule
%
Taylor
rule
R
/
steady_state
(
R
)
=
(
R
(
-
1
)
/
steady_state
(
R
))
^
rhor
*
((
PIZE
/
PIBAR
)
^
(
gammapi
)
*
(
YDZE
/
YDZE
(
-
1
))
^
(
gammay
))
^
(
1
-
rhor
)
*
exp
(
XIR
);
R
/
steady_state
(
R
)
=
(
R
(
-
1
)
/
steady_state
(
R
))
^
rhor
*
((
PIZE
/
PIBAR
)
^
(
gammapi
)
*
(
YDZE
/
YDZE
(
-
1
))
^
(
gammay
))
^
(
1
-
rhor
)
*
exp
(
XIR
);
%
Government
budget
constraint
%
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
+
R
EFF
(
-
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
;
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
+
(
R
EFF
(
-
1
)
-
1
)
*
B
(
-
1
)
*
YD
(
-
1
)
/
(
PI
*
YD
*
Z
);
GOVGDP
=
GC
/
YD
+
GI
/
YD
+
T
/
YD
+
OTHGOV
/
YD
;
GOVGDP
=
GC
/
YD
+
GI
/
YD
+
T
/
YD
+
OTHGOV
/
YD
;
BALGDP
=
REVGDP
-
TOTGOVGDP
;
BALGDP
=
REVGDP
-
TOTGOVGDP
;
PRIMBALGDP
=
REVGDP
-
GOVGDP
;
PRIMBALGDP
=
REVGDP
-
GOVGDP
;
...
...
mod/common/parameters.inc
View file @
60fc2fce
...
@@ -70,6 +70,7 @@ gammac $\gamma c$ (long_name='Adjustment cost in imported consumption', measure=
...
@@ -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'
)
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'
)
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'
)
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'
)
FBAR
$F
(
\omega
)
$
(
long_name
=
'Steady state probability of default'
,
measure
=
'economic param'
)
rhopirze
rhopirze
...
...
mod/common/values-for-estimated-parameters.inc
View file @
60fc2fce
...
@@ -20,6 +20,7 @@ gammac = 1.110787;
...
@@ -20,6 +20,7 @@ gammac = 1.110787;
gammai
=
1.697801
;
gammai
=
1.697801
;
gammapi
=
1.732484
;
gammapi
=
1.732484
;
gammay
=
0.895491
;
gammay
=
0.895491
;
gammab
=
0.001
;
FBAR
=
0.009991
;
FBAR
=
0.009991
;
rhopirze
=
0.8
;
rhopirze
=
0.8
;
rhoydrze
=
0.8
;
rhoydrze
=
0.8
;
...
...
mod/mars-simul/mars.mod
View file @
60fc2fce
...
@@ -21,5 +21,5 @@ steady;
...
@@ -21,5 +21,5 @@ steady;
check;
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
;
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