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macro
marsFR
Commits
85a70e0c
Commit
85a70e0c
authored
Jan 14, 2019
by
Thomas Brand
Browse files
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Plain Diff
Remove premium on domestic government bond interest rates and change Taylor rule.
parent
f88087b3
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Showing
7 changed files
with
40 additions
and
27 deletions
+40
-27
calibration.inc
mod/common/calibration.inc
+0
-1
endogenous-variables.inc
mod/common/endogenous-variables.inc
+4
-2
mars_steadystate.source
mod/common/mars_steadystate.source
+7
-2
model.inc
mod/common/model.inc
+12
-11
parameters.inc
mod/common/parameters.inc
+4
-1
values-for-estimated-parameters.inc
mod/common/values-for-estimated-parameters.inc
+12
-9
mars.mod
mod/mars-simul/mars.mod
+1
-1
No files found.
mod/common/calibration.inc
View file @
85a70e0c
...
...
@@ -8,7 +8,6 @@ GAMMANBAR=0.985;
ng
=
0.75
;
vartheta
=
2
;
shfr
=
0.2
;
gammab
=
0.001
;
gammabw
=
0.001
;
phi2
=
0.1
;
tauo
=
0
;
...
...
mod/common/endogenous-variables.inc
View file @
85a70e0c
...
...
@@ -27,8 +27,10 @@ KP
GAMMAPRC
GAMMAPRI
GAMMABW
GAMMAB
REFF
YDZE
YDRZE
PIZE
PIRZE
GAMMAC
GAMMAI
GAMMAU
...
...
mod/common/mars_steadystate.source
View file @
85a70e0c
...
...
@@ -14,7 +14,6 @@ GAMMAI=0;
GAMMAU=0;
COSTI=0;
GAMMABW=0;
GAMMAB=0;
GAMMAX=0;
GAMMAPRC=0;
GAMMAPRI=0;
...
...
@@ -38,10 +37,12 @@ ZETAI=ZETAIBAR;
A=Z^(1-alpha)*MU^(-alpha);
R=PI*Z/beta;
REFF=R;
RW=R;
PIW=PI;
PIZE=PI;
PIRZE=PI;
EXBW=0;
TB=0;
DELTAEX=1;
...
...
@@ -147,6 +148,10 @@ KOYDBAR= (nk^(1/epsk)*KPOYDBAR^((epsk-1)/epsk)+(1-nk)^(1/epsk)*KGOYDBAR^((epsk-1
MC=(1/(1-alpha))^(1-alpha)*(1/alpha)^alpha*((1+TAUWF)*W)^(1-alpha)*RENTK^alpha*(KPOYDBAR/(nk*KOYDBAR))^(alpha/epsk);
YD = (A/Z*KOYDBAR^alpha*LD^(1-alpha)/(1+phiOyd))^(1/(1-alpha));
YDRZE=YD;
YDZE=YD;
KG = KGOYDBAR*YD;
KP = KPOYDBAR*YD;
K = KOYDBAR*YD;
...
...
mod/common/model.inc
View file @
85a70e0c
...
...
@@ -15,9 +15,7 @@ C=(1-omega)*CR+omega*CNR;
%
Intra
-
households
tranfers
iota
*
TNR
=
(
1
-
iota
)
*
TR
;
%
Euler
equation
for
domestic
public
bonds
LAMBDA
=
(
1
-
GAMMAB
)
*
beta
*
LAMBDA
(
+
1
)
/
Z
(
+
1
)
*
R
/
PI
(
+
1
);
%
Endogenous
risk
premium
on
domestic
bonds
GAMMAB
=
gammab
*
(
XIB
^
(
1
/
gammab
)
*
exp
(
EXBW
/
YD
)
-
1
);
LAMBDA
=
beta
*
LAMBDA
(
+
1
)
/
Z
(
+
1
)
*
R
/
PI
(
+
1
);
%
Euler
equation
for
foreign
public
bonds
LAMBDA
=
beta
*
LAMBDA
(
+
1
)
/
Z
(
+
1
)
*
RW
*
(
1
-
GAMMABW
)
/
PI
(
+
1
)
*
DELTAEX
(
+
1
);
%
External
financial
intermediation
premium
...
...
@@ -29,8 +27,6 @@ F1=F2;
%
Wage
dynamics
1
=
thetaw
*
(
PI
(
-
1
)
^
chiw
*
PIBAR
^
(
1
-
chiw
)
/
PI
)
^
(
1
-
EPSW
)
*
(
W
(
-
1
)
/
(
W
*
Z
))
^
(
1
-
EPSW
)
+
(
1
-
thetaw
)
*
(
WSTAR
/
W
)
^
(
1
-
EPSW
);
REFF
=
(
1
-
GAMMAB
)
*
R
;
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%
PRIVATE
PHYSICAL
CAPITAL
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
...
...
@@ -52,13 +48,13 @@ 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
EFF
+
GAMMAPR
(
+
1
)
/
(
GAMMAPR
(
+
1
)
-
mu
*
GPR
(
+
1
))
*
(
RK
(
+
1
)
/
REFF
*
(
GAMMA
(
+
1
)
-
mu
*
G
(
+
1
))
-
1
);
0
=
(
1
-
GAMMA
(
+
1
))
*
RK
(
+
1
)
/
R
+
GAMMAPR
(
+
1
)
/
(
GAMMAPR
(
+
1
)
-
mu
*
GPR
(
+
1
))
*
(
RK
(
+
1
)
/
R
*
(
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
EFF
(
-
1
))
-
Q
(
-
1
)
*
KP
(
-
1
)
/
N
(
-
1
)
+
1
=
0
;
Q
(
-
1
)
*
KP
(
-
1
)
*
(
RK
)
*
((
1
-
mu
)
*
G
+
OMEGABAR
*
(
1
-
F
))
/
(
N
(
-
1
)
*
R
(
-
1
))
-
Q
(
-
1
)
*
KP
(
-
1
)
/
N
(
-
1
)
+
1
=
0
;
%
Law
of
motion
of
net
worth
N
=
GAMMAN
/
(
PI
*
Z
)
*
(
RK
-
R
EFF
(
-
1
)
-
mu
*
G
*
(
RK
))
*
KP
(
-
1
)
*
Q
(
-
1
)
+
we
+
GAMMAN
*
(
REFF
(
-
1
))
*
N
(
-
1
)
/
(
PI
*
Z
);
N
=
GAMMAN
/
(
PI
*
Z
)
*
(
RK
-
R
(
-
1
)
-
mu
*
G
*
(
RK
))
*
KP
(
-
1
)
*
Q
(
-
1
)
+
we
+
GAMMAN
*
(
R
(
-
1
))
*
N
(
-
1
)
/
(
PI
*
Z
);
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%
INTERMEDIATE
GOODS
PRODUCERS
...
...
@@ -133,12 +129,17 @@ GAMMAPRI=gammai*(XIM^(-1/gammai)*(IM/I)/(IM(-1)/I(-1))-1)*(XIM^(-1/gammai)*1/I/(
%
PUBLIC
AUTHORITIES
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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
);
%
Taylor
rule
R
/
steady_state
(
R
)
=
(
R
(
-
1
)
/
steady_state
(
R
))
^
rhor
*
((
PI
/
PIBAR
)
^
(
shfr
*
gammapi
)
*
(
YD
/
YD
(
-
1
))
^
(
shfr
*
gammay
))
^
(
1
-
rhor
)
*
exp
(
XIR
);
R
/
steady_state
(
R
)
=
(
R
(
-
1
)
/
steady_state
(
R
))
^
rhor
*
((
PI
ZE
/
PIBAR
)
^
(
gammapi
)
*
(
YDZE
/
YDZE
(
-
1
))
^
(
gammay
))
^
(
1
-
rhor
)
*
exp
(
XIR
);
%
Government
budget
constraint
B
=
GC
/
YD
+
GI
/
YD
+
T
/
YD
+
OTHGOV
/
YD
+
(
1
-
GAMMAB
)
*
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
(
-
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
+
(
(
1
-
GAMMAB
)
*
R
(
-
1
)
-
1
)
*
B
(
-
1
)
*
YD
(
-
1
)
/
(
PI
*
YD
*
Z
);
TOTGOVGDP
=
GC
/
YD
+
GI
/
YD
+
T
/
YD
+
OTHGOV
/
YD
+
(
R
(
-
1
)
-
1
)
*
B
(
-
1
)
*
YD
(
-
1
)
/
(
PI
*
YD
*
Z
);
GOVGDP
=
GC
/
YD
+
GI
/
YD
+
T
/
YD
+
OTHGOV
/
YD
;
BALGDP
=
REVGDP
-
TOTGOVGDP
;
PRIMBALGDP
=
REVGDP
-
GOVGDP
;
...
...
mod/common/parameters.inc
View file @
85a70e0c
...
...
@@ -29,7 +29,6 @@ ZETAIBAR
GAMMANBAR
QKONBAR
shfr
gammab
gammabw
phi2
tauo
...
...
@@ -73,6 +72,10 @@ gammapi $\gamma_{\pi}$ (long_name='Monetary policy weight on inflation', measure
gammay
$
\gamma_
{
y
}
$
(
long_name
=
'Monetary policy weight on output growth'
,
measure
=
'economic param'
)
FBAR
$F
(
\omega
)
$
(
long_name
=
'Steady state probability of default'
,
measure
=
'economic param'
)
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'
)
...
...
mod/common/values-for-estimated-parameters.inc
View file @
85a70e0c
omegam
=
0.449674
;
epsw
=
0.01
;
epsc
=
1.248917
;
epsi
=
1.370181
;
gammac
=
1.110787
;
gammai
=
1.697801
;
gammapi
=
1.732484
;
gammay
=
0.895491
;
omega
=
0.686049
;
iota
=
0.498892
;
epsk
=
0.811827
;
...
...
@@ -20,8 +11,20 @@ chiw = 0.533563;
chip
=
0.571717
;
chix
=
0.320729
;
chim
=
0.767567
;
omegam
=
0.149674
;
epsc
=
1.248917
;
epsi
=
1.370181
;
epsw
=
1.769773
;
kappa
=
5.009242
;
gammac
=
1.110787
;
gammai
=
1.697801
;
gammapi
=
1.732484
;
gammay
=
0.895491
;
FBAR
=
0.009991
;
rhopirze
=
0.8
;
rhoydrze
=
0.8
;
rhoyd
=
0.6
;
rhopi
=
0.6
;
rhotauc
=
0.926178
;
rhotaun
=
0.918729
;
rhotauwh
=
0.966294
;
...
...
mod/mars-simul/mars.mod
View file @
85a70e0c
...
...
@@ -21,5 +21,5 @@ steady;
check;
stoch_simul(order=1,irf=100) YD C I LD W PI R B GC EXBW
GAMMAB M X RW GAMMABW REFF
MC;
stoch_simul(order=1,irf=100) YD C I LD W PI R B GC EXBW
M X RW GAMMABW
MC;
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