Commit c57cddac authored by Thomas Brand's avatar Thomas Brand

Cosmetic change and diffuse prior for fiscal rules.

parent 4f546155
......@@ -26,7 +26,6 @@ TOYDBAR=0.163;
GCOYDBAR=0.232;
GIOYDBAR=0.039;
OTHGOVOYDBAR=0.064;
UNEMPGOVOYDBAR=0.019;
IOYDBAR=0.219;
CMOYDBAR=0.18;
IMOYDBAR=0.088;
......
......@@ -23,36 +23,37 @@ gammay, BETA_PDF, 0.5, 0.2;
gammab, BETA_PDF, 0.001, 0.0005;
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;
rhopirze, BETA_PDF, 0.5, 0.2;
rhoydrze, BETA_PDF, 0.5, 0.2;
rhoyd, BETA_PDF, 0.5, 0.2;
rhopi, BETA_PDF, 0.5, 0.2;
rhotauc, BETA_PDF, 0.5, 0.2;
rhotaun, BETA_PDF, 0.5, 0.2;
rhotauwh, BETA_PDF, 0.5, 0.2;
rhotauwf, BETA_PDF, 0.5, 0.2;
rhotauls, BETA_PDF, 0.5, 0.2;
rhogc, BETA_PDF, 0.5, 0.2;
rhogi, BETA_PDF, 0.5, 0.2;
rhot, BETA_PDF, 0.5, 0.2;
rhoothgov, BETA_PDF, 0.5, 0.2;
rhotaucy, NORMAL_PDF, 0., 2;
rhotauny, NORMAL_PDF, 0., 2;
rhotauwhy, NORMAL_PDF, 0., 2;
rhotauwfy, NORMAL_PDF, 0., 2;
rhotaulsy, NORMAL_PDF, 0., 2;
rhogcy, NORMAL_PDF, 0., 2;
rhogiy, NORMAL_PDF, 0., 2;
rhoty, NORMAL_PDF, 0., 2;
rhoothgovy, NORMAL_PDF, 0., 2;
rhotaucb, NORMAL_PDF, 0., 2;
rhotaunb, NORMAL_PDF, 0., 2;
rhotauwhb, NORMAL_PDF, 0., 2;
rhotauwfb, NORMAL_PDF, 0., 2;
rhotaulsb, NORMAL_PDF, 0., 2;
rhogcb, NORMAL_PDF, 0., 2;
rhogib, NORMAL_PDF, 0., 2;
rhotb, NORMAL_PDF, 0., 2;
rhoothgovb, NORMAL_PDF, 0., 2;
rhoyw, BETA_PDF, 0.75, 0.10;
rhopoil, BETA_PDF, 0.75, 0.10;
rhoa, BETA_PDF, 0.75, 0.10;
......@@ -71,6 +72,10 @@ sigtaun, UNIFORM_PDF,,, 0, 1;
sigtauwh, UNIFORM_PDF,,, 0, 1;
sigtauwf, UNIFORM_PDF,,, 0, 1;
sigtauls, UNIFORM_PDF,,, 0, 1;
siggc, UNIFORM_PDF,,, 0, 1;
siggi, UNIFORM_PDF,,, 0, 1;
sigt, UNIFORM_PDF,,, 0, 1;
sigothgov, UNIFORM_PDF,,, 0, 1;
siga, UNIFORM_PDF,,, 0, 1;
sigxia, UNIFORM_PDF,,, 0, 1;
sigmu, UNIFORM_PDF,,, 0, 1;
......@@ -80,14 +85,10 @@ 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;
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;
stderr NETWORTH_OBS,UNIFORM_PDF,,, 0, 1;
......@@ -15,7 +15,6 @@ TOYDBAR
GCOYDBAR
GIOYDBAR
OTHGOVOYDBAR
UNEMPGOVOYDBAR
IOYDBAR
CMOYDBAR
IMOYDBAR
......@@ -73,11 +72,10 @@ gammay $\gamma_{y}$ (long_name='Monetary policy weight on output growth', measur
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
rhoydrze
rhoyd
rhopi
rhopirze $\rho_{\pi rze}$ (long_name='Autocorrelation, rest of Euro area inflation', measure='shock')
rhoydrze $\rho_{yd rze}$ (long_name='Autocorrelation, rest of Euro area GDP', measure='shock')
rhoyd $\rho_{yd}$ (long_name='Correlation between domestic and rest of Euro area GDP', measure='shock')
rhopi $\rho_{\pi}$ (long_name='Correlation between domestic and rest of Euro area inflation', measure='shock')
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')
......@@ -87,27 +85,24 @@ rhogc $\rho_{gc}$ (long_name='Autocorrelation, government consumption shock', me
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')
rhotaucy $\rho_{\tau c}$ (long_name='Output feedback, tax rate on consumption', measure='shock')
rhotauny $\rho_{\tau n}$ (long_name='Output feedback, tax rate on labour income', measure='shock')
rhotauwhy $\rho_{\tau wh}$ (long_name='Output feedback, contribution rate to social security by employees', measure='shock')
rhotauwfy $\rho_{\tau wf}$ (long_name='Output feedback, contribution rate to social security, by employers', measure='shock')
rhotaulsy $\rho_{\tau ls}$ (long_name='Output feedback, lump-sum transfers', measure='shock')
rhogcy $\rho_{g y}$ (long_name='Output feedback, government consumption', measure='shock')
rhogiy $\rho_{g y}$ (long_name='Output feedback, government investment', measure='shock')
rhoty $\rho_{g y}$ (long_name='Output feedback, government transfers', measure='shock')
rhoothgovy $\rho_{g y}$ (long_name='Output feedback, other government expenditures', measure='shock')
rhotaucb $\rho_{\tau c}$ (long_name='Debt feedback, tax rate on consumption', measure='shock')
rhotaunb $\rho_{\tau n}$ (long_name='Debt feedback, tax rate on labour income', measure='shock')
rhotauwhb $\rho_{\tau wh}$ (long_name='Debt feedback, contribution rate to social security by employees', measure='shock')
rhotauwfb $\rho_{\tau wf}$ (long_name='Debt feedback, contribution rate to social security, by employers', measure='shock')
rhotaulsb $\rho_{\tau ls}$ (long_name='Debt feedback, lump-sum transfers', measure='shock')
rhogcb $\rho_{g b}$ (long_name='Debt feedback, government consumption', measure='shock')
rhogib $\rho_{g b}$ (long_name='Debt feedback, government investment', measure='shock')
rhotb $\rho_{g b}$ (long_name='Debt feedback, government transfers', measure='shock')
rhoothgovb $\rho_{g b}$ (long_name='Debt feedback, other government expenditures', 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')
......@@ -126,6 +121,10 @@ sigtaun $\sigma_{\tau n}$ (long_name='Standard deviation, tax rate on labour inc
sigtauwh $\sigma_{\tau wh}$ (long_name='Standard deviation, contribution rate to social security by employees', measure='shock')
sigtauwf $\sigma_{\tau wf}$ (long_name='Standard deviation, contribution rate to social security by employers', measure='shock')
sigtauls $\sigma_{\tau ls}$ (long_name='Standard deviation, lump-sum transfers', measure='shock')
siggc $\sigma_{g}$ (long_name='Standard deviation, government consumption shock', measure='shock')
siggi $\sigma_{g}$ (long_name='Standard deviation, government investment shock', measure='shock')
sigt $\sigma_{g}$ (long_name='Standard deviation, government transfers shock', measure='shock')
sigothgov $\sigma_{g}$ (long_name='Standard deviation, other government expenditures shock', measure='shock')
siga $\sigma_{a}$ (long_name='Standard deviation, persistent technology growth shock', measure='shock')
sigxia $\sigma_{\xi a}$ (long_name='Standard deviation, temporary technology shock', measure='shock')
sigmu $\sigma_{\mu}$ (long_name='Standard deviation, investment price shock', measure='shock')
......@@ -135,10 +134,6 @@ sigepsw $\sigma_{\epsilon w}$ (long_name='Standard deviation, wage markup shock'
sigr $\sigma_{r}$ (long_name='Standard deviation, monetary policy shock', measure='shock')
sigd $\sigma_{d}$ (long_name='Standard deviation, consumption preference shock', measure='shock')
sigxib $\sigma_{\xi b}$ (long_name='Standard deviation, government bond risk shock', measure='shock')
siggc $\sigma_{g}$ (long_name='Standard deviation, government consumption shock', measure='shock')
siggi $\sigma_{g}$ (long_name='Standard deviation, government investment shock', measure='shock')
sigt $\sigma_{g}$ (long_name='Standard deviation, government transfers shock', measure='shock')
sigothgov $\sigma_{g}$ (long_name='Standard deviation, other government expenditures shock', measure='shock')
siggamman $\sigma_{\gamma n}$ (long_name='Standard deviation, equity shock', measure='shock')
sigsigma $\sigma_{\sigma}$ (long_name='Standard deviation, financial risk shock', measure='shock')
sigyw $\sigma_{yw}$ (long_name='Standard deviation, foreign demand shock', measure='shock')
......
......@@ -22,6 +22,10 @@ gammapi = 1.700353;
gammay = 0.922875;
gammab = 0.001008;
FBAR = 0.010666;
rhopirze = 0.8;
rhoydrze = 0.8;
rhoyd = 0.6;
rhopi = 0.6;
rhotauc = 0.939044;
rhotaun = 0.889720;
rhotauwh = 0.975723;
......@@ -40,10 +44,10 @@ rhotauny = 0.148481;
rhotauwfy = 0.107722;
rhotauwhy = 0.185570;
rhotaulsy = 0.163684;
rhogcb = 0.005644;
rhogib = 0.014886;
rhoothgovb = 0.012864;
rhotb = 0.006530;
rhogcb = -0.005644;
rhogib = -0.014886;
rhoothgovb = -0.012864;
rhotb = -0.006530;
rhotaucb = 0.007837;
rhotaunb = 0.014035;
rhotauwfb = 0.007393;
......
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