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; ...@@ -26,7 +26,6 @@ TOYDBAR=0.163;
GCOYDBAR=0.232; GCOYDBAR=0.232;
GIOYDBAR=0.039; GIOYDBAR=0.039;
OTHGOVOYDBAR=0.064; OTHGOVOYDBAR=0.064;
UNEMPGOVOYDBAR=0.019;
IOYDBAR=0.219; IOYDBAR=0.219;
CMOYDBAR=0.18; CMOYDBAR=0.18;
IMOYDBAR=0.088; IMOYDBAR=0.088;
......
...@@ -23,36 +23,37 @@ gammay, BETA_PDF, 0.5, 0.2; ...@@ -23,36 +23,37 @@ gammay, BETA_PDF, 0.5, 0.2;
gammab, BETA_PDF, 0.001, 0.0005; gammab, BETA_PDF, 0.001, 0.0005;
FBAR, BETA_PDF, 0.0075, 0.00375; FBAR, BETA_PDF, 0.0075, 0.00375;
rhotauc, BETA_PDF, 0.75, 0.10; rhopirze, BETA_PDF, 0.5, 0.2;
rhotaun, BETA_PDF, 0.75, 0.10; rhoydrze, BETA_PDF, 0.5, 0.2;
rhotauwh, BETA_PDF, 0.75, 0.10; rhoyd, BETA_PDF, 0.5, 0.2;
rhotauls, BETA_PDF, 0.75, 0.10; rhopi, BETA_PDF, 0.5, 0.2;
rhogc, BETA_PDF, 0.75, 0.10; rhotauc, BETA_PDF, 0.5, 0.2;
rhogi, BETA_PDF, 0.75, 0.10; rhotaun, BETA_PDF, 0.5, 0.2;
rhot, BETA_PDF, 0.75, 0.10; rhotauwh, BETA_PDF, 0.5, 0.2;
rhoothgov, BETA_PDF, 0.75, 0.10; rhotauwf, BETA_PDF, 0.5, 0.2;
rhotauwf, BETA_PDF, 0.75, 0.10; rhotauls, BETA_PDF, 0.5, 0.2;
rhogc, BETA_PDF, 0.5, 0.2;
rhogcy, BETA_PDF, 0.20, 0.10; rhogi, BETA_PDF, 0.5, 0.2;
rhogiy, BETA_PDF, 0.20, 0.10; rhot, BETA_PDF, 0.5, 0.2;
rhoothgovy, BETA_PDF, 0.20, 0.10; rhoothgov, BETA_PDF, 0.5, 0.2;
rhoty, BETA_PDF, 0.20, 0.10; rhotaucy, NORMAL_PDF, 0., 2;
rhotaucy, BETA_PDF, 0.20, 0.10; rhotauny, NORMAL_PDF, 0., 2;
rhotauny, BETA_PDF, 0.20, 0.10; rhotauwhy, NORMAL_PDF, 0., 2;
rhotauwfy, BETA_PDF, 0.20, 0.10; rhotauwfy, NORMAL_PDF, 0., 2;
rhotauwhy, BETA_PDF, 0.20, 0.10; rhotaulsy, NORMAL_PDF, 0., 2;
rhotaulsy, BETA_PDF, 0.20, 0.10; rhogcy, NORMAL_PDF, 0., 2;
rhogiy, NORMAL_PDF, 0., 2;
rhogcb, BETA_PDF, 0.02, 0.005; rhoty, NORMAL_PDF, 0., 2;
rhogib, BETA_PDF, 0.02, 0.005; rhoothgovy, NORMAL_PDF, 0., 2;
rhoothgovb, BETA_PDF, 0.02, 0.005; rhotaucb, NORMAL_PDF, 0., 2;
rhotb, BETA_PDF, 0.02, 0.005; rhotaunb, NORMAL_PDF, 0., 2;
rhotaucb, BETA_PDF, 0.02, 0.005; rhotauwhb, NORMAL_PDF, 0., 2;
rhotaunb, BETA_PDF, 0.02, 0.005; rhotauwfb, NORMAL_PDF, 0., 2;
rhotauwfb, BETA_PDF, 0.02, 0.005; rhotaulsb, NORMAL_PDF, 0., 2;
rhotauwhb, BETA_PDF, 0.02, 0.005; rhogcb, NORMAL_PDF, 0., 2;
rhotaulsb, BETA_PDF, 0.02, 0.005; rhogib, NORMAL_PDF, 0., 2;
rhotb, NORMAL_PDF, 0., 2;
rhoothgovb, NORMAL_PDF, 0., 2;
rhoyw, BETA_PDF, 0.75, 0.10; rhoyw, BETA_PDF, 0.75, 0.10;
rhopoil, BETA_PDF, 0.75, 0.10; rhopoil, BETA_PDF, 0.75, 0.10;
rhoa, BETA_PDF, 0.75, 0.10; rhoa, BETA_PDF, 0.75, 0.10;
...@@ -66,28 +67,28 @@ rhod, BETA_PDF, 0.75, 0.10; ...@@ -66,28 +67,28 @@ rhod, BETA_PDF, 0.75, 0.10;
rhoxib, BETA_PDF, 0.75, 0.10; rhoxib, BETA_PDF, 0.75, 0.10;
rhosigma, BETA_PDF, 0.75, 0.10; rhosigma, BETA_PDF, 0.75, 0.10;
sigtauc, UNIFORM_PDF,,, 0, 1; sigtauc, UNIFORM_PDF,,, 0, 1;
sigtaun, UNIFORM_PDF,,, 0, 1; sigtaun, UNIFORM_PDF,,, 0, 1;
sigtauwh, UNIFORM_PDF,,, 0, 1; sigtauwh, UNIFORM_PDF,,, 0, 1;
sigtauwf, UNIFORM_PDF,,, 0, 1; sigtauwf, UNIFORM_PDF,,, 0, 1;
sigtauls, UNIFORM_PDF,,, 0, 1; sigtauls, UNIFORM_PDF,,, 0, 1;
siga, UNIFORM_PDF,,, 0, 1; siggc, UNIFORM_PDF,,, 0, 1;
sigxia, UNIFORM_PDF,,, 0, 1; siggi, UNIFORM_PDF,,, 0, 1;
sigmu, UNIFORM_PDF,,, 0, 1; sigt, UNIFORM_PDF,,, 0, 1;
sigzetai, UNIFORM_PDF,,, 0, 1; sigothgov, UNIFORM_PDF,,, 0, 1;
sigeps, UNIFORM_PDF,,, 0, 1; siga, UNIFORM_PDF,,, 0, 1;
sigepsw, UNIFORM_PDF,,, 0, 1; sigxia, UNIFORM_PDF,,, 0, 1;
sigr, UNIFORM_PDF,,, 0, 1; sigmu, UNIFORM_PDF,,, 0, 1;
sigd, UNIFORM_PDF,,, 0, 1; sigzetai, UNIFORM_PDF,,, 0, 1;
sigxib, UNIFORM_PDF,,, 0, 1; sigeps, UNIFORM_PDF,,, 0, 1;
siggc, UNIFORM_PDF,,, 0, 1; sigepsw, UNIFORM_PDF,,, 0, 1;
siggi, UNIFORM_PDF,,, 0, 1; sigr, UNIFORM_PDF,,, 0, 1;
sigt, UNIFORM_PDF,,, 0, 1; sigd, UNIFORM_PDF,,, 0, 1;
sigothgov, UNIFORM_PDF,,, 0, 1; sigxib, UNIFORM_PDF,,, 0, 1;
siggamman, UNIFORM_PDF,,, 0, 1; siggamman, UNIFORM_PDF,,, 0, 1;
sigsigma, UNIFORM_PDF,,, 0, 1; sigsigma, UNIFORM_PDF,,, 0, 1;
sigyw, UNIFORM_PDF,,, 0, 1; sigyw, UNIFORM_PDF,,, 0, 1;
sigpoil, UNIFORM_PDF,,, 0, 1; sigpoil, UNIFORM_PDF,,, 0, 1;
sigydze, UNIFORM_PDF,,, 0, 1; sigydze, UNIFORM_PDF,,, 0, 1;
sigpize, 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 ...@@ -15,7 +15,6 @@ TOYDBAR
GCOYDBAR GCOYDBAR
GIOYDBAR GIOYDBAR
OTHGOVOYDBAR OTHGOVOYDBAR
UNEMPGOVOYDBAR
IOYDBAR IOYDBAR
CMOYDBAR CMOYDBAR
IMOYDBAR IMOYDBAR
...@@ -73,11 +72,10 @@ gammay $\gamma_{y}$ (long_name='Monetary policy weight on output growth', measur ...@@ -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') 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 $\rho_{\pi rze}$ (long_name='Autocorrelation, rest of Euro area inflation', measure='shock')
rhoydrze rhoydrze $\rho_{yd rze}$ (long_name='Autocorrelation, rest of Euro area GDP', measure='shock')
rhoyd rhoyd $\rho_{yd}$ (long_name='Correlation between domestic and rest of Euro area GDP', measure='shock')
rhopi 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') 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') 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') 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 ...@@ -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') rhogi $\rho_{gi}$ (long_name='Autocorrelation, government investment shock', measure='shock')
rhot $\rho_t$ (long_name='Autocorrelation, government transfers 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') rhoothgov $\rho_{othgov}$ (long_name='Autocorrelation, other government expenditures shock', measure='shock')
rhotaucy $\rho_{\tau c}$ (long_name='Output feedback, tax rate on consumption', measure='shock')
rhotaucb $\rho_{\tau c}$ (long_name='Autocorrelation, tax rate on consumption shock', measure='shock') rhotauny $\rho_{\tau n}$ (long_name='Output feedback, tax rate on labour income', measure='shock')
rhotaunb $\rho_{\tau n}$ (long_name='Autocorrelation, tax rate on labour income shock', measure='shock') rhotauwhy $\rho_{\tau wh}$ (long_name='Output feedback, contribution rate to social security by employees', measure='shock')
rhotauwhb $\rho_{\tau wh}$ (long_name='Autocorrelation, 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')
rhotauwfb $\rho_{\tau wf}$ (long_name='Autocorrelation, contribution rate to social security, by employers', measure='shock') rhotaulsy $\rho_{\tau ls}$ (long_name='Output feedback, lump-sum transfers', measure='shock')
rhotaulsb $\rho_{\tau ls}$ (long_name='Autocorrelation, lump-sum transfers', measure='shock') rhogcy $\rho_{g y}$ (long_name='Output feedback, government consumption', measure='shock')
rhogcb $\rho_{g b}$ (long_name='Debt feedback in fiscal rule', measure='shock') rhogiy $\rho_{g y}$ (long_name='Output feedback, government investment', measure='shock')
rhogib $\rho_{g b}$ (long_name='Debt feedback in fiscal rule', measure='shock') rhoty $\rho_{g y}$ (long_name='Output feedback, government transfers', measure='shock')
rhoothgovb $\rho_{g b}$ (long_name='Debt feedback in fiscal rule', measure='shock') rhoothgovy $\rho_{g y}$ (long_name='Output feedback, other government expenditures', measure='shock')
rhotb $\rho_{g b}$ (long_name='Debt feedback in fiscal rule', 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')
rhogcy $\rho_{g y}$ (long_name='Output feedback in fiscal rule', measure='shock') rhotauwhb $\rho_{\tau wh}$ (long_name='Debt feedback, contribution rate to social security by employees', measure='shock')
rhogiy $\rho_{g y}$ (long_name='Output feedback in fiscal rule', measure='shock') rhotauwfb $\rho_{\tau wf}$ (long_name='Debt feedback, contribution rate to social security, by employers', measure='shock')
rhoothgovy $\rho_{g y}$ (long_name='Output feedback in fiscal rule', measure='shock') rhotaulsb $\rho_{\tau ls}$ (long_name='Debt feedback, lump-sum transfers', measure='shock')
rhoty $\rho_{g y}$ (long_name='Output feedback in fiscal rule', measure='shock') rhogcb $\rho_{g b}$ (long_name='Debt feedback, government consumption', measure='shock')
rhotaucy $\rho_{\tau c}$ (long_name='Autocorrelation, tax rate on consumption shock', measure='shock') rhogib $\rho_{g b}$ (long_name='Debt feedback, government investment', measure='shock')
rhotauny $\rho_{\tau n}$ (long_name='Autocorrelation, tax rate on labour income shock', measure='shock') rhotb $\rho_{g b}$ (long_name='Debt feedback, government transfers', measure='shock')
rhotauwhy $\rho_{\tau wh}$ (long_name='Autocorrelation, contribution rate to social security by employees', measure='shock') rhoothgovb $\rho_{g b}$ (long_name='Debt feedback, other government expenditures', 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') rhoa $\rho_{a}$ (long_name='Autocorrelation, persistent technology growth shock', measure='shock')
rhoxia $\rho_{\xi a}$ (long_name='Autocorrelation, temporary technology 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') 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 ...@@ -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') 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') 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') 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') 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') 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') 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' ...@@ -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') sigr $\sigma_{r}$ (long_name='Standard deviation, monetary policy shock', measure='shock')
sigd $\sigma_{d}$ (long_name='Standard deviation, consumption preference 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') 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') siggamman $\sigma_{\gamma n}$ (long_name='Standard deviation, equity shock', measure='shock')
sigsigma $\sigma_{\sigma}$ (long_name='Standard deviation, financial risk 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') sigyw $\sigma_{yw}$ (long_name='Standard deviation, foreign demand shock', measure='shock')
......
...@@ -22,6 +22,10 @@ gammapi = 1.700353; ...@@ -22,6 +22,10 @@ gammapi = 1.700353;
gammay = 0.922875; gammay = 0.922875;
gammab = 0.001008; gammab = 0.001008;
FBAR = 0.010666; FBAR = 0.010666;
rhopirze = 0.8;
rhoydrze = 0.8;
rhoyd = 0.6;
rhopi = 0.6;
rhotauc = 0.939044; rhotauc = 0.939044;
rhotaun = 0.889720; rhotaun = 0.889720;
rhotauwh = 0.975723; rhotauwh = 0.975723;
...@@ -40,10 +44,10 @@ rhotauny = 0.148481; ...@@ -40,10 +44,10 @@ rhotauny = 0.148481;
rhotauwfy = 0.107722; rhotauwfy = 0.107722;
rhotauwhy = 0.185570; rhotauwhy = 0.185570;
rhotaulsy = 0.163684; rhotaulsy = 0.163684;
rhogcb = 0.005644; rhogcb = -0.005644;
rhogib = 0.014886; rhogib = -0.014886;
rhoothgovb = 0.012864; rhoothgovb = -0.012864;
rhotb = 0.006530; rhotb = -0.006530;
rhotaucb = 0.007837; rhotaucb = 0.007837;
rhotaunb = 0.014035; rhotaunb = 0.014035;
rhotauwfb = 0.007393; rhotauwfb = 0.007393;
......
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