Commit f88087b3 authored by Thomas Brand's avatar Thomas Brand

Adapt Taylor rule to France and add endogenous risk premium on R.

parent 29353112
......@@ -7,7 +7,9 @@ ZETAIBAR=1;
GAMMANBAR=0.985;
ng=0.75;
vartheta=2;
gammabw=0.01;
shfr=0.2;
gammab=0.001;
gammabw=0.001;
phi2=0.1;
tauo=0;
bigtheta=0.005;
......
......@@ -28,6 +28,7 @@ GAMMAPRC
GAMMAPRI
GAMMABW
GAMMAB
REFF
GAMMAC
GAMMAI
GAMMAU
......
......@@ -14,7 +14,7 @@ GAMMAI=0;
GAMMAU=0;
COSTI=0;
GAMMABW=0;
GAMMAB=1;
GAMMAB=0;
GAMMAX=0;
GAMMAPRC=0;
GAMMAPRI=0;
......@@ -38,6 +38,7 @@ ZETAI=ZETAIBAR;
A=Z^(1-alpha)*MU^(-alpha);
R=PI*Z/beta;
REFF=R;
RW=R;
PIW=PI;
......
......@@ -15,8 +15,9 @@ C=(1-omega)*CR+omega*CNR;
% Intra-households tranfers
iota*TNR=(1-iota)*TR;
% Euler equation for domestic public bonds
LAMBDA=GAMMAB*beta*LAMBDA(+1)/Z(+1)*R/PI(+1);
GAMMAB=XIB*exp(0.001*(B-BBAR));
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);
% Euler equation for foreign public bonds
LAMBDA=beta*LAMBDA(+1)/Z(+1)*RW*(1-GAMMABW)/PI(+1)*DELTAEX(+1);
% External financial intermediation premium
......@@ -28,6 +29,8 @@ 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
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
......@@ -49,13 +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
......@@ -131,11 +134,11 @@ GAMMAPRI=gammai*(XIM^(-1/gammai)*(IM/I)/(IM(-1)/I(-1))-1)*(XIM^(-1/gammai)*1/I/(
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% Taylor rule
R/steady_state(R)=(R(-1)/steady_state(R))^rhor*((PI/PIBAR)^(gammapi)*(YD/YD(-1))^(gammay))^(1-rhor)*exp(XIR);
R/steady_state(R)=(R(-1)/steady_state(R))^rhor*((PI/PIBAR)^(shfr*gammapi)*(YD/YD(-1))^(shfr*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+(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;
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+((1-GAMMAB)*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;
......@@ -167,7 +170,7 @@ X=VX*YX;
% Price dispersion for export goods
VX=thetax*(PIX(-1)^chix*PIBAR^(1-chix)/PIX)^(-EPSX)*VX(-1)+(1-thetax)*PIXSTAR^(-EPSX);
% Net foreign assets
EXBW=RW*EXBW(-1)*DELTAEX/(Z*PI)+TB;
EXBW=(1-GAMMABW)*RW*EXBW(-1)*DELTAEX/(Z*PI)+TB;
% Trade balance
TB=PXOPEX*X-PWOPEX*M;
......
......@@ -28,6 +28,8 @@ tauk
ZETAIBAR
GAMMANBAR
QKONBAR
shfr
gammab
gammabw
phi2
tauo
......
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;
......@@ -11,15 +20,7 @@ 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;
rhotauc = 0.926178;
rhotaun = 0.918729;
......
......@@ -19,5 +19,7 @@ steady;
@#include "calibrated-shocks.inc"
stoch_simul(order=1,irf=40,bandpass_filter) YD C I LD W PI R B GC;
check;
stoch_simul(order=1,irf=100) YD C I LD W PI R B GC EXBW GAMMAB M X RW GAMMABW REFF MC;
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