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macro
marsFR
Compare Revisions
60fc2fceafc6e949941ae233f8bd83fede416784...5ea7aec903223deb9d125827e881bef0a451c5a9
Source
5ea7aec903223deb9d125827e881bef0a451c5a9
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Target
60fc2fceafc6e949941ae233f8bd83fede416784
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Commits (2)
Add YDZE and PIZE as observables.
· 423f4817
Thomas Brand
authored
Jan 28, 2019
423f4817
Add parameters in fiscal rules specific to each instrument.
· 5ea7aec9
Thomas Brand
authored
Jan 28, 2019
5ea7aec9
Hide whitespace changes
Inline
Side-by-side
Showing
12 changed files
with
168 additions
and
68 deletions
+168
-68
calibrated-shocks.inc
mod/common/calibrated-shocks.inc
+23
-21
calibration.inc
mod/common/calibration.inc
+1
-1
endogenous-variables.inc
mod/common/endogenous-variables.inc
+3
-0
estimated-parameters.inc
mod/common/estimated-parameters.inc
+33
-12
exogenous-variables.inc
mod/common/exogenous-variables.inc
+2
-0
initial-values.inc
mod/common/initial-values.inc
+29
-9
load-data.inc
mod/common/load-data.inc
+3
-1
mars_steadystate.source
mod/common/mars_steadystate.source
+2
-0
model.inc
mod/common/model.inc
+13
-11
parameters.inc
mod/common/parameters.inc
+28
-6
values-for-estimated-parameters.inc
mod/common/values-for-estimated-parameters.inc
+29
-7
varobs.inc
mod/common/varobs.inc
+2
-0
No files found.
mod/common/calibrated-shocks.inc
View file @
5ea7aec9
shocks
;
%
var
TAUC_EXO
;
stderr
1
;
%
var
TAUN_EXO
;
stderr
1
;
%
var
TAUWH_EXO
;
stderr
1
;
%
var
TAUWF_EXO
;
stderr
1
;
%
var
TAULS_EXO
;
stderr
1
;
%
var
A_EXO
;
stderr
1
;
%
var
XIA_EXO
;
stderr
1
;
%
var
MU_EXO
;
stderr
1
;
%
var
ZETAI_EXO
;
stderr
1
;
%
var
EPS_EXO
;
stderr
1
;
%
var
EPSW_EXO
;
stderr
1
;
%
var
R_EXO
;
stderr
1
;
%
var
D_EXO
;
stderr
1
;
%
var
XIB_EXO
;
stderr
1
;
var
TAUC_EXO
;
stderr
1
;
var
TAUN_EXO
;
stderr
1
;
var
TAUWH_EXO
;
stderr
1
;
var
TAUWF_EXO
;
stderr
1
;
var
TAULS_EXO
;
stderr
1
;
var
A_EXO
;
stderr
1
;
var
XIA_EXO
;
stderr
1
;
var
MU_EXO
;
stderr
1
;
var
ZETAI_EXO
;
stderr
1
;
var
EPS_EXO
;
stderr
1
;
var
EPSW_EXO
;
stderr
1
;
var
R_EXO
;
stderr
1
;
var
D_EXO
;
stderr
1
;
var
XIB_EXO
;
stderr
1
;
var
GC_EXO
;
stderr
1
;
%
var
GI_EXO
;
stderr
1
;
%
var
T_EXO
;
stderr
1
;
%
var
OTHGOV_EXO
;
stderr
1
;
%
var
SIGMA_EXO
;
stderr
1
;
%
var
GAMMAN_EXO
;
stderr
1
;
%
var
YW_EXO
;
stderr
1
;
%
var
POIL_EXO
;
stderr
1
;
var
GI_EXO
;
stderr
1
;
var
T_EXO
;
stderr
1
;
var
OTHGOV_EXO
;
stderr
1
;
var
SIGMA_EXO
;
stderr
1
;
var
GAMMAN_EXO
;
stderr
1
;
var
YW_EXO
;
stderr
1
;
var
POIL_EXO
;
stderr
1
;
var
YDZE_EXO
;
stderr
1
;
var
PIZE_EXO
;
stderr
1
;
end
;
mod/common/calibration.inc
View file @
5ea7aec9
...
...
@@ -7,7 +7,7 @@ ZETAIBAR=1;
GAMMANBAR
=
0.985
;
ng
=
0.75
;
vartheta
=
2
;
shfr
=
0.
2
;
shfr
=
0.
193
;
gammabw
=
0.001
;
phi2
=
0.1
;
tauo
=
0
;
...
...
mod/common/endogenous-variables.inc
View file @
5ea7aec9
...
...
@@ -144,4 +144,7 @@ TAUWH_OBS $TAUWH\_OBS$ (measure='level', long_name='Contribution rate to social
TAUWF_OBS
$TAUWF
\_OBS
$
(
measure
=
'level'
,
long_name
=
'Contribution rate to social security, by employers'
)
YWORLD_OBS
$YWORLD
\_OBS
$
(
measure
=
'%'
,
long_name
=
'Foreign demand'
)
POIL_OBS
$OIL
\_OBS
$
(
measure
=
'%'
,
long_name
=
'Oil price'
)
YDZE_OBS
$YDZE
\_OBS
$
(
measure
=
'%'
,
long_name
=
'Euro area GDP'
)
PIZE_OBS
$PIZE
\_OBS
$
(
measure
=
'%'
,
long_name
=
'Euro area inflation'
)
;
mod/common/estimated-parameters.inc
View file @
5ea7aec9
...
...
@@ -20,16 +20,41 @@ gammac, GAMMA_PDF, 2.5, 1;
gammai
,
GAMMA_PDF
,
2.5
,
1
;
gammapi
,
NORMAL_PDF
,
1.7
,
0.1
;
gammay
,
BETA_PDF
,
0.5
,
0.2
;
gammab
,
BETA_PDF
,
0.001
,
0.0
1
;
gammab
,
BETA_PDF
,
0.001
,
0.0
005
;
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
;
rhoyw
,
BETA_PDF
,
0.75
,
0.10
;
rhopoil
,
BETA_PDF
,
0.75
,
0.10
;
rhotauls
,
BETA_PDF
,
0.75
,
0.10
;
rhoa
,
BETA_PDF
,
0.75
,
0.10
;
rhoxia
,
BETA_PDF
,
0.75
,
0.10
;
rhomu
,
BETA_PDF
,
0.75
,
0.10
;
...
...
@@ -40,12 +65,6 @@ rhor, BETA_PDF, 0.75, 0.10;
rhod
,
BETA_PDF
,
0.75
,
0.10
;
rhoxib
,
BETA_PDF
,
0.75
,
0.10
;
rhosigma
,
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
;
rhogovy
,
BETA_PDF
,
0.20
,
0.10
;
rhogovb
,
BETA_PDF
,
0.02
,
0.005
;
sigtauc
,
UNIFORM_PDF
,,,
0
,
1
;
sigtaun
,
UNIFORM_PDF
,,,
0
,
1
;
...
...
@@ -61,12 +80,14 @@ 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
;
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
;
mod/common/exogenous-variables.inc
View file @
5ea7aec9
...
...
@@ -21,4 +21,6 @@ GAMMAN_EXO $\sigma_{\gamma n}$ (long_name='Equity', measure='shock')
SIGMA_EXO
$
\sigma_
{
\sigma
}
$
(
long_name
=
'Financial Risk'
,
measure
=
'shock'
)
YW_EXO
$
\sigma_
{
yw
}
$
(
long_name
=
'Foreign demand'
,
measure
=
'shock'
)
POIL_EXO
$
\sigma_
{
oil
}
$
(
long_name
=
'Oil price'
,
measure
=
'shock'
)
YDZE_EXO
$
\sigma_
{
ydze
}
$
(
long_name
=
'Euro area GDP'
,
measure
=
'shock'
)
PIZE_EXO
$
\sigma_
{
\pi
ze
}
$
(
long_name
=
'Euro area inflation'
,
measure
=
'shock'
)
;
mod/common/initial-values.inc
View file @
5ea7aec9
omega
,
0.
6
86049
;
omega
,
0.
2
86049
;
iota
,
0.498892
;
epsk
,
0.811827
;
epsg
,
0.
172664
;
epsg
,
0.
8
;
h
,
0.568159
;
thetaw
,
0.774568
;
thetap
,
0.787178
;
...
...
@@ -22,13 +22,37 @@ gammapi,1.732484 ;
gammay
,
0.895491
;
gammab
,
0.001
;
FBAR
,
0.009991
;
rhotauc
,
0.926178
;
rhotaun
,
0.918729
;
rhotauwh
,
0.966294
;
rhotauwf
,
0.967888
;
rhotauls
,
0.625948
;
rhogc
,
0.937163
;
rhogi
,
0.961622
;
rhot
,
0.898516
;
rhoothgov
,
0.823865
;
rhotaucb
,
0.011807
;
rhotaunb
,
0.011807
;
rhotauwhb
,
0.011807
;
rhotauwfb
,
0.011807
;
rhotaulsb
,
0.011807
;
rhogcb
,
0.011807
;
rhogib
,
0.011807
;
rhoothgovb
,
0.011807
;
rhotb
,
0.011807
;
rhotaucy
,
0.0926178
;
rhotauny
,
0.0918729
;
rhotauwhy
,
0.0966294
;
rhotauwfy
,
0.0967888
;
rhotaulsy
,
0.0625948
;
rhogcy
,
0.154495
;
rhogiy
,
0.154495
;
rhoothgovy
,
0.154495
;
rhoty
,
0.154495
;
rhoyw
,
0.942149
;
rhopoil
,
0.927868
;
rhotauls
,
0.625948
;
rhoa
,
0.861692
;
rhoxia
,
0.987510
;
rhomu
,
0.826122
;
...
...
@@ -39,12 +63,6 @@ rhor,0.906523 ;
rhod
,
0.559434
;
rhoxib
,
0.918113
;
rhosigma
,
0.960773
;
rhogc
,
0.937163
;
rhogi
,
0.961622
;
rhot
,
0.898516
;
rhoothgov
,
0.823865
;
rhogovy
,
0.154495
;
rhogovb
,
0.011807
;
sigtauc
,
0.010030
;
sigtaun
,
0.019346
;
sigtauwh
,
0.007444
;
...
...
@@ -67,3 +85,5 @@ siggamman,0.007366 ;
sigsigma
,
0.035105
;
sigyw
,
0.017308
;
sigpoil
,
0.154146
;
sigydze
,
0.154146
;
sigpize
,
0.154146
;
mod/common/load-data.inc
View file @
5ea7aec9
// Load data in levels.
dataFRlevels
=
dseries
(
'../../data/dataFR
_forecast
.csv'
);
dataFRlevels
=
dseries
(
'../../data/dataFR.csv'
);
// Remove the first observations (same starting date as in CMR) and rename the dseries object.
dataFR
=
dataFRlevels
(
1995
Q1
:
dataFRlevels
.
dates
(
end
));
...
...
@@ -29,6 +29,8 @@ dataFR = dataFR.rename('loans_nfc_rpc', 'CREDIT_OBS');
dataFR
=
dataFR
.
rename
(
'networth_rpc'
,
'NETWORTH_OBS'
);
dataFR
=
dataFR
.
rename
(
'world_demand'
,
'YWORLD_OBS'
);
dataFR
=
dataFR
.
rename
(
'oil_prices'
,
'POIL_OBS'
);
dataFR
=
dataFR
.
rename
(
'eagdp_rpc'
,
'YDZE_OBS'
);
dataFR
=
dataFR
.
rename
(
'eadefgdp'
,
'PIZE_OBS'
);
// Set subsample used to demean the dataFR
range
=
1995
Q2
:
2016
Q4
;
...
...
mod/common/mars_steadystate.source
View file @
5ea7aec9
...
...
@@ -261,6 +261,8 @@ CREDITSPREAD_OBS= 1;
NETWORTH_OBS = 1;
YWORLD_OBS = 1;
POIL_OBS = 1;
YDZE_OBS = 1;
PIZE_OBS = 1;
TAUC_OBS=TAUC;
TAUN_OBS=TAUN;
TAUWH_OBS=TAUWH;
...
...
mod/common/model.inc
View file @
5ea7aec9
...
...
@@ -135,8 +135,8 @@ GAMMAPRI=gammai*(XIM^(-1/gammai)*(IM/I)/(IM(-1)/I(-1))-1)*(XIM^(-1/gammai)*1/I/(
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
);
PIZE
=
PI
^
shfr
*
PIRZE
^
(
1
-
shfr
)
*
exp
(
sigpize
*
PIZE_EXO
)
;
YDZE
=
YD
^
shfr
*
YDRZE
^
(
1
-
shfr
)
*
exp
(
sigydze
*
YDZE_EXO
)
;
%
Taylor
rule
R
/
steady_state
(
R
)
=
(
R
(
-
1
)
/
steady_state
(
R
))
^
rhor
*
((
PIZE
/
PIBAR
)
^
(
gammapi
)
*
(
YDZE
/
YDZE
(
-
1
))
^
(
gammay
))
^
(
1
-
rhor
)
*
exp
(
XIR
);
...
...
@@ -237,16 +237,16 @@ D=D(-1)^rhod*exp(sigd*D_EXO);
%
domestic
risk
premium
XIB
=
XIB
(
-
1
)
^
rhoxib
*
exp
(
sigxib
*
XIB_EXO
);
%
fiscal
shocks
GC
/
steady_state
(
GC
)
=
(
GC
(
-
1
)
/
steady_state
(
GC
))
^
rhogc
*
(
B
(
-
1
)
/
BBAR
)
^
(
-
rhog
ovb
)
*
(
YD
/
YD
(
-
1
))
^
(
-
rhogov
y
)
*
exp
(
siggc
*
GC_EXO
);
OTHGOV
/
steady_state
(
OTHGOV
)
=
(
OTHGOV
(
-
1
)
/
steady_state
(
OTHGOV
))
^
rhoothgov
*
(
B
(
-
1
)
/
BBAR
)
^
(
-
rho
govb
)
*
(
YD
/
YD
(
-
1
))
^
(
-
rho
govy
)
*
exp
(
sigothgov
*
OTHGOV_EXO
);
GI
/
steady_state
(
GI
)
=
(
GI
(
-
1
)
/
steady_state
(
GI
))
^
rhogi
*
(
B
(
-
1
)
/
BBAR
)
^
(
-
rhog
ovb
)
*
(
YD
/
YD
(
-
1
))
^
(
-
rhogov
y
)
*
exp
(
siggi
*
GI_EXO
);
T
/
steady_state
(
T
)
=
(
T
(
-
1
)
/
steady_state
(
T
))
^
rhot
*
(
B
(
-
1
)
/
BBAR
)
^
(
-
rho
govb
)
*
(
YD
/
YD
(
-
1
))
^
(
-
rhogov
y
)
*
exp
(
sigt
*
T_EXO
);
GC
/
steady_state
(
GC
)
=
(
GC
(
-
1
)
/
steady_state
(
GC
))
^
rhogc
*
(
B
(
-
1
)
/
BBAR
)
^
(
-
rhog
cb
)
*
(
YD
/
YD
(
-
1
))
^
(
-
rhogc
y
)
*
exp
(
siggc
*
GC_EXO
);
OTHGOV
/
steady_state
(
OTHGOV
)
=
(
OTHGOV
(
-
1
)
/
steady_state
(
OTHGOV
))
^
rhoothgov
*
(
B
(
-
1
)
/
BBAR
)
^
(
-
rho
othgovb
)
*
(
YD
/
YD
(
-
1
))
^
(
-
rhooth
govy
)
*
exp
(
sigothgov
*
OTHGOV_EXO
);
GI
/
steady_state
(
GI
)
=
(
GI
(
-
1
)
/
steady_state
(
GI
))
^
rhogi
*
(
B
(
-
1
)
/
BBAR
)
^
(
-
rhog
ib
)
*
(
YD
/
YD
(
-
1
))
^
(
-
rhogi
y
)
*
exp
(
siggi
*
GI_EXO
);
T
/
steady_state
(
T
)
=
(
T
(
-
1
)
/
steady_state
(
T
))
^
rhot
*
(
B
(
-
1
)
/
BBAR
)
^
(
-
rho
tb
)
*
(
YD
/
YD
(
-
1
))
^
(
-
rhot
y
)
*
exp
(
sigt
*
T_EXO
);
TAUC
/
TAUCBAR
=
(
TAUC
(
-
1
)
/
TAUCBAR
)
^
rhotauc
*
exp
(
sigtauc
*
TAUC_EXO
);
TAUN
/
TAUNBAR
=
(
TAUN
(
-
1
)
/
TAUNBAR
)
^
rhotaun
*
exp
(
sigtaun
*
TAUN_EXO
);
TAUWH
/
TAUWHBAR
=
(
TAUWH
(
-
1
)
/
TAUWHBAR
)
^
rhotauwh
*
exp
(
sigtauwh
*
TAUWH_EXO
);
TAUWF
/
TAUWFBAR
=
(
TAUWF
(
-
1
)
/
TAUWFBAR
)
^
rhotauwf
*
exp
(
sigtauwf
*
TAUWF_EXO
);
TAULS
/
steady_state
(
TAULS
)
=
(
TAULS
(
-
1
)
/
steady_state
(
TAULS
))
^
rhotauls
*
exp
(
sigtauls
*
TAULS_EXO
);
TAUC
/
TAUCBAR
=
(
TAUC
(
-
1
)
/
TAUCBAR
)
^
rhotauc
*
(
B
(
-
1
)
/
BBAR
)
^
(
rhotaucb
)
*
(
YD
/
YD
(
-
1
))
^
(
rhotaucy
)
*
exp
(
sigtauc
*
TAUC_EXO
);
TAUN
/
TAUNBAR
=
(
TAUN
(
-
1
)
/
TAUNBAR
)
^
rhotaun
*
(
B
(
-
1
)
/
BBAR
)
^
(
rhotaunb
)
*
(
YD
/
YD
(
-
1
))
^
(
rhotauny
)
*
exp
(
sigtaun
*
TAUN_EXO
);
TAUWH
/
TAUWHBAR
=
(
TAUWH
(
-
1
)
/
TAUWHBAR
)
^
rhotauwh
*
(
B
(
-
1
)
/
BBAR
)
^
(
rhotauwhb
)
*
(
YD
/
YD
(
-
1
))
^
(
rhotauwhy
)
*
exp
(
sigtauwh
*
TAUWH_EXO
);
TAUWF
/
TAUWFBAR
=
(
TAUWF
(
-
1
)
/
TAUWFBAR
)
^
rhotauwf
*
(
B
(
-
1
)
/
BBAR
)
^
(
rhotauwfb
)
*
(
YD
/
YD
(
-
1
))
^
(
rhotauwfy
)
*
exp
(
sigtauwf
*
TAUWF_EXO
);
TAULS
/
steady_state
(
TAULS
)
=
(
TAULS
(
-
1
)
/
steady_state
(
TAULS
))
^
rhotauls
*
(
B
(
-
1
)
/
BBAR
)
^
(
rhotaulsb
)
*
(
YD
/
YD
(
-
1
))
^
(
rhotaulsy
)
*
exp
(
sigtauls
*
TAULS_EXO
);
%
fa
shocks
GAMMAN
=
GAMMANBAR
*
exp
(
siggamman
*
GAMMAN_EXO
);
SIGMA
=
steady_state
(
SIGMA
)
^
(
1
-
rhosigma
)
*
SIGMA
(
-
1
)
^
rhosigma
*
exp
(
sigsigma
*
SIGMA_EXO
);
...
...
@@ -278,3 +278,5 @@ TAUWH_OBS=TAUWH;
TAUWF_OBS
=
TAUWF
;
YWORLD_OBS
=
YW
/
YW
(
-
1
);
POIL_OBS
=
POILOPEX
/
POILOPEX
(
-
1
);
PIZE_OBS
=
PIZE
/
PIBAR
;
YDZE_OBS
=
YDZE
/
YDZE
(
-
1
);
mod/common/parameters.inc
View file @
5ea7aec9
...
...
@@ -77,11 +77,37 @@ 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'
)
rhotauwf
$
\rho_
{
\tau
wf
}
$
(
long_name
=
'Autocorrelation, contribution rate to social security, by employers'
,
measure
=
'shock'
)
rhotauls
$
\rho_
{
\tau
ls
}
$
(
long_name
=
'Autocorrelation, lump-sum transfers'
,
measure
=
'shock'
)
rhogc
$
\rho_
{
gc
}
$
(
long_name
=
'Autocorrelation, government consumption 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'
)
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'
)
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'
)
...
...
@@ -91,12 +117,6 @@ rhoepsw $\rho_{\epsilon w}$ (long_name='Autocorrelation, wage markup shock', mea
rhor
$
\rho_
{
r
}
$
(
long_name
=
'Autocorrelation, monetary policy shock'
,
measure
=
'shock'
)
rhod
$
\rho_
{
d
}
$
(
long_name
=
'Autocorrelation, consumption preferences shock'
,
measure
=
'shock'
)
rhoxib
$
\rho_
{
\xi
b
}
$
(
long_name
=
'Autocorrelation, government bond risk shock'
,
measure
=
'shock'
)
rhogc
$
\rho_
{
gc
}
$
(
long_name
=
'Autocorrelation, government consumption 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'
)
rhoothgov
$
\rho_
{
othgov
}
$
(
long_name
=
'Autocorrelation, other government expenditures shock'
,
measure
=
'shock'
)
rhogovy
$
\rho_
{
g
y
}
$
(
long_name
=
'Output feedback in fiscal rule'
,
measure
=
'shock'
)
rhogovb
$
\rho_
{
g
b
}
$
(
long_name
=
'Debt feedback in fiscal rule'
,
measure
=
'shock'
)
rhosigma
$
\rho_
{
\sigma
}
$
(
long_name
=
'Autocorrelation, financial risk shock'
,
measure
=
'shock'
)
rhoyw
$
\rho_
{
yw
}
$
(
long_name
=
'Autocorrelation, foreign demand shock'
,
measure
=
'shock'
)
rhopoil
$
\rho_
{
oil
}
$
(
long_name
=
'Autocorrelation, oil price shock'
,
measure
=
'shock'
)
...
...
@@ -123,4 +143,6 @@ siggamman $\sigma_{\gamma n}$ (long_name='Standard deviation, equity shock', mea
sigsigma
$
\sigma_
{
\sigma
}
$
(
long_name
=
'Standard deviation, financial risk shock'
,
measure
=
'shock'
)
sigyw
$
\sigma_
{
yw
}
$
(
long_name
=
'Standard deviation, foreign demand shock'
,
measure
=
'shock'
)
sigpoil
$
\sigma_
{
oil
}
$
(
long_name
=
'Standard deviation, oil price shock'
,
measure
=
'shock'
)
sigydze
$
\sigma_
{
ydze
}
$
(
long_name
=
'Standard deviation, Euro area GDP shock'
,
measure
=
'shock'
)
sigpize
$
\sigma_
{
\pi
ze
}
$
(
long_name
=
'Standard deviation, Euro area inflation shock'
,
measure
=
'shock'
)
;
mod/common/values-for-estimated-parameters.inc
View file @
5ea7aec9
...
...
@@ -26,13 +26,39 @@ rhopirze = 0.8;
rhoydrze
=
0.8
;
rhoyd
=
0.6
;
rhopi
=
0.6
;
rhotauc
=
0.926178
;
rhotaun
=
0.918729
;
rhotauwh
=
0.966294
;
rhotauwf
=
0.967888
;
rhotauls
=
0.625948
;
rhogc
=
0.937163
;
rhogi
=
0.961622
;
rhot
=
0.898516
;
rhoothgov
=
0.823865
;
rhotaucb
=
0.0926178
;
rhotaunb
=
0.0918729
;
rhotauwhb
=
0.0966294
;
rhotauwfb
=
0.0967888
;
rhotaulsb
=
0.0625948
;
rhogcb
=
0.011807
;
rhogib
=
0.011807
;
rhoothgovb
=
0.011807
;
rhotb
=
0.011807
;
rhotaucy
=
0.0926178
;
rhotauny
=
0.0918729
;
rhotauwhy
=
0.0966294
;
rhotauwfy
=
0.0967888
;
rhotaulsy
=
0.0625948
;
rhogcy
=
0.154495
;
rhogiy
=
0.154495
;
rhoothgovy
=
0.154495
;
rhoty
=
0.154495
;
rhoyw
=
0.942149
;
rhopoil
=
0.927868
;
rhotauls
=
0.625948
;
rhoa
=
0.861692
;
rhoxia
=
0.987510
;
rhomu
=
0.826122
;
...
...
@@ -43,12 +69,6 @@ rhor = 0.906523;
rhod
=
0.559434
;
rhoxib
=
0.918113
;
rhosigma
=
0.960773
;
rhogc
=
0.937163
;
rhogi
=
0.961622
;
rhot
=
0.898516
;
rhoothgov
=
0.823865
;
rhogovy
=
0.154495
;
rhogovb
=
0.011807
;
sigtauc
=
0.010030
;
sigtaun
=
0.019346
;
sigtauwh
=
0.007444
;
...
...
@@ -71,3 +91,5 @@ siggamman = 0.007366;
sigsigma
=
0.035105
;
sigyw
=
0.017308
;
sigpoil
=
0.154146
;
sigydze
=
0.154146
;
sigpize
=
0.154146
;
mod/common/varobs.inc
View file @
5ea7aec9
...
...
@@ -20,3 +20,5 @@ TAUWH_OBS
TAUWF_OBS
YWORLD_OBS
POIL_OBS
PIZE_OBS
YDZE_OBS