Dynare++ with idiosyncratic shocks


I have this model, where all the explanations are provided as comments. Can somoeone suggest whether the particular mdoel is possible to be solved by dynare/dynare++. And if not, how I can modified to be able to solve it ?

[code]var list;

varexo e;

parameters list;

%% All assets at time {t+1} are decided at time t for the agents. Hence all assets are predetermined.


\consumers - Stationary Model

varrho=(v(+1)*R(+1))^(1-gamma); % Aux. Variable for Epstein-zin preferences
v=(1+(beta^(1/mu))*varrho^(par))^(1/((1/mu)-1)); % Recursive equation for the value function
u=v^(1-(1/mu)); % Marginal propensity to consume out of wealth

\portfolio choice - Static

(v(+1))^(1-gamma)R(+1))^(-gamma)(Rk(+1)-Rf(+1))=0; % 1st FOC for portfolio choice
(v(+1))^(1-gamma)R(+1))^(-gamma)(1+rh(+1)-delta+ eta(+1)-Rf(+1))=0; % 2nd FOC for portfolio choice

// definitions

R(+1)=(1-theta1(+1)-theta2(+1))*Rf(+1)+theta1(+1)*Rk(+1)+theta2(+1)*Rh(+1); % Gross returns - I take the expected value for dynare to understand eta=0 in SS

Rf=1+rf; % Gross risk-free return
Rk=(1+rk-delta); % Gross Risky returns from capital along the cycle
Rh=1+rh-delta+eta; % Gross Risky returns from Human Capital
premium=rf-rk; % Risk premium
theta1=k(-1)/s(-1); % Share of Phyisical capital asset - theta1(+1) is known in t
theta2=1/s(-1); % Share of Human Capital asset - theta2(+1) is known in t
s=b+k+1; % Wealth


y=Ak(-1)^alpha; % output
alphak(-1)^(alpha-1); % real returns to physical capital
(1-alpha)*k(-1)^alpha; % real returns to human capital

b*(1+gr)+tauk*rk(-1)k(-1)+tauhrh(-1)=(1+rf)b(-1)+g(-1); %Government budget constraint
y; %government spending rule

//expected growth rate


//exogenous shocks
log(A)=rho*log(A(-1))+(1-rho)logAA +e; % AR(1) for aggregate shocks
e; % IID normally distributed
% idiosyncratic shock with zero mean and time varying variance sigmat^2
% Assumption, the idiosyncratic shock is indepedant from the aggregate

sigmat^2=(sigma*(1-elas*ln(A)))^2] % the rule for variance

%% Steady state Definition

% 1. Deterministic Macroeconomic Steady state => Aggregate Shocks are switched-off and TFP normalized to 1
% 2. Individual shocks are still present ==> eta process switches from Heteroskedastic to homoskedastic with sigmat^2=sigma^2

% Hence the model is isomorphic to a one agent model with two types of shocks
% where the one type of shock (Aggregate) switches-off while the idiosyncratic still operates
% from the assumptions of the model we know - AGGREGATE variables are deterministic and the distribution is not a relevant state variable
% In terms of assets, the model switches from three different types of assets along the Business Cyle to two
% types of assets in the Steady State, since Rf=Rk
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% [/code]

Let’s suppose, that I can solve the model myself in the SS by my own program. Can Dynaree++ use my steady state file in order to calculate the transitional dynamics (aka impulse responses etc etc.)