Dear all
I am running the paper of “Energy Price Shocks and the Macroeconomy: The Role of Consumer Durables” of DHAWAN and JESKE (2008). I derive the log-linearization equation from the appendix of his working paper (2006). At beginning, I key in the codes to matlab and the timing for all variables consist with the appendix, but it can’t run.
The error messages are as follows
[quote]There are 4 eigenvalue(s) larger than 1 in modulus
for 5 forward-looking variable(s)
The rank conditions ISN’T verified!
??? Error using ==> print_info at 43
Blanchard Kahn conditions are not satisfied: indeterminacy
Error in ==> stoch_simul at 81
print_info(info, options_.noprint);
Error in ==> DJ2008 at 245
info = stoch_simul(var_list_);
Error in ==> dynare at 120
evalin(‘base’,fname) ;[/quote]
After decrease the timing for “real interest rate” for one period, it can run, but the result is very different from the paper’s, and some of the variables are not back to the original steady state (0).
Can anyone help me with this problem? It is very important to me.
Thanks in advance!
[code]var N D E_h W H R Z K E_f Y I_D I_K P;
varexo var_Z var_P;
parameters
KoIK delta_K DoID delta_D alpha eta KoX E_foX rho DoA E_hoA Hss phi beta NoY I_DoY I_KOY PE_hoY PE_foY rho_p rho_Z Rss gamma NoD theta DoE_h p;
KoIK = 64.1025641 ;
delta_K = 0.0156 ;
DoID = 14.66523605 ;
delta_D = 0.0682 ;
alpha = 0.36 ;
eta = 0.9963 ;
KoX = 0.856026576 ;
E_foX = 0.143973424 ;
rho = -2.8748 ;
DoA = 0.701383433 ;
E_hoA = 0.298616567 ;
Hss = 0.3 ;
phi = -0.7 ;
beta = 0.99 ;
NoY = 0.622374827 ;
I_DoY = 0.0932 ;
I_KOY = 0.1872 ;
PE_hoY = 0.045564932 ;
PE_foY = 0.051660241 ;
rho_p = 0.9753 ;
rho_Z = 0.95 ;
Rss = 0.02570101 ;
gamma = 0.8032 ;
NoD = 0.45535179 ;
theta = 0.9999758 ;
DoE_h = 29.97368421 ;
p = 0.999230971 ;
model (linear);
//1.capital accumulate
I_K=KoIK*K-(1-delta_K)KoIKK(-1);
//2.durable accumulate
I_D=DoID*D-(1-delta_D)DoIDD(-1);
//3.production function
Y= Z + (alpha)(KoXK(-1)+E_foX*E_f)+(1-alpha)*H;
//4.durable good
(1-delta_D)(N(+1)-N)=(1-gamma)/gammaNoDDoA(N-(DoArhoD+ E_hoArhoE_h(+1))+(rho-1)*D);
//5.energy consumption
(rho-1)E_h+N-P=DoArhoD(-1)+E_hoArho*E_h;
//6.hour work
N+1=W- Hss/(1-Hss)*H;
//7.capital input
-N=betaRssR(+1)-N(+1);
//10.firm energy use
P=Y-(KoXphiK(-1)+E_foXphiE_f)+(phi-1)*E_f;
//11.wage
W+H=Y;
//12.real inrerest rate
R=Y-(KoXphiK(-1)+E_foXphiE_f)+(phi-1)*K(-1);
//13.resource constraint
Y=NoYN+I_DoYI_D+I_KOYI_K+PE_hoY(P+E_h)+PE_foY*(P+E_f);
//14.energy price shock
P=rho_p*P(-1)+var_P;
//16.technology shock
Z=rho_Z*Z(-1)+var_Z;
end;
initval;
N = 0 ;
D = 0 ;
E_h = 0 ;
W = 0 ;
H = 0 ;
R = 0 ;
Z = 0 ;
K = 0 ;
E_f = 0 ;
Y = 0 ;
I_D = 0 ;
I_K = 0 ;
P = 0 ;
end;
resid;
shocks;
//technology shock
var var_Z; stderr 1;
//internation energy shock
var var_P; stderr 1;
end;
steady;
check;
stoch_simul(periods=2000); dynasave(‘mmex1.mat’);[/code]
DJ2008.xls (28 KB)
IRF.pdf (101 KB)