I found a very nice .mod-file called jermann98.mod on the web. It is enclosed to this post. It runs well but I got counterintuitive results:
Although there is a equity risk premium both the riskfree rate as well as the equity return show the same standard deviation in the “Theoretical Moments” output block. How is it possible that there is a equity premium but the equity asset is not rsikier than the riskfree asset?
I also tried the RBC model without any capital adjustment costs and habit persistence (PBAPJermann.mod, which is also enclosed). It then happens that there isn’t any risk premium although there at least should be a tiny one.
Do you have any ideas what could fix these problems? Many thanks in advance.