Thank you so much professor Pfeifer. It works perfectly now.
I have one more question.
I used dynare codes of Ambrogio Cesa-Bianchi, July 2012 for external debt elastic model. And add your SGU_2003 codes (for finding standard deviation, correlation). In your codes it works find with “periods” how when I used “periods” with Ambrogio Cesa-Bianchi codes I get the following error. Reference to non-existent field ‘gamma_y’.
Error in SU03n (line 252)
*fprintf(‘corr(c_t,y_t): \t %3.2f \n’,oo_.gamma_y{1}(c_pos,y_pos)/sqrt(oo_.var(c_pos,c_pos)oo_.var(y_pos,y_pos)))
Error in dynare (line 235)
evalin(‘base’,fname) ;
%=========================================================================%
% Schmitt-Grohe and Uribe (2003, JIE)
% Ambrogio Cesa-Bianchi, July 2012
%=========================================================================%
% If you find any bugs when using this file or want to give me comments
% and suggestions you can email me at ambrogio.cesabianchi@gmail.com
var d, c, h, y, i, k, a, lambda, tb, ca, riskpremium, r ;
varexo e;
parameters gamma, omega, rho, sigmae, delta, psi, alpha, phi, beta, r_w, d_bar;
alpha = 0.32;
rho = 0.42;
phi = 0.0282;
r_w = 0.04;
gamma = 2.6;
omega = 1.455;
psi = 0.00242;
delta = 0.10;
sigmae = 0.0186;
beta = 1/(1+r_w);
h_ss = ((1-alpha)*(alpha/(r_w+delta))^(alpha/(1-alpha)))^(1/(omega-1));
k_ss = h_ss/(((r_w+delta)/alpha)^(1/(1-alpha)));
i_ss = delta*k_ss;
y_ss = (k_ss^alpha)*(h_ss^(1-alpha));
d_bar = 0.7442;
d_ss = d_bar;
c_ss = y_ss-i_ss-r_w*d_ss;
tb_ss = y_ss-c_ss-i_ss;
model;
d = (1+exp(r(-1)))*d(-1)- exp(y)+exp(c)+exp(i)+(phi/2)*(exp(k)-exp(k(-1)))^2;
exp(y) = exp(a)*(exp(k(-1))^alpha)*(exp(h)^(1-alpha));
exp(k) = exp(i)+(1-delta)*exp(k(-1));
exp(lambda)= beta*(1+exp(r))*exp(lambda(+1));
(exp(c)-((exp(h)^omega)/omega))^(-gamma) = exp(lambda);
((exp(c)-((exp(h)^omega)/omega))^(-gamma))*(exp(h)^omega) = exp(lambda)*(1-alpha)*exp(y);
exp(lambda)*(1+phi*(exp(k)-exp(k(-1)))) = beta*exp(lambda(+1))*(alpha*exp(y(+1))/exp(k)+1-delta+phi*(exp(i(+1))-delta*exp(k)));
a = rho*a(-1)+e;
tb = 1-((exp(c)+exp(i))/exp(y));
ca = (1/exp(y))*(d-d(-1));
riskpremium = psi*(exp(d-d_bar)-1);
exp(r) = r_w+riskpremium;
end;
initval;
r = log((1-beta)/beta);
d = d_ss;
h = log(h_ss);
k = log(k_ss);
y = log(y_ss);
c = log(c_ss);
i = log(i_ss);
tb = 1-((exp(c)+exp(i))/exp(y));
lambda= log((exp(c)-((exp(h)^omega)/omega))^(-gamma));
end;
check;
steady;
shocks;
var e; stderr sigmae;
end;
stoch_simul(order=1, irf=50, graph, periods =1000 );
//Report results from Table 3
y_pos=strmatch('y',M_.endo_names,'exact');
c_pos=strmatch('c',M_.endo_names,'exact');
i_pos=strmatch('i',M_.endo_names,'exact');
d_pos=strmatch('d',M_.endo_names,'exact');
riskpremium_pos=strmatch(' riskpremium',M_.endo_names,'exact');
r_pos=strmatch('r',M_.endo_names,'exact');
h_pos=strmatch('h',M_.endo_names,'exact');
tb_y_pos=strmatch('tb',M_.endo_names,'exact');
ca_y_pos=strmatch('ca',M_.endo_names,'exact');
fprintf('\nstd(y): \t %2.1f \n',sqrt(oo_.var(y_pos,y_pos))*100)
fprintf('std(c): \t %2.1f \n',sqrt(oo_.var(c_pos,c_pos))*100)
fprintf('std(i): \t %2.1f \n',sqrt(oo_.var(i_pos,i_pos))*100)
fprintf('std(d): \t %2.1f \n',sqrt(oo_.var(d_pos,d_pos))*100)
fprintf('std(r): \t %2.1f \n',sqrt(oo_.var(d_pos,r_pos))*100)
fprintf('std(h): \t %2.1f \n',sqrt(oo_.var(h_pos,h_pos))*100)
fprintf('std(tb/y): \t %2.1f \n',sqrt(oo_.var(tb_y_pos,tb_y_pos))*100)
if ~isempty(ca_y_pos)
fprintf('std(ca/y): \t %2.1f \n',sqrt(oo_.var(ca_y_pos,ca_y_pos))*100)
else %complete markets case
fprintf('std(ca/y): \t %2.1f \n',sqrt(oo_.var(ca_y_pos,ca_y_pos))*100)
end
fprintf('corr(y_t,y_t-1): \t %3.2f \n',oo_.autocorr{1}(y_pos,y_pos))
fprintf('corr(c_t,c_t-1): \t %3.2f \n',oo_.autocorr{1}(c_pos,c_pos))
fprintf('corr(i_t,i_t-1): \t %4.3f \n',oo_.autocorr{1}(i_pos,i_pos))
fprintf('corr(h_t,h_t-1): \t %3.2f \n',oo_.autocorr{1}(h_pos,h_pos))
fprintf('corr(tb/y_t,tb/y_t-1): \t %3.2f \n',oo_.autocorr{1}(tb_y_pos,tb_y_pos))
if ~isempty(ca_y_pos)
fprintf('corr(ca/y_t,ca/y_t-1): \t %3.2f \n',oo_.autocorr{1}(ca_y_pos,ca_y_pos))
else %complete markets case
fprintf('corr(ca/y_t,ca/y_t-1): \t %3.2f \n',NaN)
end
fprintf('corr(c_t,y_t): \t %3.2f \n',oo_.gamma_y{1}(c_pos,y_pos)/sqrt(oo_.var(c_pos,c_pos)*oo_.var(y_pos,y_pos)))
fprintf('corr(i_t,y_t): \t %3.2f \n',oo_.gamma_y{1}(i_pos,y_pos)/sqrt(oo_.var(i_pos,i_pos)*oo_.var(y_pos,y_pos)))
fprintf('corr(r_t,y_t): \t %3.2f \n',oo_.gamma_y{1}(r_pos,y_pos)/sqrt(oo_.var(r_pos,r_pos)*oo_.var(y_pos,y_pos)))
fprintf('corr(d_t,y_t): \t %3.2f \n',oo_.gamma_y{1}(d_pos,y_pos)/sqrt(oo_.var(d_pos,d_pos)*oo_.var(y_pos,y_pos)))
fprintf('corr(d_t,c_t): \t %3.2f \n',oo_.gamma_y{1}(d_pos,c_pos)/sqrt(oo_.var(d_pos,d_pos)*oo_.var(c_pos,c_pos)))
fprintf('corr(r_t,c_t): \t %3.2f \n',oo_.gamma_y{1}(r_pos,c_pos)/sqrt(oo_.var(r_pos,r_pos)*oo_.var(c_pos,c_pos)))
fprintf('corr(h_t,y_t): \t %2.1f \n',oo_.gamma_y{1}(h_pos,y_pos)/sqrt(oo_.var(h_pos,h_pos)*oo_.var(y_pos,y_pos)))
fprintf('corr(tb/y_t,y_t): \t %4.3f \n',oo_.gamma_y{1}(tb_y_pos,y_pos)/sqrt(oo_.var(tb_y_pos,tb_y_pos)*oo_.var(y_pos,y_pos)))
if ~isempty(ca_y_pos)
fprintf('corr(ca/y_t,y_t): \t %4.3f \n',oo_.gamma_y{1}(ca_y_pos,y_pos)/sqrt(oo_.var(ca_y_pos,ca_y_pos)*oo_.var(y_pos,y_pos)))
else %complete markets case
fprintf('corr(ca/y_t,y_t): \t %4.3f \n',NaN)
end