Standard deviation of investment

Stochastic simulations
1

Hello,

I have the attached file. Just a simple baseline RBC model.
Standard deviation of investment is 0.8% where it should be something around 3-4%. I cannot see what I am doing wrong. I would be very happy if anybody helps.

Thanks.
baseline.mod (2.7 KB)

2

I attached the wrong file. This is the correct file:
baseline.mod (2.6 KB)

3

You are supposed to consider the log of investment to have it in percent:
baseline1.mod (2.7 KB)

4

Thank you professor.

I have the log-linearized version as well, with government spending shocks. I am trying to replicate the baseline model in the attached paper (no world interest rate shocks, no capital utilization, no habit formation). I still find very different standard deviations (the only standard deviation that matches is of output). Why could that be?

b2.mod (3.3 KB)
letendre2004.pdf (175.3 KB)

5

If you are conducting an exp()-substitution, then the variables are already in logs.

6

I know that. I beg you to check the file. ii cc nn are logs, I defined them like that. But their standard deviations are very weird. i c n’s standard deviations are very weird too. They don’t match those in the paper.

7
  1. Given your use of sigma_z to scale the standard deviations, you need
shocks;
var e_z; stderr 1; 
var e_g; stderr 1; 
end;
  1. G/Y=0.2162 is the target, but for the model in steady state 0.12/exp(0.56873)=0.07.

so check the calibration.

1 Like
8

Thank you SO much. I fixed them.