Steady state BGG financial accelerator

Dynare help (legacy posts)
1

Hello everyone!

I am trying to replicate the steady state risk premium and capital/net worth ratio in BGG(1999). In particular, I am writing a Matlab m-file to compute the steady state.
I would like to program equations (A.1) and (A.2) in the appendix to obtain the BGG steady state values for the risk premium (200bp), the business failure rate (F=0.03 annualized) and the capital/net worth ratio (K/N = 2).

I programmed equations (A.1) and (A.2) as explained in the text, and used the BGG calibration: sigma = 0.28, mu = 0.12, gamma = 0.9728. The problem is that I do not get the steady state risk premium (s) obtained by BGG.
My code is in attachment: can anyone spot the mistake in it?

Thank you very much for your help!
mary
threshold.m (283 Bytes)
BGG financial accelerator.m (787 Bytes)

2

the attached file is what I modified according to your file, however, I also don’t get the results. I hope it help for you.
caliberation.m (1.14 KB)

3

The paper says that the variance is 0.28, not the standard deviation. You need to take the square root of 0.28 to get sigma.