%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% % Dynare Program for AKW2010 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% clc; close all; %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% % 1. VARIABLES: 29 variables, 10 shocks %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% var y $y$ c $c$ a $a$ pi_h $\pi^{h}$ mc_h $mc^h$ pi_f $\pi^{f}$ pi_w $\pi^w$ mc_w $mc^w$ pi $\pi$ w $w$ psi $\psi$ s $s$ q $q$ d $d$ i $i$ r $r$ y_star $y^{\star}$ pi_star $\pi^{\star}$ i_star $i^{\star}$ z $z$ mu_c $\mu^c$ mu_h $\mu^h$ mu_f $\mu^f$ mu_w $\mu^w$ mu_d $\mu^d$ mu_i $\mu^i$ d_z $\Delta z$ d_y $\Delta y$ d_y_star $\Delta y^{\star}$ ; varexo eps_z $\epsilon^z$ eps_c $\epsilon^c$ eps_h $\epsilon^h$ eps_f $\epsilon^f$ eps_w $\epsilon^w$ eps_d $\epsilon^d$ eps_i $\epsilon^i$ eps_y_star $\epsilon^{y \star}$ eps_pi_star $\epsilon^{\pi \star}$ eps_i_star $\epsilon^{i \star}$ ; %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% % 2. PARAMETERS: 29 parameters %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% parameters beta $\beta$ zeta $\zeta$ sigma $\sigma$ vartheta $\vartheta$ gamma $\gamma$ eta $\eta$ chi $\chi$ phi $\phi$ theta_h $\theta_h$ theta_f $\theta_f$ theta_w $\theta_w$ varphi_h $\varphi_h$ varphi_f $\varphi_f$ varphi_w $\varphi_w$ rho $\rho$ varrho_pi $\varrho_{\pi}$ varrho_y $\varrho_y$ varrho_d $\varrho_d$ rho_z $\rho_z$ rho_c $\rho_w$ rho_h $\rho_h$ rho_f $\rho_f$ rho_w $\rho_w$ rho_d $\rho_d$ rho_i $\rho_i$ rho1_y_star $\rho_{1, y \star}$ rho1_pi_star $\rho_{1, \pi \star}$ rho1_i_star $\rho_{1, i \star}$ capxi $\Xi$ ; %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% % 3. CALIBRATED PARAMETER VALUES %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% beta = 0.99; gamma = 0.28; //chi = 0.01; //phi = 0; //varrho_d =0; capxi = 6; //3; rho_i = 0; %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% % 4. MODEL: 29 equations %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% model(linear); c = (1/(1+zeta))*c(+1) + (zeta/(1+zeta))*c(-1) - ((1-zeta)/(sigma*(1+zeta)))*(i - pi(+1)) + mu_c; y = (1-gamma)*c + (eta*gamma*(2-gamma))*s + gamma*y_star + eta*gamma*psi; a - (1/beta)*a(-1) = y - c - gamma*(s + psi); pi_h = (varphi_h/(1+varphi_h*beta))*pi_h(-1) + (beta/(1+varphi_h*beta))*pi_h(+1) + (((1-theta_h)*(1-theta_h*beta))/(theta_h*(1+varphi_h*beta)))*mc_h + mu_h; mc_h = w - z + gamma*s; pi_f = (beta/(1+varphi_f*beta))*pi_f(+1) + (varphi_f/(1+varphi_f*beta))*pi_f(-1) + (((1-theta_f)*(1-theta_f*beta))/(theta_f*(1+varphi_f*beta)))*psi + mu_f; pi_w - varphi_w*pi(-1) = beta*(pi_w(+1) - varphi_w*pi) + ( (1-theta_w)*(1-theta_w*beta)/(theta_w*(1+vartheta*capxi)) )*mc_w + mu_w; mc_w = (sigma/(1-zeta))*(c-zeta*c(-1)) + vartheta*(y-z) - w; i - i_star = (1-phi)*d(+1) - phi*d - chi*a + mu_d; i = rho*i(-1) + (1-rho)*( varrho_pi*pi(+1) + varrho_y*d_y + varrho_d*d ) + mu_i; //i = rho*i(-1) + (1-rho)*( varrho_pi*pi + varrho_y*d_y + varrho_d*d ) + mu_i; r = i - pi(+1); pi = (1-gamma)*pi_h + gamma*pi_f; pi_w = w - w(-1) + pi; q = (1-gamma)*s + psi; s - s(-1) = pi_f - pi_h; q - q(-1) = d + pi_star - pi; z = rho_z*z(-1) + eps_z; mu_c = rho_c*mu_c(-1) + eps_c; mu_h = rho_h*mu_h(-1) + eps_h; mu_f = rho_f*mu_f(-1) + eps_f; mu_w = rho_w*mu_w(-1) + eps_w; mu_d = rho_d*mu_d(-1) + eps_d; mu_i = rho_i*mu_i(-1) + eps_i; y_star = rho1_y_star*y_star(-1) + eps_y_star; //+ rho2_y_star*y_star(-2) pi_star = rho1_pi_star*pi_star(-1) + eps_pi_star; //+ rho2_pi_star*pi_star(-2) i_star = rho1_i_star*i_star(-1) + eps_i_star; //+ rho2_i_star*i_star(-2) d_z = z - z(-1); d_y = y - y(-1); d_y_star = y_star - y_star(-1); end; write_latex_dynamic_model; %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% % 5. BAYESIAN PRIORS %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% estimated_params; //beta, calibrated; zeta, beta_pdf, 0.7, 0.15; //0.5, 0.25; //0.15; // sigma, gamma_pdf, 1.5, 0.37; //1.2, 0.4; //***, 1; // vartheta, gamma_pdf, 2, 0.75; //1.5, 0.25; //0.75; //0.5; // //gamma, calibrated; eta, gamma_pdf, 1.5, 0.75; //0.5; //1, 0.25; //0.37; //0.25; // chi, normal_pdf, 0.01, 0.001; phi, beta_pdf, 0.1, 0.2; //0.5, 0.15; // theta_h, beta_pdf, 0.5, 0.15; //0.75, 0.15; // theta_f, beta_pdf, 0.5, 0.15; //0.75, 0.15; // theta_w, beta_pdf, 0.5, 0.15; //0.75, 0.15; // varphi_h, beta_pdf, 0.7, 0.15; //0.5, 0.25; //0.15; // varphi_f, beta_pdf, 0.7, 0.15; //0.5, 0.25; //0.15; // varphi_w, beta_pdf, 0.7, 0.15; //0.5, 0.25; //0.15; // rho, beta_pdf, 0.75, 0.15; //0.5, 0.25; // varrho_pi, gamma_pdf, 1.5, 0.25, 1; //0.3, 1; // varrho_y, gamma_pdf, 0.25, 0.1; //0.12, 0.05; // varrho_d, gamma_pdf, 0.12, 0.05; //0.25, 0.13; // rho_z, beta_pdf, 0.5, 0.2; //0.7, 0.15; // rho_c, beta_pdf, 0.5, 0.2; //0.7, 0.15; // rho_h, beta_pdf, 0.5, 0.2; //0.7, 0.15; // rho_f, beta_pdf, 0.5, 0.2; //0.7, 0.15; // rho_w, beta_pdf, 0.5, 0.2; //0.7, 0.15; // rho_d, beta_pdf, 0.5, 0.2; //0.7, 0.15; // rho_i, beta_pdf, 0.5, 0.2; //0.7, 0.15; // rho1_y_star, beta_pdf, 0.5, 0.2; //0.7, 0.15; // rho1_pi_star, beta_pdf, 0.5, 0.2; //0.7, 0.15; // rho1_i_star, beta_pdf, 0.5, 0.2; //0.7, 0.15; // //rho2_y_star, normal_pdf, 0.2, 0.25; //rho2_pi_star, normal_pdf, 0.2, 0.25; //rho2_i_star, normal_pdf, 0.2, 0.25; stderr eps_z, inv_gamma_pdf, 0.005, inf; stderr eps_c, inv_gamma_pdf, 0.005, inf; stderr eps_h, inv_gamma_pdf, 0.005, inf; stderr eps_f, inv_gamma_pdf, 0.005, inf; stderr eps_w, inv_gamma_pdf, 0.005, inf; stderr eps_d, inv_gamma_pdf, 0.005, inf; stderr eps_i, inv_gamma_pdf, 0.005, inf; stderr eps_y_star, inv_gamma_pdf, 0.005, inf; stderr eps_pi_star, inv_gamma_pdf, 0.005, inf; stderr eps_i_star, inv_gamma_pdf, 0.005, inf; //dsge_prior_weight, uniform_pdf,,,0,2; //capxi, calibrated; end; estimated_params_init; //beta, calibrated; zeta, 0.85; sigma, 1.2; vartheta, 3; //gamma, calibrated; eta, 0.5; chi, 0.01; phi, 0.3; theta_h, 0.8; theta_f, 0.4; theta_w, 0.6; varphi_h, 0.5; varphi_f, 0.5; varphi_w, 0.5; rho, 0.7; varrho_pi, 1.3; varrho_y, 0.3; varrho_d, 0.05; rho_z, 0.7; rho_c, 0.8; rho_h, 0.2; rho_f, 0.8; rho_w, 0.3; rho_d, 0.7; rho_i, 0.3; rho1_y_star, 0.9; rho1_pi_star, 0.5; rho1_i_star, 0.9; stderr eps_z, 0.015; stderr eps_c, 0.0015; stderr eps_h, 0.007; stderr eps_f, 0.07; stderr eps_w, 0.015; stderr eps_d, 0.003; stderr eps_i, 0.003; stderr eps_y_star, 0.005; stderr eps_pi_star, 0.0015; stderr eps_i_star, 0.001; //capxi, calibrated; end; %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% % 6. OBSERVED VARIABLES %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% varobs d_y pi pi_h i d d_y_star pi_star i_star pi_w d_z ; %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% % 7. ESTIMATION %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% estimation(nograph, datafile = Data_Brasil, prefilter = 1, mode_compute = 4, mh_nblocks = 2, mh_replic = 20000, mh_drop = 0.45, mh_jscale = 0.35, nobs = [40:55], forecast = 30) y pi pi_h w s q i d r pi_f d_y pi_w d_z d_y_star pi_star i_star; %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% % 8. DIAGNOSTIC CHECK OF EIGENVALUES %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% check;