// By Gilles B. Umba to the economy of Congo, DR // Dynare 4.5.3 //clear all; var y_os mc_os ppi_os r_os a_os a ygap ppi_h rnat r y yflex ppi s q e p_h cpi_level v v_os nom_deprec ppi_average d_y_os d_ppi_os d_r_os d_r d_y d_e d_ppi d_q c nx trade_bal; varexo eps_a_os eps_a eps_v eps_v_os eps_s eps_y eps_ppi; parameters beta sigma alpha eta phi kappa_a theta omega_a lambda rho_a rho_a_os phi_a_os phi_ppi_os BigPhi_a rho_v rho_v_os BigGamma_a a_shock_correl v_shock_correl rho_r rho_ppi rho_ygap rho_e ; beta = 0.99; sigma = 1; alpha = 0.5; eta = 1; phi = 3; theta = 0.75; lambda = (1-(beta*theta))*(1-theta)/theta; omega_a = 1 + alpha*(2-alpha)*(sigma*eta - 1); kappa_a = lambda*(phi + (sigma/omega_a)); BigTheta_a = sigma*(1-omega_a)/(sigma + phi*omega_a); BigPhi_a = (1-alpha)/omega_a; Parameters of the productivity shocks -------------------------------------- rho_a = 0.75; rho_a_os = 0.75; a_shock_correl = 0.60; rho_v = 0.5; rho_v_os = 0.5; rho_r=0.75; rho_ppi= 1.5; rho_ygap=0.1; rho_e=0.2; Monetary policy in the World economy ------------------------------------- phi_a_os = -(sigma*(1+phi)*(1-rho_a_os)) / (phi+sigma); phi_ppi_os = 1.01; BigGamma_a = omega_a*(1+phi)/(sigma+phi*omega_a); model(linear); y_os = y_os(+1) - (r_os - ppi_os(+1))/sigma; mc_os = (sigma + phi)*y_os - (1+phi)*a_os ; ppi_os = beta*ppi_os(+1) + lambda*mc_os; r_os = phi_ppi_os*ppi_os(+1) + phi_a_os*a_os + v_os; v_os = rho_v_os*v_os(-1)+eps_v_os; a_os = rho_a_os*a_os(-1) + eps_a_os; a = rho_a*a(-1) + eps_a + a_shock_correl*eps_a_os; a = rho_a*a(-1) + eps_a; ygap = ygap(+1) - (omega_a/sigma)*(r - ppi_h(+1) - rnat); ppi_h = beta*ppi_h(+1) + kappa_a*ygap ; rnat = -((sigma*(1+phi)*(1-rho_a))/(sigma + phi*omega_a))*a - phi*(sigma*(1-omega_a)/(sigma + phi*omega_a))*(y_os(+1) - y_os); r = rho_ppi*ppi_average + rho_ygap*ygap + rho_e*(e - e(-1)) + v; v = rho_v*v(-1) + eps_v; ppi_average=(ppi + ppi(-1) + ppi(-2) + ppi(-3))/4; yflex = BigGamma_a*a + (sigma*(1-omega_a)/(sigma + phi*omega_a))*y_os; y = yflex + ygap; y = y_os + (omega_a/sigma)*s + eps_y; ppi = ppi_h + alpha*(s - s(-1)) + eps_ppi; q = (1-alpha)*s; Real exchange rate (13) s - s(-1) = e - e(-1) + ppi_os - ppi_h + eps_s; r-r_os = s(+1) - s; p_h = p_h(-1) + ppi_h; cpi_level = cpi_level(-1) + ppi; nom_deprec = e - e(-1); d_y_os = y_os - y_os(-1); d_ppi_os = ppi_os - ppi_os(-1); d_r_os = r_os - r_os(-1); d_r = r - r(-1); d_y = y - y(-1); d_e = e - e(-1); d_ppi = ppi - ppi(-1); d_q = q - q(-1); c = (1-alpha)*y + alpha*y_os; nx = alpha*((2-alpha)*(sigma*eta -1)+(1-sigma))/omega_a*(y - y_os); trade_bal = nx - nx(-1); end; steady; check; shocks; var eps_v; stderr 0.075; var eps_v_os; stderr 0.05; var eps_a; stderr 0.1; var eps_a_os; stderr 0.1; var eps_s; stderr 0.1; var eps_y; stderr 0.1; var eps_ppi; stderr 0.1; end; estimated_params; beta,GAMMA_PDF, 0.99,0.1; sigma,GAMMA_PDF, 1,0.1 ; //1.2 alpha,BETA_PDF, 0.6,0.1 ;//0.4 eta, GAMMA_PDF,1,0.1; phi,GAMMA_PDF,3,0.1; theta,GAMMA_PDF,0.75,0.1; lambda,NORMAL_PDF,(1-(beta*theta))*(1-theta)/theta,0.1; omega_a,GAMMA_PDF,1 + alpha*(2-alpha)*(sigma*eta - 1),0.1; kappa_a,GAMMA_PDF,lambda*(phi + (sigma/omega_a)),0.1 ; BigGamma_a,GAMMA_PDF,omega_a*(1+phi)/(sigma+phi*omega_a),0.1; a_shock_correl,BETA_PDF,0.30,0.1;//0.6 //v_shock_correl,BETA_PDF,0.60,0.1; rho_a,NORMAL_PDF,0.9,0.2; rho_a_os,BETA_PDF,0.75,0.2; rho_v,BETA_PDF, 0.3,0.2;//0.5*** rho_v_os,BETA_PDF, 0.3,0.2;//0.3*** //rho_r,BETA_PDF, 0.85,0.1; //0.25, 0.75 rho_ppi,GAMMA_PDF, 1.5,0.1; rho_ygap,NORMAL_PDF, 0.1,0.1; //*** rho_e,GAMMA_PDF, 0.5,0.1;//0.2 phi_ppi_os,GAMMA_PDF,1.01,0.1; phi_a_os,NORMAL_PDF,-(sigma*(1+phi)*(1-rho_a_os)) / (phi+sigma),0.1; stderr eps_a, inv_GAMMA_PDF,0.1,0.5;//0.1 stderr eps_a_os, inv_GAMMA_PDF,0.1,0.5;//0.1 stderr eps_v, inv_GAMMA_PDF, 0.075,0.5;//0.075 stderr eps_v_os, inv_GAMMA_PDF, 0.05,0.5;//0.05 end; varobs ppi_os d_y_os d_r ygap d_y d_e ppi_average; estimation(datafile = database01_00a, mh_replic=500000, diffuse_filter,bayesian_irf,irf=16,mh_jscale=0.26,filtered_var s,mode_check); shock_decomposition(parameter_set = posterior_mode);