2009-12-22 11:34:06 +01:00
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// Example 2 from Collard's guide to Dynare
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2009-12-16 18:25:06 +01:00
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var y, c, k, a, h, b;
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2009-12-22 11:34:06 +01:00
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varexo e, u;
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2009-12-16 18:25:06 +01:00
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2009-12-22 11:34:06 +01:00
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parameters beta, rho, alpha, delta, theta, psi, tau;
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2009-12-16 18:25:06 +01:00
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alpha = 0.36;
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rho = 0.95;
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tau = 0.025;
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beta = 0.99;
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delta = 0.025;
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psi = 0;
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theta = 2.95;
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model;
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exp(c)*theta*exp(h)^(1+psi)=(1-alpha)*exp(y);
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exp(k) = beta*(((exp(b)*exp(c))/(exp(b(+1))*exp(c(+1))))
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*(exp(b(+1))*alpha*exp(y(+1))+(1-delta)*exp(k)));
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exp(y) = exp(a)*(exp(k(-1))^alpha)*(exp(h)^(1-alpha));
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exp(k) = exp(b)*(exp(y)-exp(c))+(1-delta)*exp(k(-1));
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a = rho*a(-1)+tau*b(-1) + e;
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b = tau*a(-1)+rho*b(-1) + u;
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end;
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initval;
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y = 0.1;
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c = -0.2;
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h = -1.2;
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k = 2.4;
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a = 0;
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b = 0;
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e = 0;
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u = 0;
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end;
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steady;
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shocks;
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var e = 0.009^2;
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var u = 0.009^2;
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end;
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2009-12-22 11:34:06 +01:00
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stoch_simul(periods=2000, drop=200);
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