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Fix agtrend.mod

time-shift
Johannes Pfeifer 2013-09-10 16:49:21 +02:00
parent df5f2765ae
commit cdb8f793b5
1 changed files with 29 additions and 16 deletions
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examples/agtrend.mod
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@ -1,15 +1,27 @@
/*
* This file replicates the model studied in:
* Aguiar, Mark and Gopinath, Gita (2004): "Emerging Market Business Cycles:
* The Cycle is the Trend" (NBER WP 10734)
* The Cycle is the Trend" (NBER WP 10734). It is different from version published
* in the Journal of Political Economy.
*
* This model file is intended to show the capabilities of the Dynare macro
* languange. It is not intended to provide a full replication of the original
* paper due to some differences in model calibration. In
* particular, this mod-file does not calibrate the share of debt to GDP
* to 0.1 as this would require the use of a steady state file. Rather, the
* absolute value of debt is set to 0.1. Given that output is close to 1 in
* the benchmark specification, this results in only a small difference to
* the working paper.
* The mod-file reproduces Figure 4 of the working paper, which displays the
* model response to 1 percent shock to trend and cyclical TFP.
*
* This implementation was written by Sébastien Villemot. Please note that the
* following copyright notice only applies to this Dynare implementation of the
* model.
* This implementation was written by Sébastien Villemot and Johannes Pfeifer.
* Please note that the following copyright notice only applies to this Dynare
* implementation of the model.
*/
/*
* Copyright (C) 2012 Dynare Team
* Copyright (C) 2012-13 Dynare Team
*
* This file is part of Dynare.
*
@ -54,7 +66,7 @@ sigma = 2;
delta = 0.03;
beta = 0.98;
psi = 0.001;
b_star = 0.1;
b_star = 0.1; //taken here as the steady state value of debt; in the original paper, this is the share of debt to GDP
// Estimated parameters (table 4)
@#if mexico == 1
@ -98,8 +110,8 @@ r_star = mu_g^sigma/beta - 1;
r_star = mu_g^(1-gamma*(1-sigma))/beta - 1;
@#endif
model;
y=exp(z)*k(-1)^(1-alpha)*l^alpha; // Production technology (1)
model; //equation numbers refer to numbers in the working paper version
y=exp(z)*k(-1)^(1-alpha)*(g*l)^alpha; // Production technology (1)
z = rho_z*z(-1)+sigma_z*eps_z; // Transitory shock (2)
log(g) = (1-rho_g)*log(mu_g)+rho_g*log(g(-1))+sigma_g*eps_g; // Trend shock
@#if ghh == 1
@ -115,13 +127,14 @@ f = beta*g^(gamma*(1-sigma));
@#endif
c+g*k=y+(1-delta)*k(-1)-phi/2*(g*k/k(-1)-mu_g)^2*k(-1)-b(-1)+q*g*b; // Resource constraint (5)
1/q = 1+r_star+psi*(exp(b-b_star)-1); // Price of debt (6)
uc*(1+phi*(g*k/k(-1)-mu_g))*g=f*uc(+1)*(1-delta+(1-alpha)*y(+1)/k+phi/2*(g(+1)*k(+1)/k-mu_g)*(g(+1)*k(+1)/k+mu_g)); // FOC wrt to capital (10)
uc*(1+phi*(g*k/k(-1)-mu_g))*g=f*uc(+1)*(1-delta+(1-alpha)*y(+1)/k+phi/2*(g(+1)*k(+1)/k-mu_g)*(g(+1)*k(+1)/k+mu_g)); // FOC wrt to capital (10) with envelope condition plugged in
ul+uc*alpha*y/l=0; // Leisure-consumption arbitrage (11)
uc*g*q=f*uc(+1); // Euler equation (12)
tb_y = (b(-1)-g*q*b)/y; // Trade balance to GDP ratio
c_y = c/y; // Consumption to GDP ratio
i_y = (g*k-(1-delta)*k(-1))/y; // Investment to GDP ratio
//definition of auxilary variables to be plotted
tb_y = (b(-1)-g*q*b)/y; // Trade balance to GDP ratio, not logged as it can be negative
c_y = log(c/y); // Consumption to GDP ratio, logged to be in percent
i_y = log((g*k-(1-delta)*k(-1)+phi/2*(g*k/k(-1)-mu_g)^2*k(-1))/y); // Investment to GDP ratio, logged to be in percent
end;
initval;
@ -153,13 +166,13 @@ i_y = (g*k-(1-delta)*k)/y;
end;
shocks;
var eps_g = 1;
var eps_z = 1;
var eps_g; stderr 1/sigma_g/100; // use a 1 percent shock
var eps_z; stderr 1/sigma_z/100; // use a 1 percent shock
end;
steady;
check;
// Plot impulse response functions (figure 4)
stoch_simul tb_y c_y i_y;
// Plot impulse response functions (Figure 4)
stoch_simul(order=1) tb_y c_y i_y;