48 lines
1.2 KiB
Modula-2
48 lines
1.2 KiB
Modula-2
% inflation target (pitarg) modelled as AR1
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% cy = 0.614479/0.769365 - obtained from the computed steady state from the nonlinear counterpart
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var pi mc mun muc c y n r g a pitarg ;
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varexo eps_g eps_a eps_e eps_m eps_targ;
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parameters beta xi hc wd sigma gamma rho_g rho_a rho_r rho_targ thetap cy varrho;
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beta = 0.99;
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xi = 0.5034;
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hc = 0.0;
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wd = 0.40;
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gamma = 0.5868;
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sigma = 4.0897;
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cy = 0.614479/0.769365;
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rho_g = 0.8325;
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rho_a = 0.9827;
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rho_r = 0.3529;
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thetap = 2.2161;
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varrho = 0.3853;
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rho_targ = 0.6133;
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model(linear);
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pi = (beta/(1+beta*gamma))*pi(+1)+(gamma/(1+beta*gamma))*pi(-1)+(((1-beta*xi)*(1-xi))/((1+beta*gamma)*xi))*(mc+eps_m);
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mc = mun-muc-a;
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mun = (c-hc*c(-1))/(1-hc)+wd*n/(1-wd)+muc;
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muc = ((1-varrho)*(1-sigma)-1)*(c-hc*c(-1))/(1-hc)-wd*varrho*(1-sigma)*n/(1-wd);
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muc(+1) = muc-(r-pi(+1));
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y = cy*c+(1-cy)*g;
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n = y-a;
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r = rho_r*r(-1)+thetap*(1-rho_r)*(pi(+1)-rho_targ*pitarg)+eps_e;
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g = rho_g*g(-1)+eps_g;
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a = rho_a*a(-1)+eps_a;
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pitarg = rho_targ*pitarg(-1)+eps_targ;
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end;
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shocks;
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var eps_g; stderr 3.8505;
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var eps_a; stderr 0.7573;
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var eps_e; stderr 0.2409;
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var eps_m; stderr 0.8329;
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var eps_targ; stderr 0.3978;
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end;
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varobs pi mc mun muc c y n r g a pitarg;
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stoch_simul(partial_information,irf=30)pi y r;//pi n c y r;
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