96 lines
3.1 KiB
Modula-2
96 lines
3.1 KiB
Modula-2
// This is the Ramsey model with adjustment costs. Jermann(1998),JME 41, pages 257-275
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// Olaf Weeken
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// Bank of England, 13 June, 2005
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// modified January 20, 2006 by Michel Juillard
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//---------------------------------------------------------------------
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// 1. Variable declaration
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//---------------------------------------------------------------------
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var c, d, erp1, i, k, m1, r1, rf1, w, y, z, mu;
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varexo ez;
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//---------------------------------------------------------------------
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// 2. Parameter declaration and calibration
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//---------------------------------------------------------------------
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parameters alf, chihab, xi, delt, tau, g, rho, zbar, a1, a2, betstar, bet;
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alf = 0.36; // capital share in production function
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//chihab = 0.819; // habit formation parameter
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chihab = 0.98; // habit formation parameter
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xi = 1/4.3; // capital adjustment cost parameter
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delt = 0.025; // quarterly deprecition rate
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g = 1.005; //quarterly growth rate (note zero growth =>g=1)
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tau = 5; // curvature parameter with respect to c
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rho = 0.95; // AR(1) parameter for technology shock
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a1 = (g-1+delt)^(1/xi);
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a2 = (g-1+delt)-(((g-1+delt)^(1/xi))/(1-(1/xi)))*((g-1+delt)^(1-(1/xi)));
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betstar = g/1.011138;
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bet = betstar/(g^(1-tau));
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//---------------------------------------------------------------------
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// 3. Model declaration
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//---------------------------------------------------------------------
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model(use_dll);
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g*k = (1-delt)*k(-1) + ((a1/(1-1/xi))*(g*i/k(-1))^(1-1/xi)+a2)*k(-1);
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d = y - w - i;
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w = (1-alf)*y;
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y = z*g^(-alf)*k(-1)^alf;
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c = w + d;
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mu = (c-chihab*c(-1)/g)^(-tau)-chihab*bet*(c(+1)*g-chihab*c)^(-tau);
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mu = (betstar/g)*mu(+1)*(a1*(g*i/k(-1))^(-1/xi))*(alf*z(+1)*g^(1-alf)*
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(k^(alf-1))+((1-delt+(a1/(1-1/xi))*(g*i(+1)/k)^(1-1/xi)+a2))/
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(a1*(g*i(+1)/k)^(-1/xi))-g*i(+1)/k);
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log(z) = rho*log(z(-1)) + ez;
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m1 = (betstar/g)*mu(+1)/mu;
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rf1 = 1/m1;
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r1 = (a1*(g*i/k(-1))^(-1/xi))*(alf*z(+1)*g^(1-alf)*(k^(alf-1))+
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(1-delt+(a1/(1-1/xi))*(g*i(+1)/k)^(1-1/xi)+a2)/
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(a1*(g*i(+1)/k)^(-1/xi))-g*i(+1)/k);
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erp1 = r1 - rf1;
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end;
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//---------------------------------------------------------------------
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// 4. Initial values and steady state
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//---------------------------------------------------------------------
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initval;
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m1 = betstar/g;
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rf1 = (1/m1);
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r1 = (1/m1);
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erp1 = r1-rf1;
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z = 1;
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k = (((g/betstar)-(1-delt))/(alf*g^(1-alf)))^(1/(alf-1));
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y = (g^(-alf))*k^alf;
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w = (1-alf)*y;
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i = (1-(1/g)*(1-delt))*k;
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d = y - w - i;
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c = w + d;
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mu = ((c-(chihab*c/g))^(-tau))-chihab*bet*((c*g-chihab*c)^(-tau));
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ez = 0;
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end;
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resid;
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steady;
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//---------------------------------------------------------------------
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// 5. Shock declaration
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//
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//---------------------------------------------------------------------
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shocks;
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var ez; stderr 0.001;
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end;
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options_.risky_steadystate = true;
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stoch_simul (order=3,irf=0,periods=20000) erp1, rf1, m1, r1, y, z, c, d, mu, k;
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