43 lines
803 B
Plaintext
43 lines
803 B
Plaintext
// Model from Kydland & Prescott JEDC 1980
|
|
|
|
// case 3: optimal policy with consistent objective (equivalent to kp1980_1.dyn)
|
|
|
|
var C G K TAU Z;
|
|
|
|
varexo EPS;
|
|
|
|
parameters eta beta alpha delta phi a rho;
|
|
|
|
eta = 2;
|
|
beta = 0.99;
|
|
alpha = 0.3;
|
|
delta = 0.10;
|
|
phi = 2.5;
|
|
a = 0.1;
|
|
rho = 0.7;
|
|
|
|
planner_objective C^(1-eta)/(1-eta) + a*G^(1-phi)/(1-phi);
|
|
|
|
planner_discount beta;
|
|
|
|
model;
|
|
K = (1-delta)*K(-1) + (exp(Z(-1))*K(-1)^alpha - C(-1) - G(-1));
|
|
G = TAU*alpha*K^alpha;
|
|
Z = rho*Z(-1) + EPS;
|
|
C^(-eta) = beta*C(+1)^(-eta)*(1-delta+exp(Z(+1))*alpha*K(+1)^(alpha-1)*(1-alpha*TAU(+1))) + beta*a*G(+1)^(-phi)*TAU(+1)*exp(Z(+1))*alpha^2*K(+1)^(alpha-1);
|
|
end;
|
|
|
|
initval;
|
|
TAU = 0.70;
|
|
K = ((delta+1/beta-1)/alpha)^(1/(alpha-1));
|
|
G = TAU*alpha*K^alpha;
|
|
C = K^alpha - delta*K - G;
|
|
Z = 0;
|
|
end;
|
|
|
|
order = 4;
|
|
|
|
vcov = [
|
|
0.01
|
|
];
|