136 lines
4.1 KiB
Modula-2
136 lines
4.1 KiB
Modula-2
var c, y_ro, psi, s, tt, pi_h ${\pi_h}$, mc_ro, i_ro, pi_ro ${\pi_\rho}$, pi_eu, pi_f, y_eu, mc_eu, i_eu, g, a, cp, bnr, gs, as ;
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varexo eps_a, eps_g, eps_cp, eps_s, eps_m $\varepsilon_m$, eps_as, eps_gs, eps_ms;
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parameters alfa, niu, delt, teta_h, teta_f, bet, fi, sigm, h, ro, psi_pi $\psi_\pi$, tetas, rhos, psi_pis, psi_y, psi_deltay, rho_g, rho_a, rho_cp, rho_s, rho_gs, rho_as ;
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alfa = 0.425 ;
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bet = 0.99 ;
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niu = 0.6 ;
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delt = 0.3 ;
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teta_h = 0.7 ;
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teta_f = 0.7 ;
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fi = 2 ;
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sigm = 0.5 ;
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h = 0.8 ;
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ro = 0.5 ;
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psi_pi = 1.5 ;
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tetas = 0.7 ;
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rhos = 0.5 ;
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psi_pis = 1.5 ;
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psi_y = 0.25 ;
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psi_deltay = 0.25 ;
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rho_g = 0.5 ;
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rho_a = 0.5 ;
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rho_cp = 0.5 ;
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rho_s = 0.5 ;
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rho_gs = 0.5 ;
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rho_as = 0.5 ;
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model (linear) ;
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// (1) mk clearing condition
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(1-alfa) * c = y_ro - alfa * niu* (2-alfa)* tt - alfa * niu * psi - alfa * y_eu ;
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// (2) terms of trade
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tt - tt(-1) = pi_f - pi_h ;
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// (3) terms of trade, real exchange rate, law of one price gap
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s = psi + (1 - alfa) * tt;
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// (4) domestic producers price setting
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pi_h - delt * pi_h(-1) = (1 - teta_h) * (1- bet * teta_h) / teta_h * mc_ro + bet * ( pi_h(+1) - delt * pi_h) ;
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// (5) domestic real mg costs
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mc_ro = fi * y_ro - (1 + fi) * a + alfa * tt + sigm / (1-h) * (c - h* c(-1)) ;
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// (6) importers price setting
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pi_f - delt * pi_f(-1) = (1 - teta_f) * (1 - bet * teta_f) / teta_f * psi + bet * (pi_f (+1) - delt * pi_f) + cp;
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// (7) complete mk assumption
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c - h * c(-1) = y_eu - h * y_eu(-1) + (1 - h) / sigm * (psi + (1 - alfa) * tt) + g ;
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// (8) domestic inflation
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pi_ro = pi_h + alfa * (tt - tt(-1)) ;
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// (9) UIP
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i_ro - pi_ro(+1) - i_eu + pi_eu(+1) = s(+1) - s + bnr ;
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// (10) domestic monetary policy rule
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i_ro = ro * i_ro(-1) + (1 - ro) * (psi_pi * pi_ro + psi_y * y_ro + psi_deltay * (y_ro - y_ro(-1)) ) + eps_m ;
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// (11) foreign euler equation
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y_eu - h * y_eu(-1) = y_eu(+1) - h * y_eu - (1 - h) / sigm * (i_eu - pi_eu(+1)) + gs - gs(+1) ;
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// (12) foreign producers price setting
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pi_eu = (1 - tetas) * (1 - bet * tetas) / tetas * mc_eu + bet * pi_eu(+1) ;
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// (13) foreign real mg costs
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mc_eu = fi * y_eu - (1 + fi) * as + alfa * tt + sigm / (1-h) * (y_eu - h * y_eu(-1)) ;
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// (14) foreign monetary policy rule
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i_eu = rhos * i_eu(-1) + (1 - rhos) * (psi_pis * pi_eu + psi_y * y_eu) + eps_ms ;
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// exogenous processes
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// (15) domestic shock in preferences (demand sh)
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g = rho_g * g(-1) + eps_g ;
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// (16) domestic technological shock (supply sh)
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a = rho_a * a(-1) + eps_a ;
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// (17) exchange rate shock
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bnr = rho_s * bnr(-1) + eps_s ;
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// (18) foreign shock in preferences
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gs = rho_gs * gs(-1) + eps_gs ;
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// (19) foreign technological shock
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as = rho_as * as(-1) + eps_as ;
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// (20) cost-push shock
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cp = rho_cp * cp(-1) + eps_cp ;
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end ;
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shocks;
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var eps_g; stderr 1 ;
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var eps_a; stderr 1 ;
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var eps_cp; stderr 1 ;
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var eps_s; stderr 1 ;
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var eps_m ; stderr 1 ;
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var eps_gs; stderr 1 ;
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var eps_as; stderr 1 ;
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var eps_ms ; stderr 1 ;
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end ;
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/* steady ;
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*/
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check ;
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estimated_params ;
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niu, 0.6, 0.01, 0.999 ;
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delt, 0.3, 0.01, 0.999 ;
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teta_h, 0.7, 0.01, 0.999 ;
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teta_f, 0.7, 0.01, 0.999 ;
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fi, 2, 0.01, 5 ;
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sigm, 0.5, 0.01, 0.999 ;
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h, 0.8, 0.01, 0.999 ;
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ro, 0.5, 0.01, 0.999 ;
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psi_pi, 1.4, 0.01, 8 ;
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tetas, 0.6, 0.01, 0.999 ;
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rhos, 0.5, 0.01, 0.999 ;
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psi_pis, 1.4, 0.01, 8 ;
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psi_y, 0.25, 0.01, 0.999 ;
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psi_deltay, 0.25, 0.01, 0.999 ;
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rho_g, 0.3, 0.01, 0.999 ;
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rho_a, 0.3, 0.01, 0.999 ;
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rho_cp, 0.3, 0.01, 0.999 ;
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rho_s, 0.3, 0.01, 0.999 ;
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rho_gs, 0.3, 0.01, 0.999 ;
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rho_as, 0.3, 0.01, 0.999 ;
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stderr eps_g, 1, 0.01, 10 ;
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stderr eps_a, 1, 0.01, 10 ;
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stderr eps_cp, 1, 0.01, 10 ;
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stderr eps_s, 1, 0.01, 10 ;
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stderr eps_gs, 1, 0.01, 10 ;
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stderr eps_as, 1, 0.01, 10 ;
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% corr eps_g, eps_a, 0, -1, 1;
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end;
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varobs y_ro, pi_ro, i_ro, s, y_eu, pi_eu, i_eu, tt ;
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options_.TeX =1;
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sensitivity (identification=1, nsam = 500, lik_only = 1, morris=2) ;
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stoch_simul(order=2,irf=20) y_ro pi_ro i_ro s ;
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//order 1 - impulse response functions are simply the algebraic forward iteration of the model's policy
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//order 2 - impulse response functions will be the result of actual Monte Carlo simulations of future shocks
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//specify sucient periods in IRFs to see the graphs return to steady state
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check ;
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/* shock_decomposition y_ro ;
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*/
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