74 lines
1.6 KiB
Modula-2
74 lines
1.6 KiB
Modula-2
var y y_s R pie dq pie_s de A y_obs pie_obs R_obs vv ww;
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varexo e_R e_q e_ys e_pies e_A;
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parameters psi1 psi2 psi3 rho_R tau alpha rr k rho_q rho_A rho_ys rho_pies;
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psi1 = 1.54;
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psi2 = 0.25;
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psi3 = 0.25;
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rho_R = 0.5;
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alpha = 0.3;
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rr = 2.51;
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k = 0.5;
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tau = 0.5;
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rho_q = 0.4;
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rho_A = 0.2;
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rho_ys = 0.9;
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rho_pies = 0.7;
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model(block, bytecode, cutoff=0);
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y = y(+1) - (tau +alpha*(2-alpha)*(1-tau))*(R-pie(+1))-alpha*(tau +alpha*(2-alpha)*(1-tau))*dq(+1) + alpha*(2-alpha)*((1-tau)/tau)*(y_s-y_s(+1))-A(+1);
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pie = exp(-rr/400)*pie(+1)+alpha*exp(-rr/400)*dq(+1)-alpha*dq+(k/(tau+alpha*(2-alpha)*(1-tau)))*y+alpha*(2-alpha)*(1-tau)/(tau*(tau+alpha*(2-alpha)*(1-tau)))*y_s;
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pie = de+(1-alpha)*dq+pie_s;
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R = rho_R*R(-1)+(1-rho_R)*(psi1*pie+psi2*(y+alpha*(2-alpha)*((1-tau)/tau)*y_s)+psi3*de)+e_R;
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dq = rho_q*dq(-1)+e_q;
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y_s = rho_ys*y_s(-1)+e_ys;
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pie_s = rho_pies*pie_s(-1)+e_pies;
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A = rho_A*A(-1)+e_A;
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y_obs = y-y(-1)+A;
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pie_obs = 4*pie;
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R_obs = 4*R;
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vv = 0.2*ww+0.5*vv(-1)+1;
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ww = 0.1*vv+0.5*ww(-1)+2;
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/* A lt=
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0.5*vv-0.2*ww = 1
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-0.1*vv+0.5*ww = 2
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[ 0.5 -0.2][vv] [1]
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=
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[-0.1 0.5][ww] [2]
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det = 0.25-0.02 = 0.23
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[vv] [0.5 0.2] [1] [0.9] [3.91304]
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= 1/0.23* = 1/0.23* =
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[ww] [0.1 0.5] [2] [1.1] [4.7826]
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*/
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end;
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shocks;
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var e_R = 1.25^2;
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var e_q = 2.5^2;
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var e_A = 1.89;
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var e_ys = 1.89;
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var e_pies = 1.89;
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end;
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options_.maxit_=100;
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steady(solve_algo = 5);
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model_info;
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//check;
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shocks;
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var e_q;
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periods 1;
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values 0.5;
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end;
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simul(periods=20, markowitz=0, stack_solve_algo = 5);
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rplot vv;
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rplot ww;
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rplot A;
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rplot pie;
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