46 lines
758 B
Modula-2
46 lines
758 B
Modula-2
// Example of optimal simple rule
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var y inflation r;
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varexo y_ inf_;
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parameters delta sigma alpha kappa gammarr gammax0 gammac0 gamma_y_ gamma_inf_;
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delta = 0.44;
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kappa = 0.18;
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alpha = 0.48;
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sigma = -0.06;
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model(linear);
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y = delta * y(-1) + (1-delta)*y(+1)+sigma *(r - inflation(+1)) + y_;
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inflation = alpha * inflation(-1) + (1-alpha) * inflation(+1) + kappa*y + inf_;
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r = gammax0*y(-1)+gammac0*inflation(-1)+gamma_y_*y_+gamma_inf_*inf_;
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end;
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shocks;
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var y_;
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stderr 0.63;
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var inf_;
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stderr 0.4;
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end;
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optim_weights;
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inflation 1;
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y 1;
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end;
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osr_params gammax0 gammac0 gamma_y_ gamma_inf_;
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gammarr = 0;
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gammax0 = 0.2;
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gammac0 = 1.5;
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gamma_y_ = 8;
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gamma_inf_ = 3;
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osr_params_bounds;
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gamma_inf_, 0, 2.5;
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end;
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osr(opt_algo=9,silent_optimizer);
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