57 lines
1.8 KiB
PHP
57 lines
1.8 KiB
PHP
% Forward-looking example model from Koop, Pesaran, Smith (2013, JBES)
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% created by Willi Mutschler (@wmutschl, willi@mutschler.eu)
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% =========================================================================
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% Copyright © 2020-2022 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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% =========================================================================
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var
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r ${r}$ (long_name='interest rate')
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x ${x}$ (long_name='output-gap')
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p ${\pi}$ (long_name='inflation')
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;
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varexo
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e_M ${\varepsilon^M}$ (long_name='monetary policy shock')
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e_D ${\varepsilon^D}$ (long_name='demand shock')
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e_S ${\varepsilon^S}$ (long_name='supply shock')
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;
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parameters
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PSI ${\psi}$ (long_name='inflation elasticity Taylor rule')
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TAU ${\tau}$ (long_name='intertemporal elasticity of subsitution')
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BETA ${\beta}$ (long_name='discount factor')
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KAPPA ${\kappa}$ (long_name='slope Phillips curve')
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;
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PSI = 1.1;
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TAU = 2;
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BETA = 0.9;
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KAPPA = 0.6;
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model;
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[name='Taylor rule']
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r = PSI*p + e_M;
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[name='New Keynesian IS curve']
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x = x(+1) - 1/TAU*(r-p(+1)) + e_D;
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[name='New Keynesian Phillips curve']
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p = BETA*p(+1) + KAPPA*x + e_S;
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end;
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shocks;
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var e_M = 1;
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var e_D = 1;
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var e_S = 1;
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end;
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