//FULLTURKEYFIN1.MOD: Dynare Code to get model for Turkey, 4 shocks, fixed rates // R. Chang, 10/24/2012 Includes Ramsey allocations // Modified to allow varkap = 0 //No Heterogeneity in labor var c xt n VV cn cr xtn xtr nn nr VVr VVn yhg pi_h pi_t i ds qt w_p yhn qtn yh ph_p pb_ph j_ h delt_ m w_pn U Ur Un ph_pn z_x zx v lx l vn lnn lxn mn a v_m logy mcr lr lxr bigthetar gr elgr elbigthetar; varexo epz epzx epa epv; //z: shocks to rel price of food, zx: to rel price of homog exports a:prod shock v_m: mon shock parameters b phi_ alph the rhoz rhozx gamm_ phi_pi ppar phi_y varkap psi eta sig sigz phi_1 epsi vi kap y_x var_sig rhox rhoa rhov ax; b = 0.99; phi_ = 1.0; alph = 0.25; the = 0.66; gamm_ = 5; phi_pi = 2.0; // Monetary policy rule phi_y = 0.25; varkap = 0.0; // Share of imported productive inputs psi = 1; // complete markets = 1, autarky = 0 phi_1 = alph ; epsi = 6; vi=(1/epsi)*(1/(1-varkap)); kap = 1; y_x=1; var_sig = 1; // Shock ar coefficients rhoz = 0.75; rhozx = 0.75; rhoa = 0.7133245; rhov = 0.6; //Shock standard deviations sigz = 0.05; sigzx = 0.07; siga = 0.012; sigv = 0.0062; rhox = 0.1; ax = 0.15; ppar_values= [0 1]; eta_values = [0.5]; sig = 2.0; nns = length(ppar_values); nnq = length(eta_values); for jj=1:nnq; eta = eta_values(jj); ii=1; @#for pp in 0:1 %---------------------------------------------------------------- % 3. Model %---------------------------------------------------------------- model; yh = ((1-alph)*(ph_p^-eta)*c) + (phi_1*(xt^gamm_)*(ph_p^-gamm_))*y_x; 1 = (((1-the)*(pb_ph^(1-epsi))) + (the*(pi_h^(epsi-1)))); 1 = (1-alph)*(ph_p^(1-eta)) + alph*((xt*z_x)^(1-eta)); pb_ph*j_ = (epsi/(epsi-1))*h; j_ = ((pb_ph^(-epsi))*yh) + (b*the*((c(+1)/c)^(-sig))*(ph_p(+1)/ph_p)*((pb_ph/pb_ph(+1))^(-epsi)) *((pi_h(+1))^(epsi-1))*j_(+1)); h = (qt^varkap)*((((1-vi)*w_p)/ph_p)^(1-varkap))*(pb_ph^(-epsi))*yh/a + (the*b*((c(+1)/c)^(-sig))*(ph_p(+1)/ph_p)*((pb_ph/pb_ph(+1))^(-epsi))*(pi_h(+1)^epsi)*h(+1)); b*(((c(+1)/c)^(-sig))*(ph_p(+1)/ph_p))*(pi_h(+1)^-1) = exp(-i); c = ((y_x*kap*xt^(1/sig))^psi) * (v^(1-psi)); w_p = var_sig*(c^sig)*(n^phi_); (delt_+1)*yh = (1/(1-varkap))*a*l*( (1-vi)*(w_p)*(qt*ph_p)^-1)^varkap; m/l =(varkap/(1-varkap))*( (1-vi)*(w_p)*(qt*ph_p)^-1); delt_ = the*delt_(-1) + (the/(1-the))*(epsi/2)*(log(pi_h))^2; qt*ph_p = xt*z_x; pi_t = pi_h*(ph_p(-1)/ph_p); log(z_x) = rhoz*log(z_x(-1))+epz; log(zx) = rhozx*log(zx(-1)) + epzx; log(a) = rhoa*log(a(-1))+epa; v_m = rhov*v_m(-1)+epv; yhg = (yh/yhn); rhox*ax*(lx^rhox) = w_p * lx /(xt*zx); v = ph_p * yh + zx*xt*ax*lx^rhox - z_x*xt*m; n = l + lx; mcr = (1/a)*qt^varkap*(w_p * (1/ph_p))^(1-varkap); //Natural System w_pn = var_sig*(cn^sig)*(nn^phi_); a* ph_pn = (epsi/(epsi-1))*((xtn*z_x)^varkap)*(((1-vi)*w_pn)^(1-varkap)); 1 = (1-alph)*(ph_pn^(1-eta)) + alph *((xtn*z_x)^(1-eta)); cn = ((kap*y_x*xtn^(1/sig))^psi) * (vn^(1-psi)); yhn = ((1-alph)*(ph_pn^-eta)*cn) + (phi_1*(xtn^gamm_)*(ph_pn^-gamm_))*y_x; yhn = (1/(1-varkap))*a*lnn*((1-vi)*w_pn*((xtn*z_x)^-1))^varkap; qtn*ph_pn = xtn*z_x; rhox*ax*lxn^rhox = w_pn * lxn /(xtn*zx); vn = ph_pn * yhn + zx*xtn*ax*lxn^rhox - z_x*xtn*mn; nn = lnn + lxn; mn/lnn =(varkap/(1-varkap))*( (1-vi)*(w_pn)*(qtn*ph_pn)^-1); //Ramsey allocations cr = xtr^(1/sig); nr = lr + lxr; lxr^(1-rhox)= rhox*ax*zx*xtr*(cr^(-sig))/(var_sig*nr^phi_); gr^(1-eta) = (1-alph)/(1 - alph*((xtr*z_x)^(1-eta))); bigthetar = (1-alph)*(xtr^(1/sig))*(gr^eta) + phi_1*(xtr^gamm_)*(gr^gamm_); (1 - varkap)*bigthetar = a*lr*( var_sig*nr^phi_ )/( (xtr*z_x*cr^(-sig) ) )^varkap ; (1+ (lr*varkap + lxr/(1-rhox))*(phi_/nr))*( cr^(1-sig) ) = sig*var_sig*nr^(1+phi_) * elbigthetar; elgr = alph*( (xtr*z_x)^(1-eta))/( 1 - alph* (xtr*z_x)^(1-eta)) ; bigthetar*elbigthetar = (1-alph)* ((gr^eta)*(xtr^(1/sig))*(eta*elgr + (1/sig))) + phi_1*((xtr*gr)^gamm_)*gamm_*(1+elgr); //Policy Rule @#if pp==0 i = -log(b)+phi_y*(log(yh/yhn))+phi_pi*((pi_t(+1)-1))+v_m; @#else i = -log(b)+phi_y*(log(yh/yhn))+phi_pi*((pi_h-1))+v_m; @#endif //Nominal devaluation ds = (xt/xt(-1))*(pi_t); //Welfare Equations U = (c^(1-sig))/((1-sig)) - var_sig*(n^(1+phi_))/(1+phi_); VV = U + b*VV(+1); Ur = (cr^(1-sig))/((1-sig)) - var_sig*(nr^(1+phi_))/(1+phi_); VVr = Ur + b*VVr(+1); Un = (cn^(1-sig))/((1-sig)) - var_sig*(nn^(1+phi_))/(1+phi_); VVn = Un + b*VVn(+1); logy = log(yh); end; initval; a = 1; v_m = 0; w_p = (a*(epsi-1)/epsi)^(1/(1-varkap)) ; lx = 0.01; l = (1-varkap)*(epsi - 1)/ ( w_p * epsi); n = l + lx; m = varkap*w_p*l/(1-varkap); yh = 1; c = 1; xt = 1; ph_p = 1; pb_ph = 1; j_ = yh/(1-b*the); h = ((epsi-1)/epsi)*(yh/(1-b*the)); pi_h = 1; pi_t = pi_h; delt_ = 0; qt = 1; z_x = 1; zx = 1; w_pn = w_p; ph_pn = 1; cn = 1; yhn = yh; xtn= 1; lnn = l; nn = n; lxn = lx; yhg = 1; qtn = xtn/ph_pn; i = -log(b)+phi_y*(log(yh/yhn))+phi_pi*((pi_h-1)); ds= 1; v = yh + ax*lx^rhox - m; vn = v; U = (c^(1-sig))/(var_sig*(1-sig))-((n^(1+phi_))/(1+phi_)); VV = U/(1-b); logy = log(yh); mcr = w_p^(1-varkap); cr = 1; xtr = xt; nr = n; gr = 1; bigthetar = 1; lr = l; lxr = lx; elgr = alph/(1-alph); elbigthetar = (eta*alph +((1-alph)/sig)) + phi_1*gamm_/(1-alph); Ur = (cr^(1-sig))/(var_sig*(1-sig))-((nr^(1+phi_))/(1+phi_)); VVr = Ur/(1-b); Un = (cn^(1-sig))/((1-sig)) - var_sig*(nn^(1+phi_))/(1+phi_); VVn = Un/(1-b); end; check; resid(1); steady; shocks; var epz ; stderr sigz; var epzx ; stderr sigzx; var epa; stderr siga; var epv; stderr sigv; end; check; %----------------------------------- % computing IRFs for # values of eta %----------------------------------- a_1 = ['Consumption']; a_2 = ['REER']; a_3 = ['Labor']; options_.pruning=1; stoch_simul(irf=20,order=1,nograph); %Number of charts NCh=3; %Number of Shocks N N=4; for j=1:N; for k=1:NCh; zz(:,k,j,ii) = evalin('base',[deblank(M_.endo_names(k,:)) '_' deblank(M_.exo_names(j,:))]); zz(:,k,j,nns+1) = evalin('base',[deblank(M_.endo_names(k,:)) 'r' '_' deblank(M_.exo_names(j,:))]); zz(:,k,j,nns+2) = evalin('base',[deblank(M_.endo_names(k,:)) 'n' '_' deblank(M_.exo_names(j,:))]); end; end; ii=ii+1; @#endfor end; ColorSet = [ 0.00 0.00 1.00 0.00 0.50 0.00 1.00 0.00 0.00 0.00 0.75 0.75 0.95 0.95 0.00 0.75 0.75 0.00 0.25 0.25 0.25 0.75 0.25 0.25 0.95 0.95 0.00 0.25 0.25 0.75 0.75 0.75 0.75 0.00 1.00 0.00 0.76 0.57 0.17 0.54 0.63 0.22 0.34 0.57 0.92 1.00 0.10 0.60 0.88 0.75 0.73 0.10 0.49 0.47 0.66 0.34 0.65 0.99 0.41 0.23]; %------------------------------------- % using Matlab graph commands to plot % the # IRFs on the same plot %------------------------------------- for j=1:N; exo_varname = deblank(M_.exo_names(j,:)); figure('name',['Shock to ' exo_varname], 'Color',[1 1 1],... 'InvertHardcopy','off',... 'PaperUnits','centimeters',... 'PaperOrientation','landscape',... 'PaperPosition',[0.6345 0.6345 26.65 20.3],... 'PaperSize',[27.92 21.57]) for k=1:NCh; subplot(floor(sqrt(NCh)),ceil(NCh/floor(sqrt(NCh))),k); f=['a_' int2str(k) ';']; if abs(zz(:,k,j,:))<0.0001; zz=round(zz*100)/100; end; plot1=plot(squeeze(zz(:,k,j,:))); title(['' num2str(eval(f)),char(10),''],'FontName','Trebuchet MS'); linestyle={'-',':','--','-.'}; for j_=1:size(ppar_values,2)+1; set(plot1(j_),'LineStyle',linestyle{j_},'LineWidth',2,'MarkerSize',2,'Color', ColorSet(j_,:)); end; end; //for k=1:size(ppar_values,2); // e{k}=sprintf('%s%g','rule=',ppar_values(k)); //end; e{1}=sprintf('%s%g','EXPCPI'); e{2}=sprintf('%s%g','PPI'); e{3}=sprintf('%s%g','Ramsey'); e{4}=sprintf('%s%g','Natural'); l_1=legend(e,'FontSize',10,'LineWidth',1,'EdgeColor',[1 1 1],'Position',[0.15 1.4 0.00909 0.00661]); set(l_1,'Units','centimeters'); end;