%following are the ?endogenous ?variables: var Y, C, L, I, K, gc, W, b, d,Cf, Ch, a,Pf,Ph, PI, i,If, Ih, ly ll lc li lk lgc lw ld s,laI, bh, Rem, Pinv, Pif, Q, A, bc, R; %%lb lbh lbc lp lph lpf ly, ll, lc,lcf, lch, li, lk, lgc, lw, ld ,lrem, lpif, lih, lif, lq, lr, llai, lA, lpin, lpi, lin %following are the shocks varexo ETA_A, ETA_D, ETA_R, ETA_RE, ETA_F, ETA_a, ETA_bc; %% ETA_pi; parameters PHI, tau, Gamai, RHOi, DELTA, ALPHA, Phit, DELTAg, muss, muA, tauk, psi,Gamah, RHOh,RHOp, Kappa, BETA, RHOA, RHOd, RHOr, GamaA, OMEGA,ome, RHORem,RHObc, RHOIf,gBAR, aBAR, ABAR, dBAR, RemBAR, bcBAR, RBAR, IfBAR,ISTAR, RHOpi;%%PIbar; %Calibrated parameters or initial values of estimated parameters ALPHA= 0.76; % 0.75 share of labor in production function BETA= 0.98; % discount factor DELTA= 0.22; % 0.015 depreciation rate of capital PHI = 2.2; %2.25 ou 2.2; % adjustment cost parameter (governs size of installation cost) tau = 0.033;%0.034; % tax on labor income Gamah=0.4; %degree of home bias in consumption (0.61) Gamai = 0.5;% share of domestic investment in total investment RHOi = 0.16; % elasticity of substitution between local and foreign investment RHOh= 0.3; % 0.55 elasticity of substitution between home and imported goods Phit = 0.4;% 0.33 share of private capital in total capital used in production DELTAg = 0.02;% depreciation rate of public capital muss = 0.05; % share of government spending on public investment muA = 0.19; % public investment related to increase in aid tauk = 0.02; %tax on capital RHOA = 0.9; %degree of persistence of increase in aid RHOd = 0.089;% deposit drawn down rate RHOr = 0.9; % degree of commitment to depreciation target in reserves GamaA = 0.2; % spending speed of aid psi = 2; % inverse of labor supply elasticity OMEGA = 0.8;%aid absorption ome=1/(ALPHA-DELTA+1) ; %% stochastic discount factor RHORem = 0.078; % degree of persistance of increase in remittances RHOIf = 0.08; % degree of persistance of increase in foreign investment RHObc = 0.999; % degree of persistance of increase in central bank bonds RHOp= 0.9; RHOpi= 0.99; Kappa=0.0173671414; %PIbar=1; %%%steady state ratios and values ABAR= 0.11;% steady state level of aid dBAR= 0.048; % 0.22 ss level pf deposits RemBAR= 0.16;%0.16 % ss level of remittances %%ISTAR= 0.021; %% % world interest rate RBAR = 0.026; % reserves target IfBAR = 0.02; % ss level of foreign investment bcBAR= 0.022; laIss=1; aBAR=0.76948979; %%%Steady state ass=aBAR; Pifss=laIss; Ifss=IfBAR; Pinvss=((Pifss^(1-RHOi))*(1-Gamai)+Gamai)^(1/(1-RHOi)); Iss=Ifss/(1-Gamai)*((Pifss/Pinvss)^(-RHOi)); Ihss=Iss*(Gamai)*((1/Pinvss)^(-RHOi)); Kss=Iss/DELTA; %%%Iss= DELTA*Kss; Yss=Kss*(1/ome+(DELTA-1))/(1-ALPHA); %%%Yss=Kss*Pinvss/((1-ALPHA)/ALPHA); sss=1; PIss=1; %%PIss=PIbar; %%%PIss= ISTAR*BETA; ISTAR=1/BETA; iss= ISTAR; Ass=ABAR; Remss=RemBAR; dss=dBAR; %% dBAR>RBAR Rss=RBAR; bcss=bcBAR; %%%bcss=dss-sss*Rss; gcss= tau*Yss*ALPHA + tauk*Kss +sss*Ass - (iss-1)*bcss*1/PIss; %%%-(dss-dss/PIss) -(bss-bss/PIss) bhss= (gcss-tau*Yss*ALPHA -tauk*Kss)*1/(1-(1+iss)/(1+PIss)); gBAR= gcss; %steady state level of government spending bss= bcss + bhss; css= (1-tau)*Yss*ALPHA + bhss*(1/BETA-1) + sss*Remss; lss=(css/(Yss*(1-tau)*ALPHA))^(-1/(1+psi)); wss=ALPHA*Yss/lss; phss=1; %%% mean phss/pss steady state ratio of domestically produced goods prices to cpi pfss=1; %%% mean pfss/pss steady state ratio of imported goods prices to cpi %%pss= (Gamah*(phss^(1-RHOh)) + (1-Gamah)*(pfss^(1-RHOh)))^(1/(1-RHOh)); %% pss=5 qss=muss*gcss/DELTAg; chss= Gamah*((phss)^(-RHOh))*css; cfss= (1-Gamah)*((pfss)^(-RHOh))*css; % RBC model model; 1/C = BETA*(1/C(+1))*(i/PI(+1)); L= ((1-tau)*W/C)^(1/psi); C + bh= i(-1)*bh(-1)/PI+(1-tau)*(W*L)+ s*Rem; Ch= Gamah*((Ph)^(-RHOh))*C; Cf= (1-Gamah)*((Pf)^(-RHOh))*C; %%P = (Gamah*(Ph^(1-RHOh)) + (1-Gamah)*(Pf^(1-RHOh)))^(1/(1-RHOh)); PI(+1)=RHOpi*PI + Kappa*Y; %%PI(+1)=PIbar + RHOpi*(PI-PIbar) + ETA_pi; %%%PI= (P-P(-1))/P; i = ISTAR + PHI*(exp(d-dBAR)-1); s = Pf/Ph; Ih= Gamai*((1/Pinv)^(-RHOi))*I; If= (1-Gamai)*((Pif/Pinv)^(-RHOi))*I; %%%% Pif*((I*If/Gamai)^(1/RHOi))=Pinv %%%% Pinv= (Gamai + (1-Gamai)*(Pif^(1-RHOi)))^(1/(1-RHOi)); %I = ((Gamai^(1/RHOi))*Ih^((RHOi-1)/RHOi) + ((1-Gamai)^(1/RHOi))*If^((RHOi-1)/RHOi))^(RHOi/(RHOi-1)); Pinv*(1+PHI*(I/K-DELTA))= laI; ((1-ALPHA)*(Y(+1)/K(+1)) - Pinv*((PHI/2)*((I(+1)/K(+1))-DELTA)^2- PHI*((I(+1)/K(+1))-DELTA)*(I(+1)/K(+1))) + laI(+1)*(1-DELTA))*ome= laI; K(+1) = I + (1-DELTA)*K; Q= (1-DELTAg)*Q(-1) + muss*gBAR + muA*(gc-gBAR); Y = a*(L^ALPHA)*((K(-1)^Phit)*(Q(-1)^(1-Phit)))^(1-ALPHA); W=ALPHA*Y/L; %% W=Y/L; gc = tau*(W*L) + tauk*K + s*A - (d - d(-1)/PI) + (b-b(-1)/PI) - (i(-1) -1)*bc(-1)/PI; bh = ((1+i)/(1+PI))*((1 + (Rem(-1)*s(-1))/Y(-1))/(1 + (Rem*s)/Y))*bh(-1) - (tau*(W*L) + tauk*K -gc); bc - bc(-1)/PI = d - d(-1)/PI - s*(R-R(-1)); b = bh + bc; %%%exogenous processes A(+1) = ABAR + RHOA*(A-ABAR) + ETA_A; d = RHOd*d(-1) + (1-RHOd)*dBAR + (1-GamaA)*s*(A -ABAR) + ETA_D; R = RHOr*R(-1) + (1-RHOr)*RBAR + (1-OMEGA)*(A - ABAR) + ETA_R; Rem = RemBAR + RHORem*(Rem(-1) -RemBAR) + ETA_RE; If = IfBAR + RHOIf*(If(-1)-IfBAR) + ETA_F; a= aBAR + RHOp*(a(-1) - aBAR)+ ETA_a; bc= bcBAR + RHObc*(bc(-1)-bcBAR) + ETA_bc; %%% define log transformations of the endogenous variables ly = log(Y); ll = log(L); lc = log(C); li = log(I); lw = log(W); lk = log(K); ld = log(d); lgc= log(gc); end; %%%%Initial guesses for the computation of steady state initval; C=css; Cf=cfss; Ch=chss; L=lss; K=Kss; Y=Yss; I=Iss; If=Ifss; Ih=Ihss; W=wss; i=iss; gc= gcss; b = bss; bc=bcss; bh=bhss; d = dss; Pf= pfss; Ph= phss; %%P = pss; PI=PIss; Pinv= Pinvss; Pif=Pifss; Q=qss; s=sss; Rem=Remss; laI=laIss; A=Ass; R=Rss; a=ass; ly = log(Yss); ll = log(lss); lc = log(css); li = log(Iss); lw = log(wss); lk = log(Kss); ld = log(dss); lgc= log(gcss); %ETA_pi=0; ETA_A=0; ETA_D=0; ETA_R=0; ETA_RE=0; ETA_F=0; ETA_a=0; ETA_bc=0; end; shocks; var ETA_A; stderr 0.07; var ETA_RE; stderr 0.1; var ETA_F; stderr 0.08; end; resid(1); steady(solve_algo=0); check; stoch_simul(order=1,periods=0,irf=100, conditional_variance_decomposition=[1,4,8,10,100])Y L C I K Q W gc; %%stoch_simul(order=3,periods=1000,irf=100)Y L C I K Q W gc P; %%stoch_simul(order=1,periods=1000, hp_filter=1600,irf=100)Y L C I K Q W gc P; %%stoch_simul(order=1,periods=1000,irf=100)ly ll lc li lk a lgc lw b ld; %%%Notice: Here you ask Dynare to analyze the impulse responses %%%%and the moments of the log-transformations.