//////////////////Uribe RBC makalesinden uribe ss leriyle SON HAL?/////////////////// /////////////////endgn var?ables////////////////////////////////////////////////// var c, // consumption h, // hours worked lamda, // lagrangian coeff a, // productivity shock g, // growth rate of prod. shock k, // capital d, i,r,y, k_over_gh,v,s,mu,gy,gc,gi,tb,tby; /////////////////exogn var?ables////////////////////////////////////////////////// varexo ea, // STD of innovation in transitory technology shock eg, // STD of innovation in permanent technology shock emu, es, ev; parameters /////////////////CALIBRATED PARAMETERS//////////////////////////////////// gammma,delta,alphha, phi,w, theta,betta, dbar,rstar,gd, psi,rhoa,rhog,sd,yss,kss,k_over_ghss,hss,share_s,rhov,rhos,rhomu; gammma = 2; // intertemporal elasticity of substitution : define curvature of the period utility func delta = 0.1255; // depreciation rate of capital alphha = 0.32; // Capital elasticity of the production function phi = 2.867166242; // parameter governing the debt elasticity of the interest rate: measure sensitivity of country interest rate premium to dev.of external debt from trend w = 1.6; // for labor supply elasticity :exponent of labor in utility function theta = 2.24; // Preference parameter betta = 0.9224; // discount factor dbar = 0.007; // Steady state of detrended external debt gd = 1.009890776; // deterministic growth rate of productivity factor X Gross growth rate of output %rstar = ((1/betta)*(gd^(gammma)))-1; // world interest rate share_s= 0.1; //share of public spending ////////////////////estimated parameters///////////////////////////////////// psi =4.810804147 ; // for quadratic capital adjustment cost rhoa =0.864571931; // Serial correlation of transitory technology shock rhog =0.323027844; // Serial correlation of innovation in permanent technology shock rhov =0.850328786; rhos =0.205034668; rhomu =0.906802889; %k_over_ghss=((((gd^(gammma))/betta)-1+delta)/alphha)^(1/(alphha-1)); //(K/GH) from egn 4 // productivity shock %hss= (((1-alphha)* gd * ((k_over_ghss)^alphha ))/ theta)^(1/(w-1)); //hours %kss = k_over_ghss * gd * hss; //capital %yss= (kss^(alphha)) * ((hss*gd)^(1-alphha)); //output %sd= yss*share_s; ///////////////////MODEL////////////////////////////////////////////////////// model; v*(c-(theta*(w^(-1))*h^(w)))^(-gammma)=lamda; //foc for consumption theta*h^(w-1)=((1-alphha)*a*g^(1-alphha))*(k(-1)/h)^(alphha); //foc for hours worked lamda=(betta/g^(gammma))*(1+rstar+phi*((exp(d(-1)-dbar))-1)+(exp(mu-1))-1)*lamda(+1); // foc. for debt (1+psi*((k/k(-1))*g-gd))*lamda=(betta/g^(gammma))*lamda(+1)*(1-delta+(alphha*a(+1)*(g(+1)*h(+1)/k)^(1-alphha))+psi*(k(+1)/k)*g(+1)*((k(+1)/k)*g(+1)-gd) -psi/2*((k(+1)/k)*g(+1)-gd)^2); // foc for capital stock (d/(1+r))*g=d(-1)-y+c+i+s+psi/2*(((k/k(-1))*g-gd)^(2))*k(-1); // budget constraint r=rstar+phi*((exp(d(-1)-dbar))-1)+(exp(mu-1))-1; //interest rate eqn k*g=(1-delta)*k(-1)+i; //capital stock acc y=a*((k(-1))^(alphha))*((g*h)^(1-alphha)); //production func k_over_gh=k(-1)/(g*h); tb = y - c - i-s-psi/2*(((k/k(-1))*g-gd)^(2))*k(-1); //Trade balance tby = tb / y; log(a) = rhoa * log(a(-1))+ea; log(g/gd)= rhog * log(g(-1)/gd)+eg; log(v) = rhov * log(v(-1))+ev; //preference shock process log(s/sd)= rhos * log((s(-1)/sd))+es; //spending shock process log(mu) = rhomu* log(mu(-1))+emu; //country premium shock process %gy=log(y)-log(y(-1))+log(g(-1)); %gc=log(c)-log(c(-1))+log(g(-1)); %gi=log(i)-log(i(-1))+log(g(-1)); gy=y/y(-1)*g(-1); gc=c/c(-1)*g(-1); gi=i/i(-1)*g(-1); end; /////////////////SS values///////////////////////////////////////////////////// initval; d = dbar; // foreign debt r = rstar; // Country interest rate g = gd; // Growth rate of nonstationary productivity shock a = 1; mu = 1; v = 1; s = sd; k_over_gh=((((gd^(gammma))/betta)-1+delta)/alphha)^(1/(alphha-1)); //(K/GH) from egn 4 // productivity shock h = (((1-alphha)* gd * ((k_over_gh)^alphha ))/ theta)^(1/(w-1)); //hours k = k_over_gh * gd * h; //capital i = k*(gd-1+delta); //inv. %y= (k^(alphha)) * ((h*gd)^(1-alphha)); //output %c = ((gd/(1+r))-1) * d + y - i-sd; //Consumption %lamda=(c-theta*(w^(-1))*h^(w))^(-gammma); // marginal utility of wealth gy=g; gc=g; gi=g; tb=y-c-i-s; tby=tb/y; end; steady; shocks; var ea; stderr 0.03305509; var eg; stderr 0.010561526; var ev; stderr 0.539099454; var es; stderr 0.018834175; var emu; stderr 0.05719545; end; stoch_simul(order=1,periods=400000, drop=20000,irf=50);