% Sudden stops and output drops


% New York, June 3rd, 2006



%----------------------------------------------------------------

% 0. Housekeeping

%----------------------------------------------------------------



close all



%----------------------------------------------------------------

% 1. Defining variables

%----------------------------------------------------------------



var y c l k b z g r phi ;

varexo e, u, v, w ;



parameters alpha beta delta theta rho sigma ;



%----------------------------------------------------------------

% 2. Calibration

%----------------------------------------------------------------



alpha   = 2.5922;

beta    = 0.97;

delta   = 0.1026;

theta	= .3484;

rho     =  .95;

sigma = .712; 


%----------------------------------------------------------------

% 3. Model

%----------------------------------------------------------------



model;

	alpha/(1-l) = (1-theta)*y/(c*l);
	(c/c(+1))*(theta*(y(+1)/k)+1-delta-phi) = (1.02/beta)*(1-(phi/((r(+1)))));
	b = phi*k/((r(+1)));
	y=((k(-1))^theta)*(exp(z))*(l^(1-theta));
	c+((1.02)*(1.01)*k)-((1-delta)*k(-1))+g=y+((1.02)*(1.01))*b-(r*b(-1));
	z=rho*(z(-1))+e;
	(r)=rho*(r(-1))+u;
	(g)=rho*(g(-1))+v;
    	phi=rho*phi(-1)+w;

end;



%----------------------------------------------------------------

% 4. Computation

%----------------------------------------------------------------



initval;

  k = 1.2728;

  c = .2696;

  l = 0.33;

  y = .5281;

  b = 1.0562;

  r = 1.04;

  z = 0;
 
  g = .0792;

  phi = .8631;

  e = 0;

  u = 0;

  v = 0;

  w = 0;

end;



shocks;

var e = sigma^2;

var u = sigma^2;

var v = sigma^2;

var w = sigma^2;

end;



steady;



stoch_simul(dr_algo=1, hp_filter = 100, order = 1);