var %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% PATIENT HS VARIABLES%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% lambda_p c_p % h_p % q_h % d_p % w_p % l_p % %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% IMPATIENT Hs VARIABES %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% lambda_i % c_i % h_i % s_i % w_i % l_i % b_i % %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% ENTREPRENEURS VARIABLES %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% lambda_e % c_e % q_k % s_e % y_e % r_k % u % k_e % x % l_ep % l_ei % b_ee % %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% INFLATION VARIABLES %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% pi % pi_wp % pi_wi % PIW % %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%EXOGENOUS SHOCKS%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% epsilon_d epsilon_be epsilon_bh epsilon_qk epsilon_l epsilon_y epsilon_z epsilon_h m_e a_e m_i eps_K_b %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% MK CLEARING VARIABLES %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% k % i % c % y % j_r % y1 % c_g % tax % c_pr % %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% BANKING VARIABLES %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% R_b % r_bh % r_be % r_t % r_d % K_b % B % BH % BE % D % b_h % b_e % d_b % j_b % J_b % v_b % spr_b % weight_BH weight_BE ; varexo e_z e_h e_mi e_me e_ae e_l e_qk e_d e_y e_bh e_be e_r_t e_eps_K_b ; parameters hab_p beta_p hab_i beta_i hab_e delta csi1 csi2 alpha mu beta_e k_i iota_w piss k_be phi k_p k_w k_kb k_bh k_d gamma_p gamma_i gamma_e gamma_b phi_R phi_pi phi_y delta_b iota_p rho_e_z rho_e_h rho_mi rho_me rho_e_ae rho_e_l rho_e_qk rho_e_y rho_e_bh rho_e_be rho_e_d rho_eps_K_b m_i_ss m_e_ss epsilon_d_ss epsilon_be_ss epsilon_bh_ss epsilon_y_ss epsilon_l_ss h eps_d eps_bh eps_be pi_share r_t_ss r_d_ss r_bh_ss r_be_ss r_k_ss J eps_b vb_ss eta pcg2pcp; /********************************PATIENT HOUSEHOLDS **************************/ hab_p =0; beta_p =0.99455; /******************************** IMPATIENT HOUSEHOLDS ***********************/ hab_i =0; beta_i =0.975; /********************************* ENTREPRENEURS *****************************/ hab_e =0; delta =0.03838; alpha =0.34; mu = 0.8; beta_e = beta_i; phi = 1.5; /********************************** BANKS PARAMETERS**************************/ vb_ss = 0.09*1.02; eta = 0.20*1.250; /*****************************************************************************/ iota_w =0.2757; iota_p =0.1605 ; /**********************************ADJUSTMENT COST PARAMETER *****************/ k_p =28.6502; k_kb =11.0683; k_bh =10.0867 ; k_be =9.3638; k_d =3.5030; k_i =10.1822; k_w =99.8983; /***********************************SHARE OF POPULATION************************/ gamma_p =1; gamma_i =1; gamma_e =1; gamma_b =1; /**************************************TAYLOR RULE PARAMETER*******************/ phi_R =0.75; phi_pi =1.9816; phi_y =0.3459; /****************************************AR PARAMETERS**************************/ rho_e_z =0.95; rho_e_h =0.95; rho_mi =0.95; rho_me =0.95; rho_e_ae =0.95; rho_e_l =0; rho_e_qk =0.95; rho_e_y =0; rho_e_bh =0; rho_e_be =0; rho_e_d =0; rho_eps_K_b = 0.90; /******************************STEADY STATE PARAMETERS******************************/ piss = 1; %steady state gross inflation rate eps_d = - 1.1; % elast. of subst. of deposits eps_be = 5.85; % elast. of subst. of loans to H eps_bh= 4.85; % elast. of subst. of loans to E m_i_ss =0.75; % steady state loan-to-value ratio impatient households m_e_ss =0.40; % steady state loan-to-value ratio Entrepreneurs epsilon_d_ss = (eps_d/(eps_d - 1)); % steady state mark down interest rate on deposit =0.5935 epsilon_be_ss =(eps_be/(eps_be - 1)); % steady state mark up on loans to E =1.4717 epsilon_bh_ss =(eps_bh/(eps_bh - 1)); % steady state mark up on loans to H =1.5587 epsilon_y_ss = 8.9; epsilon_l_ss = 5; r_d_ss = (piss/beta_p) -1 ; r_t_ss = (piss/beta_p -1) *(eps_d - 1)/eps_d; % steady state gross nominal interest rate r_bh_ss = epsilon_bh*r_t_ss ; % steady state interest rate on loans to E r_be_ss = epsilon_be*r_t_ss ; % steady state interest rate on loans to H r_k_ss = -(1-delta)-m_e_ss*(1-delta)*piss/beta_e* (1/(1+r_be_ss)-beta_e/piss)+1/beta_e; % steady state rental rate of capital /*************************************************************************************/ eps_b = 0.5*(eps_bh + eps_be); pi_share = 0.55; % share of bank profits payed out to patient households OK!! delta_b = r_t_ss/vb_ss * (eps_d - eps_b + v_b*eps_d*(eps_b-1))/((eps_b-1)*(eps_d-1)); csi1 = r_k_ss; csi2 =0.1*r_k_ss; h =1; % fixed supply housing J = 0.203; pcg2pcp = 0.32; /*************************************************************************************************************************************************** ************************************************************* THE MODEL ************************************************************************** *****************************************************************************************************************************************************/ model; /************************* PATIENT HOUSEHOLD. THEY CHOOSE C_P H_P AND D_P IN ORDER TO MAXIMIZE THEIR UTILITY S.TO THEIR BC************************************/ exp(lambda_p) = (1 -hab_p) * exp(epsilon_z) / (exp(c_p) - hab_p * exp(c_p(-1))); %%%/* dL / d c_p */ J*(exp(epsilon_h)) / exp(h_p) - exp(lambda_p) * exp(q_h) + beta_p * exp(lambda_p(+1)) * exp(q_h(+1)) =0; %%%/* dL / d h_p */ exp(lambda_p) = beta_p * exp(lambda_p(+1)) * (1 + exp(r_d))/exp(pi(+1)); %%%/* dL / d d_p */ exp(c_p) + exp(q_h) * ( exp(h_p) - exp(h_p(-1))) + exp(d_p) = exp(w_p) * exp(l_p) + (1 + exp(r_d(-1)))* exp(d_p(-1))/exp(pi) + exp(j_r) / gamma_p + (1-pi_share)*exp(j_b(-1))/(gamma_p*exp(pi)); %%%/* BC*/ //4 eq corrette /****************** IMPATIENT HOUSEHOLD. THEY CHOOSE C_P H_P AND D_P IN ORDER TO MAXIMIZE THEIR UTILITY S.TO THEIR BC AND A BORROWING CONSTRAINT*****************/ exp(lambda_i) = (1 - hab_i) * exp(epsilon_z) / ( exp( c_i) - hab_i * exp( c_i(-1))) ; %%%/* dL / d c_i */ J*( exp(epsilon_h)) / exp(h_i) - exp(lambda_i) * exp(q_h) + beta_i * exp(lambda_i(+1)) * exp(q_h(+1)) + exp(s_i) * exp( m_i) * exp(q_h(+1)) * exp(pi(+1)) = 0 ; %%% /* dL / d h_i*/ exp(lambda_i) - beta_i * exp( lambda_i ( +1)) *( 1 + exp ( r_bh)) / exp(pi(+1)) = exp(s_i) * ( 1 + exp(r_bh)) ; %%/* dL / d b_i */ exp(c_i) + exp(q_h) * (exp(h_i) - exp(h_i(-1))) + ( 1 + exp(r_bh(-1))) * exp(b_i(-1)) / exp(pi) = exp(w_i) * exp(l_i) + exp(b_i) ; %%% (1 + exp(r_bh)) * exp(b_i) = exp(m_i) * exp(q_h(+1)) * exp(h_i) * exp( pi(+1)); %%%/*BORROWING CONSTRAINT for IH*/ //5 eq corrette /****************************************************ENTREPRENEURS************************************************************************************************/ exp(lambda_e) = (1 - hab_e) / ( exp(c_e) - hab_e * exp(c_e(-1))) ; %%/* dL / d c_e */ exp(lambda_e) * exp(q_k) = exp(s_e) * exp(m_e) * exp (q_k(+1)) * exp(pi(+1)) * (1 - delta) + beta_e * exp(lambda_e(+1)) * ( exp(r_k(+1)) * exp(u(+1)) + exp(q_k(+1))* (1 - delta) - (csi1 * (exp(u(+1)) - 1) + csi2/2 *((exp(u(+1)) - 1)^2))) ; %%% /*dL / d k_e*/ exp(r_k) = csi1 + csi2 *( exp(u) -1 ) ; %%/* dL / d u DEGREE OF UTILIZATION OF CAPITAL*/ exp(r_k) = alpha * exp(a_e) * exp(k_e(-1))^(alpha-1) * exp(u)^(alpha -1) * ( exp(l_ep)^mu * exp(l_ei)^(1-mu) ) ^ (1-alpha) / exp(x) ; %%%/* MARGINAL PRODUCT OF CAPITAL */ exp(y_e) = exp(a_e) * ( exp(k_e(-1)) * exp(u))^(alpha) * ( exp(l_ep)^mu * exp(l_ei)^(1-mu) ) ^ (1-alpha) ; %%%/* PRODUCTION FUNCTION*/ exp(w_p) = (1 - alpha) * exp(y_e) * mu / (exp(x) * exp(l_ep) ); %%%/* dL / d l_ep */ exp(w_i) = (1 - alpha) * exp(y_e) * (1 - mu) / (exp(x) * exp(l_ei)); %%%/* dL / d l_ei */ exp(lambda_e) - exp(s_e) *(1 + exp(r_be)) = beta_e * exp(lambda_e(+1)) * ( 1 + exp(r_be)) / exp(pi(+1)) ; %%%/* dL / d b_e */ exp(c_e) + (exp(w_p)*exp(l_ep) + exp(w_i)*exp(l_ei)) + ((1 + exp(r_be(-1))) * exp(b_ee(-1)) / exp(pi)) + exp(q_k) * exp(k_e) + (csi1*(exp(u) - 1) + csi2/2*(exp(u) -1)^2) * exp(k_e(-1)) = exp(y_e)/exp(x) + exp(b_ee) + exp(q_k) *(1 - delta) * exp(k_e(-1)) ; %%% /*BC*/ (1 + exp(r_be)) * exp(b_ee) = exp(m_e) * exp( q_k(+1)) * exp( pi(+1)) * (1 - delta) * exp(k_e) ; %%%/* BORROWING CONSTRAINT*/ //10 eq corrette check 2x!!! /****************************************************************************** LABOUR MARKET ********************************************************************/ (1 -exp(epsilon_l)) * exp(l_p)+ exp(l_p)^(1 + phi) / exp(w_p) *exp(epsilon_l)/ exp(lambda_p) - k_w * (exp(pi_wp) - exp(pi(-1))^iota_w * piss^(1 - iota_w)) * exp(pi_wp) + beta_p * exp(lambda_p(+1)) / exp(lambda_p) * k_w * ( exp(pi_wp(+1)) - exp(pi)^( iota_w) * piss^( 1 - iota_w)) * exp(pi_wp(+1))^(2) / exp(pi) = 0; %%% /*NON LINEAR WAGE PHILLIPS CURVE FOR PATIENT households*/ exp(pi_wp) = exp(w_p) / exp(w_p(-1)) * exp(pi) ; %%% /* WAGE INFLATION FOR PATIENT HOUSEHOLDS*/ (1 -exp(epsilon_l)) * exp(l_i) + exp(l_i)^(1 + phi) / exp(w_i) *exp(epsilon_l) / exp(lambda_i) - k_w * (exp(pi_wi) - exp(pi(-1))^iota_w * piss^(1 - iota_w)) * exp(pi_wi) + beta_i * exp(lambda_i(+1)) / exp(lambda_i) * k_w * ( exp(pi_wi(+1)) - exp(pi)^(iota_w) * piss^( 1 - iota_w)) * exp(pi_wi(+1))^(2) / exp(pi) = 0 ; %%% /*NON LINEAR WAGE PHILLIPS CURVE FOR IMPATIENT households*/ exp(pi_wi) = exp(w_i) / exp(w_i(-1)) * exp(pi) ; %%/* WAGE INFLATION FOR IMPATIENT HOUSEHOLDS*/ //4 eq corrette check 2x!!!! /********************************************************************************* CAPITAL GOODS PRODUCERS (CGP) ****************************************************+***********/ exp(k) = (1 - delta) * exp(k(-1)) + ( 1 - k_i/2 *(exp(i) * exp(epsilon_qk)/exp(i(-1)) - 1 )^2)* exp(i); %%%/*AMOUNT OF NEW CAPITAL THAT CGP FIRMS CAN PRODUCE */ exp(q_k) * (1 - k_i/2 * (exp(i) * exp(epsilon_qk)/ exp(i(-1)) - 1) ^2 - k_i*(exp(i) * exp(epsilon_qk)/exp(i(-1)) - 1) * exp(i) *exp(epsilon_qk)/exp(i(-1))) + beta_e * exp(lambda_e(+1))/exp(lambda_e) * exp(q_k(+1)) * k_i * ( exp(i(+1)) * exp(epsilon_qk(+1)) / exp(i) - 1 )* exp(epsilon_qk(+1)) * ( exp(i(+1)) / exp(i))^2 = 1; %%% /*REAL PRICE OF CAPITAL*/ // 15 //2 eq corrette check 2x!!!! /*************************************************************************************** GOODS RETAILERS ******************************************************************************/ 1 - exp(epsilon_y) + exp(epsilon_y) / exp(x) - k_p * (exp(pi) - (exp(pi(-1))^iota_p * piss^(1 - iota_p) ))* exp(pi) + beta_p * (exp(lambda_p(+1))/ exp(lambda_p)) * k_p * (exp(pi(+1)) - (exp(pi)^ iota_p* piss^(1 - iota_p)))* exp(pi(+1)) *(exp(y(+1)) / exp(y)) = 0 ; %%% /* NON LINEAR PHILLIPS CURVE*/ exp(j_r) = exp(y) *(1 - (1/ exp(x)) - (k_p/2)*(exp(pi) - (exp(pi(-1))^(iota_p) * piss^(1 - iota_p)))^2); %%%/* RETAILERS PROFITS*/ //2 eq corrette /******************************************************************************BANKS*******************************************************************************/ /* wholesale branch */ exp(R_b) = exp(r_t) - k_kb * ( (exp(K_b) / (exp(B))) - exp(v_b) ) *( exp(K_b) / (exp(B)))^2; %%%/*FOCS FROM THE MAXIMIZATION PROBLEM OF THE WHOLESALE BRANCH*/ /*exp(r_t) = exp(R_d) ; *//*NO ARBITRAGE CONDITION WITH THE LANDING FACILITY OF THE CENTRAL BANK*/ exp(v_b) = (vb_ss) ^( 1-0.92 ) * ( exp(y1) / exp(y1(-4) ))^ ( 1 - 0.92 ) * exp( v_b(-1) )^0.92; exp(weight_BH) = ( 1 ^( 1-0.94 ) ) * ( exp(y1) / exp(y1(-4)) )^( ( 1 - 0.94 ) * ( - 10 * 1 ) ) * exp( weight_BH(-1) )^0.94; //32 exp(weight_BE) = ( 1 ^( 1-0.92 ) ) * ( exp(y1)/exp(y1(-4)) )^(( 1 - 0.92 ) * ( - 15 * 1 ))* exp( weight_BE(-1) )^0.92; //33 /* retail banking that choose r_bh r_be r_d */ /*corrette check 2x!!!!!*/ 1 - exp(epsilon_bh)/(exp(epsilon_bh) -1) + exp(epsilon_bh)/(exp(epsilon_bh) -1) * exp(R_b) / exp(r_bh) - k_bh*(exp(r_bh)/exp(r_bh(-1)) -1 ) * exp(r_bh)/exp(r_bh(-1)) + beta_p * (exp(lambda_p(+1)) / exp(lambda_p)) * k_bh * ( exp(r_bh(+1)) / exp(r_bh) - 1 ) *(( exp(r_bh(+1)) / exp ( r_bh))^2) * (exp(b_h(+1))/ exp(b_h)) = 0 ; %%% /*households*/ 1 - exp(epsilon_be)/(exp(epsilon_be) -1) + exp(epsilon_be)/(exp(epsilon_be) -1) * exp(R_b) / exp(r_be) - k_be*(exp(r_be)/exp(r_be(-1)) -1 ) * exp(r_be)/exp(r_be(-1)) + beta_p * (exp(lambda_p(+1)) / exp(lambda_p)) * k_be * ( exp(r_be(+1)) / exp(r_be) - 1 ) *(( exp(r_be(+1)) / exp ( r_be))^2) * (exp(b_e(+1))/ exp(b_e)) = 0 ; %%% /*entrepreneurs*/ - 1 + exp(epsilon_d)/(exp(epsilon_d) -1) - exp(epsilon_d)/(exp(epsilon_d) -1) * exp(r_t) / exp(r_d) - k_d*(exp(r_d)/exp(r_d(-1)) -1 ) * exp(r_d)/exp(r_d(-1)) + beta_p * (exp(lambda_p(+1)) / exp(lambda_p)) * k_d * ( (exp(r_d(+1)) / exp(r_d)) - 1 ) *(( exp(r_d(+1)) / exp ( r_d))^2) * (exp(d_b(+1))/ exp(d_b)) = 0 ; %%% /*deposits*/ /* Overall activity*/ exp(j_b) = + exp(r_bh) * exp(b_h) + exp(r_be) * exp(b_e) + exp(r_t) * exp(B)*eta - exp(r_d) * exp(d_b) - exp(K_b)- k_kb/2 * ( ((exp(K_b) / (exp(B))) - exp(v_b) ) ^2) * exp(K_b); %%% /*OVERALL BANK PROFITS*/ /* 268-271 adjustment cost for the bank*/ exp(K_b) * exp(pi) = (1 - delta_b) * exp(K_b(-1)) + (pi_share)*exp(j_b(-1)) ; %%% /*BANK CAPITAL ACCUMULATION*/ /*equilibrium in bank market*/ gamma_b * exp(d_b) = gamma_p * exp(d_p) ; %%% gamma_b * exp(b_h) = gamma_i * exp(b_i) ; %%% gamma_b * exp(b_e) = gamma_e * exp(b_ee); %%% exp(B)*(1 - eta) = exp(d_b) + exp(K_b) + eps_K_b; %%%/*BALANCE SHEET CONSTRAINT B = D + K_b*/ //10 eq corrette /********************************************************************* TAYLOR RULE*********************************************************************************/ (1 + exp(r_t)) = (1 + r_t_ss)^(1 - phi_R) * (1 + exp(r_t(-1)))^(phi_R) * ((exp(pi)/piss)^(phi_pi) * (exp(y1)/exp(y1(-1)))^phi_y)^(1 - phi_R) *(1+e_r_t) ; %%% /***************************************************************************MARKET CLEARING CONDITIONS **************************************************************/ //exp(y) = exp(c) + // /*exp(q_k)* */ ( exp(k) - (1 - delta) *exp(k(-1))) ; // /*+ exp(k_e(-1)) * (csi1*(exp(u) -1 ) + (csi2/2)*(exp(u) -1)^(2)) + */ // /*delta_b* exp(K_b(-1)) / exp(pi) */ // /*- (k_p/2) * (exp(pi) / - exp(pi(-1))^iota_p * piss^(1-iota_p)) ^(2)*exp(y) */ // /*- k_d/2 * ( (exp(r_d)/exp(r_d(-1))-1)^2) * exp(r_d) *exp(d_b) */ // /*- k_be/2 * ( (exp(r_be)/exp(r_be(-1))-1)^2) * exp(r_be)*exp(b_e) */ // /*- k_bh/2 * ( (exp(r_bh)/exp(r_bh(-1))-1)^2) * exp(r_bh)*exp(b_h); */ exp(c_pr)= gamma_p * exp(c_p) + gamma_i * exp(c_i) + gamma_e * exp(c_e); exp(c_g) = pcg2pcp*exp(c_p); exp(c) = gamma_p * exp(c_p) + gamma_i * exp(c_i) + gamma_e * exp(c_e) + exp(c_g) ;%% h = gamma_p * exp(h_p) + gamma_i * exp(h_i) ; %% exp(k) = gamma_e * exp(k_e) ; exp(B)*(1 - eta) = (exp(BH) + exp(BE)) ; exp(BH) = gamma_b * exp(b_h); exp(BE) = gamma_b * exp(b_e); exp(D) = gamma_p * exp(d_p); exp(y) = gamma_e * exp(y_e) ; exp(J_b) = gamma_b * exp(j_b); gamma_e * exp(l_ep) = gamma_p * exp(l_p); gamma_e * exp(l_ei) = gamma_i * exp(l_i); exp(tax) = exp(c_g) + (eta)*( exp(d_b(-1)-exp(d_b) - exp(K_b)) + exp(K_b(-1)) )*(exp(r_t(-1))) ; //gov.equation exp(spr_b) = 0.5*exp(r_bh) + 0.5*exp(r_be) - exp(r_d); //Int.rate spread exp(PIW) = ( exp(w_p) + exp(w_i) ) / ( exp(w_p(-1)) + exp(w_i(-1)) ) * exp(pi); exp(y1) = exp(c) + 1 * (exp(k)-(1-delta)*exp(k(-1))) ; //13 /***************************************************************+ EXOGENOUS PROCESS*****************************************************************************/ exp(epsilon_z) = 1 - rho_e_z * 1 + rho_e_z * exp(epsilon_z(-1)) + e_z; %% exp(a_e) = 1 - rho_e_ae * 1 + rho_e_ae * exp(a_e(-1)) + e_ae; %% exp(epsilon_h) = 1 - rho_e_h * 1 + rho_e_h * exp(epsilon_h(-1)) + e_h; %% exp(m_i) = (1-rho_mi) * m_i_ss + rho_mi * exp(m_i(-1)) + e_mi; %% exp(m_e) = (1-rho_me) * m_e_ss + rho_me * exp(m_e(-1)) + e_me; %% exp(epsilon_d) = (1-rho_e_d) * epsilon_d_ss + rho_e_d * exp(epsilon_d(-1)) + e_d; %% exp(epsilon_bh) = (1-rho_e_be) * epsilon_be_ss + rho_e_be * exp(epsilon_be(-1)) + e_be; %% exp(epsilon_be) = (1-rho_e_bh) * epsilon_bh_ss + rho_e_bh * exp(epsilon_bh(-1)) + e_bh; %% exp(epsilon_qk) = 1-rho_e_qk * 1 + rho_e_qk * exp(epsilon_qk(-1)) + e_qk; %% exp(epsilon_y) = (1-rho_e_y) * epsilon_y_ss + rho_e_y * exp(epsilon_y(-1)) + e_y; %% exp(epsilon_l) = (1-rho_e_l) * epsilon_l_ss + rho_e_l * exp(epsilon_l(-1)) + e_l; %% exp(eps_K_b) = (1-rho_eps_K_b)* 1 + rho_eps_K_b* exp(eps_K_b(-1)) + e_eps_K_b; %% //11 eq corrette check 2x!!!!! // TOT 63 end; /***************************************************************************************************************************************************************+ ****************************************************************************************************************************************************************/ initval; h_p =-0.0535366 ; lambda_p = 0.122029; c_p = -0.122029 ; q_h =3.48936; pi =1.16E-14; d_p = 0.840797; w_p =-0.161863; l_p = -0.262977; lambda_i = 1.91801; c_i =-1.91801; h_i =-2.95404; s_i =-2.57912; w_i =-1.753 ; l_i =-0.0581332; lambda_e = 2.19923; c_e =-2.19923; s_e =-2.29789; r_k =-3.03956; k_e =1.73925; x =0.182322; l_ep =-0.262977; l_ei =-0.0581332; y_e =0.268308; r_d =-5.16157; r_bh =-4.26486; r_be =-4.26486; b_ee =0.313687; R_b =-4.60243; r_t = log(r_t_ss); K_b = -1.47284; B =0.935107; BH =0.164689; BE =0.313687; D =0.840797; b_h =0.164689; b_i =0.164689; b_e =0.313687; d_b =0.840797; m_i = log(m_i_ss); m_e = log(m_e_ss); epsilon_bh = log(epsilon_bh_ss); epsilon_be = log(epsilon_be_ss); epsilon_d = log(epsilon_d_ss); c =0.133577; k =1.73925; i =-1.94962; y =y_e ; y1= y; j_r =-1.52345; j_b =-3.79369; J_b =-3.79369; epsilon_y =log(epsilon_y_ss); epsilon_l =log(epsilon_l_ss); v_b = log(vb_ss); weight_BH = 0; weight_BE = 0; c_pr = 0.133577; c_g = pcg2pcp*(-0.12202); tax = -1.01893; spr_b = -4.99645; end; resid(1); steady(solve_algo=0); check; % e_z % e_h % e_mi % e_me % e_a % e_l % e_qk % e_y% %% e_bh % e_be %e_d %e_r_t %e_eps_K_b Std_e = [0.027 0 0 0 0 0 0 0 0 0 0 0 0 % e_z 0 0.076 0 0 0 0 0 0 0 0 0 0 0 % e_h 0 0 0.003 0 0 0 0 0 0 0 0 0 0 % e_mi 0 0 0 0.007 0 0 0 0 0 0 0 0 0 % e_me 0 0 0 0 0.06 0 0 0 0 0 0 0 0 % e_a 0 0 0 0 0 0.57 0 0 0 0 0 0 0 % e_l 0 0 0 0 0 0 0.019 0 0 0 0 0 0 % e_qk 0 0 0 0 0 0 0 0.634 0 0 0 0 0 % e_y 0 0 0 0 0 0 0 0 0.067 0 0 0 0 % e_bh 0 0 0 0 0 0 0 0 0 0.063 0 0 0 % e_be 0 0 0 0 0 0 0 0 0 0 0.033 0 0 %e_d 0 0 0 0 0 0 0 0 0 0 0 0.002 0 %e_r_t 0 0 0 0 0 0 0 0 0 0 0 0 0.031]; %e_eps_K_b shocks; var e_z = Std_e(1,1)^(2); var e_h = Std_e(2,2)^(2); var e_mi = Std_e(3,3)^(2); var e_me = Std_e(4,4)^(2); var e_ae = Std_e(5,5)^(2); var e_l = Std_e(6,6)^(2); var e_qk = Std_e(7,7)^(2); var e_y = Std_e(8,8)^(2); var e_bh = Std_e(9,9)^(2); var e_be = Std_e(10,10)^(2); var e_d = Std_e(11,11)^(2); var e_r_t = Std_e(12,12)^(2); var e_eps_K_b =Std_e(13,13)^(2); end; options_.nograph = 1; options_.nomoments = 0; options_.noprint = 0; stoch_simul(order=1,irf=40) y1 y c i B q_h q_k J_b BE BH K_b pi r_bh r_be r_d r_t D h_i h_p v_b; ss_vector = oo_.steady_state; n_vars = length(ss_vector); ss_cell = mat2cell(ss_vector,ones(1,n_vars)); tmp = [M_.endo_names,ones(n_vars,1)*44]'; varnames = ['[',tmp(:)',']']; eval([varnames,' = deal(ss_cell{:});']) disp(' ');disp('%%% Display some SS results : %%%%') disp(['C/Y: ',num2str(exp(c)/exp(y1))]); disp(['C_Private/Y: ',num2str(exp(c_pr)/exp(y1))]); disp(['G/Y: ',num2str(exp(c_g)/exp(y1))]); disp(['I/Y: ',num2str(exp(i)/exp(y1))]); disp(['K/Y: ',num2str(exp(k)/exp(y1))]); disp(['R_b (%annual): ',num2str(exp(R_b)*400)]); disp(['r_t (%annual): ',num2str(exp(r_t)*400)]); disp(['r_bh (%annual): ',num2str(exp(r_bh)*400)]); disp(['r_be (%annual): ',num2str(exp(r_be)*400)]); disp(['r_d (%annual): ',num2str(exp(r_d)*400)]); disp(['spread(%annual):',num2str(exp(spr_b)*400)]); disp(['B: ',num2str(exp(B))]); disp(['B/Y: ',num2str(exp(B)/exp(y1))]); disp(['D/Y: ',num2str(exp(d_p)/exp(y1))]); disp(['K_b/B: ',num2str(exp(K_b)/exp(B))]); disp(['K_b/Y: ',num2str(exp(K_b)/exp(y1))]); disp(['Y: ',num2str(exp(y1))]); steady_state_variables(1,:) = [ exp(y1),... ; % 1 exp(c),... ; % 2 exp(i),... ; % 3 exp(c_p),... ; % 4 exp(c_i),... ; % 5 exp(c_e),... ; % 6 exp(h_p),... ; % 7 exp(h_i),... ; % 8 exp(l_p),... ; % 9 exp(l_i),... ; % 10 exp(BE),... ; % 11 exp(BH),... ; % 12 exp(q_h),... ; % 13 exp(K_b),... ; % 14 exp(y),... ; % 15 exp(spr_b),... ; % 16 exp(B),... ; % 17 exp(D),... ; % 18 M_.params(30),... ; % 19 exp(J_b)] ; % 20 volatilities(1,:) = sqrt(diag(oo_.var))'.*100; for ii = 1:length(oo_.var); for jj = 1:length(oo_.var); corr_mat(ii,jj) = oo_.var(ii,jj)/( sqrt(oo_.var(ii,ii)) * sqrt(oo_.var(jj,jj)) ); end end welfare = ( 1/( 1-beta_p ) )* ( log( exp(c_p)*( 1-hab_p ) ) + j * log( exp(h_p) ) - ( 1 / ( 1 + phi ) ) * exp(l_p)^( 1 + phi ) ) +... ( 1/( 1-beta_i ) )* ( log( exp(c_i)*( 1-hab_p ) ) + j * log( exp(h_i) ) - ( 1 / ( 1 + phi ) ) * exp(l_i)^( 1 + phi ) ) +... ( 1/( 1-beta_e ) )* ( log( exp(c_e)*( 1-hab_p ) ) );