%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %毕业论文，dynare文件 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %模型中的变量，内生42，外国3，可观察14，外生冲击10，辅助变量若干，外生变量14， %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %模型中的内生变量，42个 var %核心变量,16个 s , rk , w , rd , nfa , k , kbar , u , q , h , y, c, i , psiz , nu , omegabar, %定价变量，12个 fd ,pbar , fx, pxbar ,fw , wbar , fmc, fmi, fmx, pmcbar , pmibar ,pmxbar , %通胀及相对价格，14个 pi, pic, pii, pix, pimc, pimi , pimx , gammac ,gammai , gammax, gammamc , gammami , gammamx , sbar, %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %外国经济变量，3个 ystar, pistar, rstar, y_obs, c_obs , i_obs, x_obs, m_obs, nu_obs, loan_obs, r_obs, pic_obs, pii_obs , sbar_obs, ystar_obs, pistar_obs , rstar_obs, %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %外生冲击变量，10个（14扣除3外加货币政策冲击） pitarget, muz, up, zetac, zetah , g , sigma ,zstar , varepsilon, xie ; %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %模型42个内生方程中使用的辅助变量, 个，在mode部分加#表示 % kd kx kw kmx kmc kmi % pidtil pixtil piwtil pimctil pimitil pimxtil % mcd mcx mcmc mcmi mcmx % cm im xm % re %***模型43个内生方程中可能使用的稳态表达 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %外生变量，即外生冲击过程的扰动项,14个 varexo e_ystar, e_pistar, e_rstar, e_xie, e_epsilonr , e_pitarget, e_muz , e_up , e_zetac , e_zetah , e_g , e_sigma , e_zstar , e_epsilon; %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %%%模型中的参数,校准值设定 parameters %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %价格加成参数 lambdad_p , %国内厂商的价格加成 lambdamc_p , %进口消费的价格加成 lambdami_p , %进口投资的价格加成 lambdamx_p , %进口出口中间品的价格加成 lambdax_p , %出口的价格加成 lambdaw_p , %工资加成 %价格粘性参数 xid_p , %国内产品价格粘性 ximc_p , %进口消费价格粘性 ximi_p , %进口投资价格粘性 ximx_p , %进口出口中间产品价格粘性 xix_p , %出口价格粘性 xiw_p , %工资粘性 %定价指数化参数 kappad_p , kappamc_p , kappami_p , kappamx_p , kappax_p , kappaw_p , %替代弹性 etac_p , %国内外消费弹性 etai_p , %国内外投资弹性 etax_p , %出口使用国外中间品弹性 etaf_p , %国外弹性 %占比参数 omegac_p , %进口消费占比 omegai_p , %进口投资占比 omegax_p , %进口出口中间品占比 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %内生变量方程中的核心参数 alpha_p , %资本占比 beta_p , %贴现率 delta_p , %折旧率 b_p , %消费习惯 sigmal_p , %劳动弹性 al_p , %劳动效用占比 sigmaa_p , %可变资本利用率 sss_p , %投资成本参数 mu_p , %监督成本 taub_p , %资本管制 te_p , %企业家转移支付 bigtheta_p , %退出企业家的消费 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %货币政策方程中参数 rhor_p , %利率平滑 rpi_p , %通胀反应 ry_p , %产出缺口反应 rs_p , %汇率变动的反应 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %外国经济VAR 参数 rpistar, rystar, a11,a12,a13,a21,a22,a23,a31,a32,a33, %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% phitildea, phitildes, %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %10个冲击过程中的参数 rhopitarget_p, rhomuz_p , rhoup_p , rhozetac_p , rhozetah_p ,rhog_p ,rhosigma_p , rhozstar_p , rhoepsilon_p, rhoxie_p, pitarget_p , %均值通胀 muz_p , %均值增长率 Fomegabar , %破产率 nk, %冲击方差，14个 stdpitarget_p, stdmuz_p , stdup_p ,stdzetac_p , stdzetah_p , stdg_p , stdsigma_p , stdzstar_p , stdepsilonr_p , stdxie_p, stdystar_p ,stdpistar_p , stdrstar_p , stdepsilon_p; %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %%%开始参数的校准及估计参数的先验 %%%校准的参数值 omegac_p=0.3; %进口消费占比 omegai_p=0.3; %进口投资占比 omegax_p=0.4; %进口出口中间品占比 %内生变量方程中的核心参数 alpha_p=0.55; %资本占比 beta_p=0.98; %贴现率 delta_p=0.05; %折旧率 sigmal_p=2 ;%劳动弹性 al_p = 5; %劳动效用占比 te_p =0.005; %企业家转移支付 bigtheta_p =0.005; %退出企业家的消费 pitarget_p= 1.007 ; %均值通胀 muz_p = 1.02; %均值增长率 phitildea=0.01; phitildes= 1.25; %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %%%估计参数的先验 %价格加成参数 lambdad_p =1.2 ; %国内厂商的价格加成 lambdamc_p =1.2 ; %进口消费的价格加成 lambdami_p =1.2 ; %进口投资的价格加成 lambdamx_p =1.2 ; %进口出口中间品的价格加成 lambdax_p =1.2 ; %出口的价格加成 lambdaw_p =1.2; %工资加成 %价格粘性参数 xid_p =0.75; %国内产品价格粘性 ximc_p = 0.75; %进口消费价格粘性 ximi_p = 0.75; %进口投资价格粘性 ximx_p = 0.75; %进口出口中间产品价格粘性 xix_p = 0.75; %出口价格粘性 xiw_p = 0.75; %工资粘性 %定价指数化参数 kappad_p=0.5; kappamc_p=0.5; kappami_p=0.5; kappamx_p=0.5; kappax_p=0.5; kappaw_p=0.5; %替代弹性 etac_p=1.5; %国内外消费弹性 etai_p=1.5; %国内外投资弹性 etax_p=1.5; %出口使用国外中间品弹性 etaf_p=1.5; %国外弹性 b_p = 0.65; %消费习惯 sigmaa_p =0.2; %可变资本利用率 sss_p =5; %投资成本参数 mu_p =0.275; %监督成本 taub_p = 0.2 ; %资本管制 Fomegabar=0.007; %破产率 nk=0.5; % %货币政策方程中参数 rhor_p =0.75; %利率平滑 rpi_p =1.5; %通胀反应 ry_p =0.25; %产出缺口反应 rs_p =0.2; %汇率变动的反应 %外国经济VAR 参数 rpistar=1.5; rystar=0.25; a11=0.5; a12=0; a13=0; a21=0; a22=0.5; a23=0; a31=0; a32=0; a33=0.5; rhopitarget_p=0.85; rhomuz_p=0.85; rhoup_p=0.85; rhozetac_p =0.85; rhozetah_p=0.85; rhog_p=0.85; rhosigma_p=0.85; rhozstar_p=0.85; rhoepsilon_p =0.85; rhoxie_p=0.85; stdpitarget_p=0.002; stdmuz_p =0.002; stdup_p=0.002; stdzetac_p=0.002; stdzetah_p=0.002; stdg_p=0.002; stdsigma_p=0.002; stdzstar_p=0.002; stdepsilonr_p=0.002; stdxie_p=0.002; stdystar_p=0.002; stdpistar_p=0.002; stdrstar_p =0.002; stdepsilon_p=0.002; %%%模型方程 model; %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %***模型中的辅助方程，主要表达并不算作内生变量的辅助变量 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %**方程中使用到的稳态表达 %**冲击方程中的稳态 #g_ss=(steady_state(g)); #sigma_ss=(steady_state(sigma)); #xie_ss=(steady_state(xie)); %**固定成本 #phi=((1-1/lambdad_p)*steady_state(k)^alpha_p*steady_state(h)^(1-alpha_p)*muz_p^(-alpha_p)); %**调整资本利用率 #rk_ss=(steady_state(rk)); #gammai_ss=(steady_state(gammai)); #nfa_ss=(steady_state(nfa)); %**货币政策 #rd_ss=(steady_state(rd)); #rstar_ss=(steady_state(rstar)); %% %外国VAR #pistar_ss=(steady_state(pistar)); #ystar_ss=(steady_state(ystar)); %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %**简单定价规则 %国内厂商 #pidtil=(pi(-1)^kappad_p*pitarget^(1-kappad_p)); #pidtilp1=(pi^kappad_p*pitarget(+1)^(1-kappad_p)); %出口厂商 #pixtil=(pix(-1)^kappax_p*pitarget^(1-kappax_p)); #pixtilp1=(pix^kappax_p*pitarget(+1)^(1-kappax_p));%请尝试换，是否该使用国内的通胀 %工资 #piwtil=(pic(-1)^kappaw_p*pitarget^(1-kappaw_p))*muz; #piwtilp1=(pic^kappaw_p*pitarget(+1)^(1-kappaw_p))*muz(+1); #piw=(w*muz*pi/w(-1)); #piwp1=(w(+1)*muz(+1)*pi(+1)/w); %进口厂商 #pimctil=(pimc(-1)^kappamc_p*pitarget^(1-kappamc_p)); #pimctilp1=(pimc^kappamc_p*pitarget(+1)^(1-kappamc_p)); #pimitil=(pimi(-1)^kappami_p*pitarget^(1-kappami_p)); #pimitilp1=(pimi^kappami_p*pitarget(+1)^(1-kappami_p)); #pimxtil=(pimx(-1)^kappamx_p*pitarget^(1-kappamx_p)); #pimxtilp1=(pimx^kappamx_p*pitarget(+1)^(1-kappamx_p)); %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %**边际成本 #mcd=((1/(1-alpha_p))^(1-alpha_p)*(1/alpha_p)^alpha_p*rk^alpha_p*w^(1-alpha_p)/varepsilon); #mcmc=(sbar*gammac/gammamc); #mcmi=(sbar*gammac/gammami); #mcmx=(sbar*gammac/gammamx); #mcx=((omegax_p*gammamx^(1-etax_p)+1-omegax_p)^(1/(1-etax_p))/(sbar*gammac*gammax)); %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %**定价辅助变量其一 #kd=(fd*((1 - xid_p * (pidtil/ pi)^(1/(1-lambdad_p))) / (1 - xid_p))^(1-lambdad_p)); #kdp1=(fd(+1)*((1 - xid_p * (pidtilp1/ pi(+1))^(1/(1-lambdad_p))) / (1 - xid_p))^(1-lambdad_p)); #kmc=(fmc*((1 - ximc_p * (pimctil/ pimc)^(1/(1-lambdamc_p))) / (1 - ximc_p))^(1-lambdamc_p)); #kmcp1=(fmc(+1)*((1 - ximc_p * (pimctilp1/ pimc(+1))^(1/(1-lambdamc_p))) / (1 - ximc_p))^(1-lambdamc_p)); #kmi=(fmi*((1 - ximi_p * (pimitil/ pimi)^(1/(1-lambdami_p))) / (1 - ximi_p))^(1-lambdami_p)); #kmip1=(fmi(+1)*((1 - ximi_p * (pimitilp1/ pimi(+1))^(1/(1-lambdami_p))) / (1 - ximi_p))^(1-lambdami_p)); #kmx=(fmx*((1 - ximx_p * (pimxtil/ pimx)^(1/(1-lambdamx_p))) / (1 - ximx_p))^(1-lambdamx_p)); #kmxp1=(fmx(+1)*((1 - ximx_p * (pimxtilp1/ pimx(+1))^(1/(1-lambdamx_p))) / (1 - ximx_p))^(1-lambdamx_p)); #kx=(fx*((1 - xix_p * (pixtil/ pix)^(1/(1-lambdax_p))) / (1 - xix_p))^(1-lambdax_p)); #kxp1=(fx(+1)*((1 - xix_p * (pixtilp1/ pix(+1))^(1/(1-lambdax_p))) / (1 - xix_p))^(1-lambdax_p)); #kw=(fw*((1 - xiw_p * (piwtil*w(-1)/ (pi*w*muz))^(1/(1-lambdaw_p))) / (1 - xiw_p))^(1-lambdaw_p*(1+sigmal_p))*w/al_p); #kwp1=(fw(+1)*((1 - xiw_p * (piwtilp1*w/ (pi(+1)*w(+1)*muz(+1)))^(1/(1-lambdaw_p))) / (1 - xiw_p))^(1-lambdaw_p*(1+sigmal_p))*w/al_p); %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %**进口部分 #cm=(omegai_p*(gammac/gammamc)^etai_p*c); #im=(omegai_p*(gammai/gammami)^etai_p*(i+rk_ss/gammai_ss*(exp(sigmaa_p*(u-1))-1)/sigmaa_p*kbar(-1)/muz)); #xm=(omegax_p*((omegax_p*gammamx^(1-etax_p)+1-omegax_p)^(1/(1-etax_p))/gammamx)^etax_p*pxbar^(lambdax_p/(1-lambdax_p))*gammax^(-etaf_p)*ystar*zstar); #cml1=(omegai_p*(gammac(-1)/gammamc(-1))^etai_p*c(-1)); #iml1=(omegai_p*(gammai(-1)/gammami(-1))^etai_p*(i(-1)+rk_ss/gammai_ss*(exp(sigmaa_p*(u(-1)-1))-1)/sigmaa_p*kbar(-1)/muz(-1))); #xml1=(omegax_p*((omegax_p*gammamx(-1)^(1-etax_p)+1-omegax_p)^(1/(1-etax_p))/gammamx(-1))^etax_p *pxbar(-1)^(lambdax_p/(1-lambdax_p))*gammax(-1)^(-etaf_p)*ystar(-1)*zstar(-1)); %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %**投资调整成本 #si=((exp(sqrt(sss_p)*(i*muz/i(-1)-muz_p))+exp((-sqrt(sss_p))*(i*muz/i(-1)-muz_p))-2)/2); #sii=((exp(sqrt(sss_p)*(i*muz/i(-1)-muz_p))-exp((-sqrt(sss_p))*(i*muz/i(-1)-muz_p)))*sqrt(sss_p)/2); #siip1=((exp(sqrt(sss_p)*(i(+1)*muz(+1)/i-muz_p))-exp((-sqrt(sss_p))*(i(+1)*muz(+1)/i-muz_p)))*sqrt(sss_p)/2); %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%测量方程中的辅助变量 %**测量总产出，总产出测量方程 #ybar=g+(1-omegac_p)*gammac^etac_p*c+(1-omegai_p)*gammai^etai_p*i+(1-omegax_p) *(omegax_p*gammamx^(1-etax_p)+1-omegax_p)^(etax_p/(1-etax_p))*pxbar^(lambdax_p/(1-lambdax_p))*gammax^(-etaf_p)*ystar*zstar; #ybarl1=g(-1)+(1-omegac_p)*gammac(-1)^etac_p*c(-1)+(1-omegai_p)*gammai(-1)^etai_p*i+(1-omegax_p) *(omegax_p*gammamx(-1)^(1-etax_p)+1-omegax_p)^(etax_p/(1-etax_p))*pxbar(-1)^(lambdax_p/(1-lambdax_p))*gammax(-1)^(-etaf_p)*ystar(-1)*zstar(-1); %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %**企业家部分用到的辅助变量 #F=(normcdf((log(omegabar) + sigma(-1)^2 / 2) / sigma(-1))); #G=(normcdf((log(omegabar) + sigma(-1)^2 / 2) / sigma(-1) - sigma(-1))); #Fp1= (normcdf((log(omegabar(+1))+sigma^2 / 2) / sigma)); #Gp1= (normcdf((log(omegabar(+1))+sigma^2 / 2) / sigma - sigma)); #Gammap1=(omegabar(+1)*(1 - Fp1)+Gp1 ); %文中使用的gamma #Gammaprp1 =( 1 - Fp1); %上述的导数 %**Gr=(omegabar(+1)*normpdf((log(omegabar(+1)) + sigma^2 / 2) / sigma) ); %G的导数 #Gr=(omegabar(+1) * normpdf((log(omegabar(+1)) + sigma^2 / 2) / sigma) / omegabar(+1) / sigma); #re=((u(+1)*rk(+1)-rk_ss/gammai_ss*(exp(sigmaa_p*(u(+1)-1))-1)/sigmaa_p*gammai(+1)+(1-delta_p)*q(+1))*pi(+1)/q ); %企业家收益率 #rel1=((u*rk-rk_ss/gammai_ss*(exp(sigmaa_p*(u-1))-1)/sigmaa_p*gammai+(1-delta_p)*q)*pi/q(-1) ); %企业家收益率滞后 #d=(mu_p*G*rel1*q(-1)*kbar(-1)/(pi*muz) ); %消耗的监督成本，进入社会资源约束 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %***模型均衡方程，42个内生变量对应42个均衡方程 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %**国内厂商 %国内定价fd方程 A1 fd = psiz*y + (pidtilp1 / pi(+1))^(1/(1-lambdad_p)) * beta_p * xid_p * fd(+1); %国内定价kd方程 A2 kd=lambdad_p*mcd* psiz*y+(pidtilp1 / pi(+1))^(lambdad_p/(1-lambdad_p)) * beta_p * xid_p * kdp1; %价格运动方程 A3 pbar=((1-xid_p)*((1 - xid_p * (pidtil/ pi)^(1/(1-lambdad_p))) / (1 - xid_p))^lambdad_p +xid_p * (pidtil*pbar(-1)/ pi)^(lambdad_p/(1-lambdad_p)))^((1-lambdad_p)/lambdad_p); %国内中间厂商成本最小化条件 A4 w=rk*(1-alpha_p)*k(-1)/(alpha_p*h*muz); %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %**进口厂商 %定价fmc的方程 A5 fmc= psiz*gammamc*cm + (pimctilp1 / pimc(+1))^(1/(1-lambdamc_p)) * beta_p * ximc_p * fmc(+1); %定价fmi的方程 A6 fmi= psiz*gammami*im + (pimitilp1 / pimi(+1))^(1/(1-lambdami_p)) * beta_p * ximi_p * fmi(+1); %定价fmx的方程 A7 fmx= psiz*gammamx*xm + (pimxtilp1 / pimx(+1))^(1/(1-lambdamx_p)) * beta_p * ximx_p * fmx(+1); %定价kmc的方程 A8 kmc= lambdamc_p*mcmc*psiz*gammamc*cm + (pimctilp1 / pimc(+1))^(lambdamc_p/(1-lambdamc_p)) * beta_p * ximc_p * kmcp1; %定价kmi的方程 A9 kmi= lambdami_p*mcmi*psiz*gammami*im + (pimitilp1 / pimi(+1))^(lambdami_p/(1-lambdami_p)) * beta_p * ximi_p * kmip1; %定价kmx的方程 A10 kmx= lambdamx_p*mcmx*psiz*gammamx*xm + (pimxtilp1 / pimx(+1))^(lambdamx_p/(1-lambdamx_p)) * beta_p * ximx_p * kmxp1; %价格运动 c A11 pmcbar=((1-ximc_p)*((1 - ximc_p * (pimctil/ pimc)^(1/(1-lambdamc_p))) / (1 - ximc_p))^lambdamc_p +ximc_p*(pimctil*pmcbar(-1)/ pimc)^(lambdamc_p/(1-lambdamc_p)))^((1-lambdamc_p)/lambdamc_p); %价格运动 i A12 pmibar=((1-ximi_p)*((1 - ximi_p * (pimitil/ pimi)^(1/(1-lambdami_p))) / (1 - ximi_p))^lambdami_p +ximi_p*(pimitil*pmibar(-1)/ pimi)^(lambdami_p/(1-lambdami_p)))^((1-lambdami_p)/lambdami_p); %价格运动 x A13 pmxbar=((1-ximx_p)*((1 - ximx_p * (pimxtil/ pimx)^(1/(1-lambdamx_p))) / (1 - ximx_p))^lambdamx_p +ximx_p*(pimxtil*pmxbar(-1)/ pimx)^(lambdamx_p/(1-lambdamx_p)))^((1-lambdamx_p)/lambdamx_p); %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %**出口厂商 %定价fx的方程 A14 fx= psiz*gammax^(1-etaf_p)*gammac*sbar*ystar + (pixtilp1 / pix(+1))^(1/(1-lambdax_p)) * beta_p * xix_p * fx(+1); %定价kx的方程 A15 kx= lambdax_p*mcx*psiz*gammax^(1-etaf_p)*gammac*sbar*ystar + (pixtilp1 / pix(+1))^(lambdax_p/(1-lambdax_p)) * beta_p * xix_p * kxp1; %价格运动 x A16 pxbar=((1-xix_p)*((1 - xix_p * (pixtil/ pix)^(1/(1-lambdax_p))) / (1 - xix_p))^lambdax_p +xix_p*(pixtil*pxbar(-1)/ pix)^(lambdax_p/(1-lambdax_p)))^((1-lambdax_p)/lambdax_p); %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %**相对价格以及通胀,9个 gammamc=gammamc(-1)*pimc/pi; gammami=gammami(-1)*pimi/pi; gammamx=gammamx(-1)*pimx/pi; gammac=gammac(-1)*pic/pi; gammai=gammai(-1)*pii/pi; gammax=gammax(-1)*pix/pistar; sbar=sbar(-1)*s*pistar/pic; gammac=(1-omegac_p+omegac_p*gammamc^(1-etac_p))^(1/(1-etac_p)); gammai=(1-omegai_p+omegai_p*gammami^(1-etai_p))^(1/(1-etai_p)); %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %**资本品生产 %投资决策的一阶条件 A26 psiz=(psiz*q*up*(1-si-sii*i*muz/i(-1))+beta_p*psiz(+1)*q(+1)*up(+1)*siip1*muz(+1)*(i(+1)/i)^2)/gammai; %资本累积方程 A27 kbar=(1-delta_p)*kbar(-1)/muz+up*(1-si)*i; %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %**家户决策 %消费的欧拉方程 A28 gammac*psiz=zetac/(c-b_p*c(-1)/muz)-beta_p*b_p*zetac(+1)/(c(+1)*muz(+1)-b_p*c); %家户国内资产的决策 A29 psiz=beta_p*rd*psiz(+1)/(muz(+1)*pi(+1)); %家户国外资产的决策 A30 //还有问题,国家风险的引入//放弃 psiz*muz(+1)*pi(+1)=beta_p*psiz(+1)*s(+1)*rstar* exp(-phitildea*(nfa-nfa_ss)-phitildes*(rstar-rd-(rstar_ss-rd_ss)))*(1+taub_p); %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %**工资决策 %fw的方程 A31 fw=psiz/lambdaw_p*h+w(+1)/w*(piwtilp1 / piwp1)^(1/(1-lambdaw_p)) * beta_p * xiw_p * fw(+1); %kw的方程 A32 kw=zetah*h^(1+sigmal_p)+(piwtilp1 / piwp1)^(lambdaw_p*(1+sigmal_p)/(1-lambdaw_p)) * beta_p * xiw_p * kwp1; %工资加总的方程 A33 wbar=((1-xiw_p)*((1 - xiw_p * (piwtil/ piw)^(1/(1-lambdaw_p))) / (1 - xiw_p))^lambdaw_p +xiw_p*(piwtil*wbar(-1)/ piw)^(lambdaw_p/(1-lambdaw_p)))^((1-lambdaw_p)/lambdaw_p); %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %**企业家的资本利用 %资本利用决策 A34 rk=rk_ss/gammai_ss*exp(sigmaa_p*(u-1))*gammai; %一个等式 A35 k(-1)=u*kbar(-1); %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %**最优贷款合同 //难点部分 %零利润条件 A36 %Gammap1-mu_p*Gp1=rd*(q*kbar-nu)/(re*q*kbar); %(1-mu_p)*normcdf((log(omegabar(+1))+sigma^2/2)/sigma-sigma)+omegabar(+1)*(1-normcdf((log(omegabar(+1))+sigma^2/2)/sigma))=rd*(q*kbar-nu)/(re*q*kbar); nu/kbar=q-re/rd*(Gammap1-mu_p*Gp1); %一阶条件 A37 (1-Gammap1)*re/rd + Gammaprp1/(Gammaprp1-mu_p*Gr)*(re/rd*(Gammap1-mu_p*Gp1)-1 )=0 ; %净财富动态 A38 nu=xie/(pi*muz)*((rel1*(1-mu_p*G)-rd(-1))*kbar(-1)*q(-1)+rd(-1)*nu(-1))+te_p; %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %**资源约束以及其他 %加总产出的表达 A39 y=pbar^(lambdad_p/(lambdad_p-1))*(varepsilon*(k(-1)/muz)^alpha_p*h^(1-alpha_p)-phi); %国内产出的资源约束 A40 y=g+d+bigtheta_p*(1-xie)/xie*(nu-te_p)+(1-omegac_p)*gammac^etac_p*c+(1-omegai_p)*gammai^etai_p*(i+rk_ss/gammai_ss*(exp(sigmaa_p*(u-1))-1)/sigmaa_p*kbar(-1)/muz) +(1-omegax_p)*(omegax_p*gammamx^(1-etax_p)+1-omegax_p)^(etax_p/(1-etax_p))*pxbar^(lambdax_p/(1-lambdax_p))*gammax^(-etaf_p)*ystar*zstar; %净外国资产nfa的动态 A41 nfa=sbar*gammac*gammax*gammax^(-etaf_p)*ystar*zstar-sbar*gammac*(pmcbar^(lambdamc_p/(1-lambdamc_p))*cm+pmibar^(lambdami_p/(1-lambdami_p))*im+pmxbar^(lambdamx_p/(1-lambdamx_p))*xm) +rstar(-1)*s*nfa(-1)*(1+taub_p)/(pi*muz) * exp(-phitildea*(nfa(-1)-nfa_ss)-phitildes*(rstar(-1)-rd(-1) -(rstar_ss-rd_ss))); %货币政策 A42 ??产出缺口的衡量 log(rd/rd_ss)=rhor_p*log(rd(-1)/rd_ss)+(1-rhor_p)*(log(pitarget/pitarget_p)+rpi_p*log(pic/pitarget)+ry_p*log(ybar/ybarl1)+rs_p*log(s))+e_epsilonr; %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %%%三个外国变量对应三变量VAR pistar - pistar_ss=a11*(pistar(-1)-pistar_ss)+a12*(log(ystar(-1)/ystar_ss))+a13*(rstar(-1)-rstar_ss)+e_pistar; log(ystar/ystar_ss)=a21*(pistar(-1)-pistar_ss)+a22*(log(ystar(-1)/ystar_ss))+a23*(rstar(-1)-rstar_ss)+e_ystar; rstar-rstar_ss=rpistar*(pistar-pistar_ss)+rystar*log(ystar/ystar_ss)+a31*(pistar(-1)-pistar_ss)+a32*(log(ystar(-1)/ystar_ss))+a33*(rstar(-1)-rstar_ss)+e_rstar; %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %说明：真实变量对数差分后减去均值处理 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %%%14个数据对应的观测方程 %**B.1 产出数据，使用国内GDP(使用到辅助变量，考虑总产出的度量） y_obs=log(ybar/ybarl1*muz/muz_p); %**B.2 消费数据，社会零售总额 c_obs=log(c/c(-1)*muz/muz_p); %**B.3 投资数据，固定资产投资 i_obs=log(i/i(-1)*muz/muz_p); %**B.4 净财富数据，股指或股票总市值 nu_obs=log(nu/nu(-1)*muz/muz_p); %**B.5 信贷数据，非金融机构新增贷款 loan_obs=log((q*kbar-nu)/(q(-1)*kbar(-1)-nu(-1))*muz/muz_p); %**B.6 出口数据， x_obs=log(gammax^(-etaf_p)*ystar*zstar/((gammax(-1))^(-etaf_p)*ystar(-1)*zstar(-1))*muz/muz_p); %**B.7 进口数据，使用进口辅助变量 m_obs=log((cm+im+xm)/(cml1+iml1+xml1)*muz/muz_p); %**B.8 消费通胀，CPI,减去均值 pic_obs=pic- 1.007; %**B.9 投资通胀，固定资产价格指数，减去均值 pii_obs=pii-1.007; %**B.10 利率，银行七天拆借，减去均值 r_obs=100*(rd-rd_ss); %**B.11 实际有效汇率，IFS sbar_obs=sbar/sbar(-1); %**B.12 外国产出 ystar_obs=log(ystar*zstar/(ystar(-1)*zstar(-1))*muz/muz_p); %**B.13 外国利率 rstar_obs=100*(rstar-rstar_ss ); %**B.14 外国通胀 pistar_obs=pistar-1.007; %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %**10个外生冲击方程（排除国外及货币政策冲击） %**C.1 通胀目标冲击 log(pitarget/pitarget_p)=rhopitarget_p*log(pitarget(-1)/pitarget_p)+e_pitarget; %**C.2 增长率冲击 log(muz/muz_p)=rhomuz_p*log(muz(-1)/muz_p)+e_muz; %**C.3 投资技术冲击 log(up)=rhoup_p*log(up(-1))+e_up; %**C.4 偏好冲击 log(zetac)=rhozetac_p*log(zetac(-1))+e_zetac; %**C.5 劳动力冲击 log(zetah)=rhozetah_p*log(zetah(-1))+e_zetah; %**C.6 政府支出冲击 log(g/g_ss)=rhog_p*log(g(-1)/g_ss)+e_g; %**C.7 财富冲击 log(xie/xie_ss)=rhoxie_p*log(xie(-1)/xie_ss)+e_xie; %**C.8 风险冲击 log(sigma/sigma_ss)=rhosigma_p*log(sigma(-1)/sigma_ss)+e_sigma; %**C.9 国内外非对称的技术冲击 log(zstar)=rhozstar_p*log(zstar(-1))+e_zstar; %**C.10 国内平稳技术冲击 log(varepsilon)=rhoepsilon_p*log(varepsilon(-1))+e_epsilon; %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% end; %%模型中冲击设定 shocks; var e_ystar; stderr stdystar_p; var e_pistar; stderr stdpistar_p; var e_rstar; stderr stdrstar_p; var e_xie; stderr stdxie_p; var e_epsilonr; stderr stdepsilonr_p; var e_pitarget; stderr stdpitarget_p; var e_muz; stderr stdmuz_p; var e_up; stderr stdup_p; var e_zetac; stderr stdzetac_p; var e_zetah; stderr stdzetah_p; var e_g; stderr stdg_p; var e_sigma; stderr stdsigma_p; var e_zstar; stderr stdzstar_p; var e_epsilon; stderr stdepsilon_p; end; % Compute the steady state of the model. steady; % Compute the eigenvalues of the model linearized around the steady state. check; %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %交代可观测变量 varobs y_obs, c_obs , i_obs, x_obs, m_obs, nu_obs, loan_obs, r_obs, pic_obs, pii_obs , sbar_obs, ystar_obs, pistar_obs , rstar_obs; %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %%估计参数的先验设定 estimated_params; %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %价格加成参数 %价格粘性参数 xid_p , beta_pdf , 0.75,0.075; %国内产品价格粘性 ximc_p, beta_pdf , 0.75,0.075; %进口消费价格粘性 ximi_p , beta_pdf , 0.75,0.075 ; %进口投资价格粘性 ximx_p , beta_pdf , 0.75,0.075 ; %进口出口中间产品价格粘性 xix_p , beta_pdf , 0.75,0.075 ; %出口价格粘性 xiw_p , beta_pdf , 0.75,0.075; %工资粘性 %定价指数化参数 kappad_p, beta_pdf ,0.5 , 0.15 ; kappamc_p, beta_pdf ,0.5 , 0.15 ; kappami_p, beta_pdf ,0.5 , 0.15 ; kappamx_p, beta_pdf ,0.5 , 0.15 ; kappax_p, beta_pdf ,0.5 , 0.15 ; kappaw_p, beta_pdf ,0.5 , 0.15 ; %替代弹性 etac_p , gamma_pdf , 1.5, 0.25 ; %国内外消费弹性 etai_p , gamma_pdf , 1.5 , 0.25 ; %国内外投资弹性 etax_p , gamma_pdf , 1.5 , 0.25 ; %出口使用国外中间品弹性 etaf_p , gamma_pdf , 1.5 , 0.25 ; %国外弹性 b_p , beta_pdf , 0.65 , 0.1 ; %消费习惯 sigmaa_p , gamma_pdf , 0.2 , 0.075; %可变资本利用率 sss_p ,gamma_pdf, 5 , 1.5; %投资成本参数 mu_p , beta_pdf , 0.275 , 0.15 ; %监督成本 taub_p ,beta_pdf , 0.3 , 0.2 ; %资本管制 %货币政策方程中参数 rhor_p , beta_pdf , 0.75 ,0.1 ; %利率平滑 rpi_p , normal_pdf , 1.5 , 0.25 ; %通胀反应 ry_p , normal_pdf , 0.25, 0.1 ; %产出缺口反应 rs_p , normal_pdf ,0.2 ,0.1 ; %汇率变动的反应 %外国经济VAR 参数 rpistar , normal_pdf , 1.5 , 0.25 ; rystar , normal_pdf , 0.25, 0.1 ; a11 , normal_pdf , 0.5, 0.5; a12 , normal_pdf , 0 , 0.5; a13 , normal_pdf , 0 , 0.5; a21 , normal_pdf , 0 , 0.5; a22 , normal_pdf , 0.5 , 0.5; a23 , normal_pdf , 0 , 0.5; a31 , normal_pdf , 0 , 0.5; a32 , normal_pdf , 0 , 0.5; a33 , normal_pdf , 0.5, 0.5; %% %冲击AR系数 rhopitarget_p , beta_pdf , 0.85 , 0.1 ; rhomuz_p , beta_pdf , 0.85 , 0.1 ; rhoup_p , beta_pdf , 0.85 , 0.1 ; rhozetac_p , beta_pdf , 0.85 , 0.1 ; rhozetah_p , beta_pdf , 0.85 , 0.1 ; rhog_p , beta_pdf , 0.85 , 0.1 ; rhosigma_p , beta_pdf , 0.85 , 0.1 ; rhozstar_p , beta_pdf , 0.85 , 0.1 ; rhoepsilon_p , beta_pdf , 0.85 , 0.1 ; rhoxie_p , beta_pdf , 0.85 , 0.1 ; Fomegabar , beta_pdf , 0.007 , 0.0037; %破产率 %% %冲击方差 stderr e_pitarget , inv_gamma_pdf , 0.002, inf ; stderr e_muz , inv_gamma_pdf , 0.002, inf ; stderr e_up , inv_gamma_pdf , 0.002, inf ; stderr e_zetac , inv_gamma_pdf , 0.002, inf ; stderr e_zetah , inv_gamma_pdf , 0.002, inf ; stderr e_g , inv_gamma_pdf , 0.002, inf ; stderr e_sigma , inv_gamma_pdf , 0.002, inf ; stderr e_zstar , inv_gamma_pdf , 0.002, inf ; stderr e_epsilonr , inv_gamma_pdf , 0.002, inf ; stderr e_xie , inv_gamma_pdf , 0.002, inf ; stderr e_ystar , inv_gamma_pdf , 0.002, inf ; stderr e_pistar , inv_gamma_pdf , 0.002, inf ; stderr e_rstar , inv_gamma_pdf , 0.002, inf ; stderr e_epsilon , inv_gamma_pdf , 0.002, inf ; end; estimation ( datafile=myfirstdata,mh_replic=1000,mh_nblocks=1,mh_drop=0.45,mh_jscale=0.2,mode_compute=6,nograph);