//%------------------------------------------------------------ //% Declare endogenous and exogenous variables //%------------------------------------------------------------ var h_p n_cp n_hp c_p h_i n_ci n_hi c_i S B w_cp w_ci w_hp w_hi k_c b_i1 b_i2 k_h l c_e X q_h b_e1 b_e2 profit_nbank F r_nl r_il pi q_l R r_s Y GDP ih i_c i_h g_data_GDP g_data_C g_data_IH g_data_B g_data_qh g_data_ql data_pi data_R data_R_nl Z_c Z_h j phi psi epsilon_CP epsilon_B epsilon_pi epsilon_MP THETA m;//%All of them are AR(1) varexo u_j u_c u_h u_phi u_psi u_CP u_B u_pi u_MP; //%----------------------------------------------------------------------- //% Declare model parameters //%------------------------------------------------------------------------ parameters PHI_SS BETA_P BETA_I DELTA_H U_C U_H V_H DELTA_KC DELTA_KH X_SS GAMMA OMEGA DELTA_F CHI ALPHA TREND_AC TREND_AH XI ETA_P ETA_I C ETA_IBANK EPSILON OMEGA_CALVO RHO_R RHO_THETA PHI_PI PHI_XGAP Z_PI Z_X RHO_AC RHO_AH RHO_J RHO_PHI RHO_PSI RHO_CP RHO_B RHO_PI RHO_MP STDERR_AC STDERR_AH STDERR_J STDERR_PHI STDERR_PSI STDERR_CP STDERR_B STDERR_PI STDERR_MP; //%TREND_QH TREND_CP TREND_HP TREND_S TREND_CI TREND_HI TREND_B_I1 TREND_B_I2 TREND_QL TREND_L TREND_B_E1 TREND_B_E2 TREND_F TREND_NPROFIT TREND_KC TREND_KH TREND_Y QH_IH_Y C_Y HP_IH HI_IH CP_Y CI_Y CE_Y S_Y B_I1_Y B_I2_Y R_NL_SS KC_Y QH_IH_KH KH_Y QL_L_Y B_E1_Y B_E2_Y S_B F_B PROFIT_NBANK_F G_Y Y_GDP //% Calibrated parameters BETA_P =0.99; BETA_I =0.97; DELTA_H =0.013; U_C =0.47; U_H =0.35; V_H =0.1; DELTA_KC =0.05; DELTA_KH =0.06; X_SS =1.15; GAMMA =0.97; OMEGA =0.09; DELTA_F =0.27; CHI =0.66; //% Estimated parameters (mean) PHI_SS =0.10; ALPHA =0.65; TREND_AC =0.005; TREND_AH =0.005; XI =1; ETA_P =0.5; ETA_I =0.5; C =20; ETA_IBANK =50.5; EPSILON =0.5; OMEGA_CALVO =0.667; RHO_R =0.75; RHO_THETA =0.75; PHI_PI =1.5; PHI_XGAP =0.12; Z_PI =-1.5; Z_X =-0.12; //% Estimated shocks parameters (mean) RHO_AC =0.8; RHO_AH =0.8; RHO_J =0.8; RHO_PHI =0.8; RHO_PSI =0.8; //%RHO_IB =0.8; RHO_B =0.8; RHO_CP =0.8; RHO_PI =0.8; RHO_MP =0.8; STDERR_AC =0.01; STDERR_AH =0.01; STDERR_J =0.01; STDERR_PHI =0.01; STDERR_PSI =0.01; //%STDERR_IB =0.01; STDERR_B =0.01; STDERR_CP =0.01; STDERR_PI =0.01; STDERR_MP =0.01; //% Set DO_IRFS=1 to plot impulse responses //% Set DO_ESTIMATION=1 to do estimation DO_IRFS = 0 ; DO_ESTIMATION = 1 ; //%------------------------------------------------------------ //% Model equations //%------------------------------------------------------------ model ; # TREND_QL =TREND_AC; # TREND_QH =(1-U_H-V_H)*TREND_AH+(U_H+V_H)*TREND_AC-V_H*TREND_QL; # TREND_CP =TREND_AC; # TREND_HP =(1-U_H-V_H)*TREND_AC-(1-U_H-V_H)*TREND_AH+V_H*TREND_QL; # TREND_S =TREND_AC; # TREND_CI =TREND_AC; # TREND_HI =TREND_HP; # TREND_IH =TREND_HP; # TREND_B_I1 =TREND_AC; # TREND_B_I2 =TREND_AC; # TREND_L =TREND_AC-TREND_QL; # TREND_B_E1 =TREND_AC; # TREND_B_E2 =TREND_AC; # TREND_B =TREND_AC; # TREND_F =TREND_AC; # TREND_NPROFIT =TREND_AC; # TREND_KC =TREND_AC; # TREND_KH =TREND_AC; # TREND_Y =TREND_AC; # THETA_SS=0.60; # M_SS=1-THETA_SS; # QH_IH_GDP=0.036936369; # QH_IH_Y=QH_IH_GDP/(1-QH_IH_GDP); # R_S_SS=BETA_P^(-1)-1; # PROFIT_NBANK_F=(1-(1-DELTA_F)/(1+TREND_F))/(CHI/(1+TREND_NPROFIT)); # F_B=0.5*(4/3*OMEGA-sqrt(4/9*OMEGA^2-((1-(1-DELTA_F)/(1+TREND_F))*(1+TREND_NPROFIT)/CHI-R_S_SS)/(6*C))); # S_B=1-F_B; # R_NL_SS=-C*(F_B-OMEGA)*F_B^2+BETA_P^(-1)-1; # R_IL_SS=(ETA_IBANK/(ETA_IBANK-1))*(1+R_NL_SS)-1; # HI_IH=((1-ALPHA)*(1-U_C)/(X_SS*QH_IH_Y)+(1-ALPHA)*(1-U_H-V_H))/((1-BETA_I*(1+TREND_QH)*(1-DELTA_H-THETA_SS-M_SS)-(1+TREND_QH)*THETA_SS/(1+R_NL_SS)-(1+TREND_QH)*M_SS/(1+R_IL_SS))/PHI_SS+(1-(1-DELTA_H)/(1+TREND_HI))+(1-(1+R_NL_SS)/(1+TREND_B_I1))*THETA_SS*(1+TREND_QH)/(1+R_NL_SS)+(1-(1+R_IL_SS)/(1+TREND_B_I2))*M_SS*(1+TREND_QH)/(1+R_IL_SS)); # HP_IH=(1+TREND_HI)/(TREND_HI+DELTA_H)-HI_IH; # CP_Y=(1-BETA_P*(1+TREND_QH)*(1-DELTA_H))*HP_IH*QH_IH_Y/PHI_SS; # CI_Y=(1-BETA_I*(1+TREND_QH)*(1-DELTA_H-THETA_SS-M_SS)-(1+TREND_QH)*THETA_SS/(1+R_NL_SS)-(1+TREND_QH)*M_SS/(1+R_IL_SS))*HI_IH*QH_IH_Y/PHI_SS; # S_Y=(ALPHA*(1+TREND_Y)*(1-U_C)/X_SS+ALPHA*(1-U_H-V_H)*QH_IH_Y-(1-(1-DELTA_H)/(1+TREND_HP))*QH_IH_Y*HP_IH-CP_Y)/(1-(1+R_S_SS)/(1+TREND_S)); # B_I1_Y=(1+TREND_QH)/(1+R_NL_SS)*THETA_SS*HI_IH*QH_IH_Y; # B_I2_Y=(1+TREND_QH)/(1+R_IL_SS)*M_SS*HI_IH*QH_IH_Y; # KC_Y=(1+TREND_Y)*U_C*(1+TREND_Y)/((1-THETA_SS/(1+R_NL_SS)-M_SS/(1+R_IL_SS))/GAMMA-(1-DELTA_KC)+THETA_SS+M_SS)/X_SS; # QH_IH_KH=((1-THETA_SS/(1+R_NL_SS)-M_SS/(1+R_IL_SS))/GAMMA-(1-DELTA_KH)+THETA_SS+M_SS)/(U_H*(1+TREND_Y)); # KH_Y=QH_IH_Y/QH_IH_KH; # QL_L_Y=V_H*(1+TREND_Y)/((1-(1+TREND_QL)*THETA_SS/(1+R_NL_SS)-(1+TREND_QL)*M_SS/(1+R_IL_SS))/GAMMA-(1+TREND_QL)*(1-THETA_SS-M_SS))*QH_IH_Y; # B_E1_Y=THETA_SS/(1+R_NL_SS)*(QL_L_Y*(1+TREND_QL)+KC_Y+KH_Y); # B_E2_Y=M_SS/(1+R_IL_SS)*(QL_L_Y*(1+TREND_QL)+KC_Y+KH_Y); # B_Y=B_I1_Y+B_I2_Y+B_E1_Y+B_E2_Y; # F_B1=1-S_Y/B_Y; # IC_Y=(1-(1-DELTA_KC)/(1+TREND_KC))*KC_Y; # IH_Y=(1-(1-DELTA_KH)/(1+TREND_KH))*KH_Y; # CE_Y=U_C/X_SS+(U_H+V_H)*QH_IH_Y+(1-(1+R_NL_SS)/(1+TREND_B_E1))*B_E1_Y+(1-(1+R_IL_SS)/(1+TREND_B_E2))*B_E2_Y-IC_Y-IH_Y-(1-1/(1+TREND_L))*QL_L_Y; # C_Y=CP_Y+CI_Y+CE_Y; # Y_GDP=1/(1+QH_IH_Y); # IC_GDP=IC_Y*Y_GDP; # IH_GDP=IH_Y*Y_GDP; # C_GDP=C_Y*Y_GDP; //% 1 PHI_SS*(CP_Y)/(HP_IH*QH_IH_Y)*(h_p-phi)=c_p-q_h-BETA_P*(1+TREND_QH)*(1-DELTA_H)*(c_p(+1)-q_h(+1)+j-j(+1)); //% 2 n_cp=((ETA_P-XI)*(1+(1-U_C)/(1-U_H-V_H )/(QH_IH_Y*X_SS))^(-1)+XI)^(-1)*(w_cp-c_p-psi-((ETA_P-XI)*(1+(1-U_H-V_H )/(1-U_C)*QH_IH_Y*X_SS)^(-1))*n_hp); //% 3 n_hp=((ETA_P-XI)*(1+(1-U_C)/(1-U_H-V_H )/(QH_IH_Y*X_SS))^(-1)+XI)^(-1)*(w_hp-c_p-psi-((ETA_P-XI)*(1+(1-U_H-V_H )/(1-U_C)*QH_IH_Y*X_SS)^(-1))*n_cp); //% 4 c_p=c_p(+1)-BETA_P*r_s+j-j(+1); //% 5 ALPHA*(1-U_C)/X_SS*(w_cp+n_cp)+ALPHA*(1-U_H-V_H)*QH_IH_Y*(w_hp+n_hp)+1/(1+TREND_S)*(1+R_S_SS)*S_Y*(1/(1+R_S_SS)*r_s(-1)+S(-1))=CP_Y*c_p+HP_IH*QH_IH_Y*((h_p-(1-DELTA_H)/(1+TREND_HP)*h_p(-1))+(1-(1-DELTA_H)/(1+TREND_HP))*q_h)+S_Y*S+(1-1/X_SS)*Y+1/X_SS*X+PROFIT_NBANK_F*F_B*B_Y*(profit_nbank-CHI/(1+TREND_NPROFIT)*profit_nbank(-1))+(B_I2_Y+B_E2_Y)*(r_il-r_nl)+(R_NL_SS-R_IL_SS)*(B_I2_Y*b_i2+B_E2_Y*b_e2); //% Impatient households //% 6 PHI_SS*(CI_Y)/(HI_IH*QH_IH_Y)*(h_i-phi)=c_i-q_h-BETA_I*(1+TREND_QH)*(1-DELTA_H-THETA_SS-M_SS)*(c_i(+1)-q_h(+1)+j-j(+1))-BETA_I*(1+TREND_QH)*THETA_SS*THETA-BETA_I*(1+TREND_QH)*M_SS*m+(1+TREND_QH)*THETA_SS/(1+R_NL_SS)*(q_h(+1)+THETA-1/(1+R_NL_SS)*r_nl-c_i)+(1+TREND_QH)*M_SS/(1+R_IL_SS)*(q_h(+1)+m-1/(1+R_IL_SS)*r_il-c_i); //% 7 n_ci=((ETA_I-XI)*(1+(1-U_C)/(1-U_H-V_H )/(QH_IH_Y*X_SS))^(-1)+XI)^(-1)*(w_ci-c_i-psi-((ETA_I-XI)*(1+(1-U_H-V_H )/(1-U_C)*QH_IH_Y*X_SS)^(-1))*n_hi); //% 8 n_hi=((ETA_I-XI)*(1+(1-U_C)/(1-U_H-V_H )/(QH_IH_Y*X_SS))^(-1)+XI)^(-1)*(w_hi-c_i-psi-((ETA_I-XI)*(1+(1-U_H-V_H )/(1-U_C)*QH_IH_Y*X_SS)^(-1))*n_ci); //% 10 (1-ALPHA)*(1-U_C)/X_SS*(w_ci+n_ci)+(1-ALPHA)*(1-U_H-V_H)*QH_IH_Y*(w_hi+n_hi)+B_I1_Y*b_i1+B_I2_Y*b_i2=CI_Y*c_i+(HI_IH*QH_IH_Y)*(h_i-(1-DELTA_H)/(1+TREND_HI)*h_i(-1)+(1-(1-DELTA_H)/(1+TREND_HI))*q_h)+1/(1+TREND_B_I1)*(1+R_NL_SS)*B_I1_Y*(1/(1+R_NL_SS)*r_nl(-1)+b_i1(-1))+1/(1+TREND_B_I2)*(1+R_IL_SS)*B_I2_Y*(1/(1+R_IL_SS)*r_il(-1)+b_i2(-1)); //% 11 b_i1=THETA+q_h(+1)+h_i-1/(1+R_NL_SS)*r_nl; b_i2=m+q_h(+1)+h_i-1/(1+R_IL_SS)*r_il; //% Enterpreneurs //% 12 Y-X =w_cp+n_cp; //% 13 Y-X =w_ci+n_ci; //% 14 q_h+ih =w_hp+n_hp; //% 15 q_h+ih =w_hi+n_hi; //% 16 GAMMA*(1-DELTA_KC-THETA_SS-M_SS)*(c_e(+1)-c_e+j-j(+1))+GAMMA*THETA_SS*THETA+GAMMA*M_SS*m+GAMMA*U_C*(1+TREND_Y)/(X_SS*KC_Y)*(c_e(+1)-c_e+j-j(+1)-Y(+1)+X(+1)+k_c)=THETA_SS/(1+R_NL_SS)*(THETA-r_nl/(1+R_NL_SS))+M_SS/(1+R_IL_SS)*(m-r_il/(1+R_IL_SS)); //% 17 GAMMA*(1-DELTA_KH-THETA_SS-M_SS)*(c_e(+1)-c_e+j-j(+1))+GAMMA*THETA_SS*THETA+GAMMA*M_SS*m+GAMMA*U_H*(1+TREND_Y)*QH_IH_KH*(c_e(+1)-c_e+j-j(+1)-q_h(+1)-ih(+1)+k_h)=THETA_SS/(1+R_NL_SS)*(THETA-r_nl/(1+R_NL_SS))+M_SS/(1+R_IL_SS)*(m-r_il/(1+R_IL_SS)); //% 18 GAMMA*(1+TREND_QL)*(c_e-c_e(+1)-j+j(+1)+q_l(+1))*(1-THETA_SS-M_SS)-GAMMA*(1+TREND_QL)*THETA_SS*THETA-GAMMA*(1+TREND_QL)*M_SS*m+GAMMA*V_H*(1+TREND_Y)*QH_IH_Y/QL_L_Y*(c_e-c_e(+1)-j+j(+1)+q_h(+1)+ih(+1)-l)=q_l-(1+TREND_QL)*THETA_SS/(1+R_NL_SS)*(THETA+q_l(+1)-1/(1+R_NL_SS)*r_nl)-(1+TREND_QL)*M_SS/(1+R_IL_SS)*(m+q_l(+1)-1/(1+R_IL_SS)*r_il); //% 20 CE_Y*c_e+IC_Y*i_c+IH_Y*i_h+QL_L_Y*(q_l-1/(1+TREND_L)*q_l+l-1/(1+TREND_L)*l(-1))+ALPHA*(1-U_C)/X_SS*(w_cp+n_cp)+ALPHA*(1-U_H-V_H)*QH_IH_Y*(w_hp+n_hp)+(1-ALPHA)*(1-U_C)/X_SS*(w_ci+n_ci)+(1-ALPHA)*(1-U_H-V_H)*QH_IH_Y*(w_hi+n_hi)+(1+R_NL_SS)*B_E1_Y/(1+TREND_B_E1)*(1/(1+R_NL_SS)*r_nl(-1)+b_e1(-1))+(1+R_IL_SS)*B_E2_Y/(1+TREND_B_E2)*(1/(1+R_IL_SS)*r_il(-1)+b_e2(-1))=1/X_SS*(Y-X)+QH_IH_Y*(q_h+ih)+B_E1_Y*b_e1+B_E2_Y*b_e2; //% 21 B_E1_Y*(1+R_NL_SS)*(b_e1+1/(1+R_NL_SS)*r_nl-THETA)=THETA_SS*(QL_L_Y*(1+TREND_QL)*(q_l(+1)+l)+KC_Y*k_c+KH_Y*k_h); //% 22 B_E2_Y*(1+R_IL_SS)*(b_e2+1/(1+R_IL_SS)*r_il-m)=M_SS*(QL_L_Y*(1+TREND_QL)*(q_l(+1)+l)+KC_Y*k_c+KH_Y*k_h); //% Normal Banks //% 22 PROFIT_NBANK_F*profit_nbank=1/F_B*(r_nl+R_NL_SS*B)-S_B/F_B*(r_s+R_S_SS*S)-C*(F_B-OMEGA)*F_B*(F-B)-C/2*(F_B-OMEGA)^2*F; //% 23 r_nl-r_s=(R_NL_SS-R_S_SS)*(F_B/(F_B-OMEGA)+2)*(F-B)+epsilon_B; //% 24 B=S_B*S+F_B*F; //% 25 F=(1-DELTA_F)/(1+TREND_F)*F(-1)+CHI/(1+TREND_NPROFIT)*PROFIT_NBANK_F*profit_nbank(-1); //% Shadow Banks //% 26 r_il=ETA_IBANK/(ETA_IBANK-1)*r_nl; //% Philips curve //% 27 pi=BETA_P*exp(TREND_Y)/(1+BETA_P*exp(TREND_Y)*EPSILON)*pi(+1)+EPSILON/(1+BETA_P*exp(TREND_Y)*EPSILON)*pi(-1)+(1-OMEGA_CALVO)*(1-OMEGA_CALVO*BETA_P*exp(TREND_Y))/(OMEGA_CALVO*(1+BETA_P*exp(TREND_Y)*EPSILON))*(-X)+epsilon_pi; //% Total borrowing B_I1_Y*b_i1+B_E1_Y*b_e1+B_I2_Y*b_i2+B_E2_Y*b_e2=B_Y*B; //% 30 R=RHO_R*R(-1)+(1-RHO_R)*PHI_PI*pi+(1-RHO_R)*PHI_XGAP*(GDP-GDP(-1))+epsilon_MP; //% 31 r_s=R-pi(+1); //% 32 GDP=Y_GDP*Y+(1-Y_GDP)*(q_h+ih); //% 33 HP_IH*(h_p-(1-DELTA_H)/(1+TREND_HP)*(h_p(-1)))+HI_IH*(h_i-(1-DELTA_H)/(1+TREND_HI)*(h_i(-1)))=ih; l=0; //% 37 Y=(1-U_C)*Z_c+(1-U_C)*ALPHA*n_cp+(1-U_C)*(1-ALPHA)*n_ci+U_C*k_c(-1); //% 38 ih=(1-U_H-V_H )*Z_h+(1-U_H-V_H )*ALPHA*n_hp+(1-U_H-V_H )*(1-ALPHA)*n_hi+U_H*k_h(-1)+V_H*l(-1); //% 39 k_c-(1-DELTA_KC)/(1+TREND_KC)*k_c(-1)=(TREND_KC+DELTA_KC)/(1+TREND_KC)*i_c; //% 40 k_h-(1-DELTA_KH)*(1+TREND_KH)*k_h(-1)=(TREND_KH+DELTA_KH)/(1+TREND_KH)*i_h; THETA=RHO_THETA*THETA(-1)+(1-RHO_THETA)*Z_PI*pi+(1-RHO_THETA)*Z_X*(GDP-GDP(-1))+epsilon_CP; m=-THETA; //% MEAUREMENT EQUATIONS //%data_GDP = GDP+TREND_Y; //%data_C = c_p+c_i+c_e+TREND_Y; //%data_IH = ih+TREND_IH; //% data_B = B+TREND_B; //% data_pi = pi; //%data_qh = q_h+TREND_QH; //%data_ql = q_l+TREND_QL; //% data_R = R; //% data_R_nl = r_nl+pi(+1); g_data_GDP =GDP-GDP(-1)+TREND_Y; g_data_C =c_p+c_i+c_e-c_p(-1)-c_i(-1)-c_e(-1)+TREND_Y; g_data_IH =ih-ih(-1)+TREND_IH; g_data_B =B-B(-1)+TREND_B; g_data_qh =q_h-q_h(-1)+TREND_QH; g_data_ql =q_l-q_l(-1)+TREND_QL; data_pi =pi; data_R =R; data_R_nl =r_nl+pi(+1); //% STOCHASTIC PROCESSES FOR THE SHOCKS Z_c =RHO_AC*Z_c(-1)+u_c; Z_h =RHO_AH*Z_h(-1)+u_h; j =RHO_J*j(-1)+u_j; phi =RHO_PHI*phi(-1)+u_phi; psi =RHO_PSI*psi(-1)+u_psi; epsilon_CP =RHO_CP*epsilon_CP(-1)+u_CP; epsilon_B =RHO_B*epsilon_B(-1)+u_B; //%epsilon_IB =RHO_IB*epsilon_IB(-1)+u_IB; epsilon_pi =RHO_PI*epsilon_pi(-1)+u_pi; epsilon_MP =RHO_MP*epsilon_MP(-1)+u_MP; end; steady; shocks; var u_c ; stderr STDERR_AC ; var u_h ; stderr STDERR_AH ; var u_j ; stderr STDERR_J ; var u_phi ; stderr STDERR_PHI ; var u_psi ; stderr STDERR_PSI ; var u_CP ; stderr STDERR_CP ; var u_B ; stderr STDERR_B ; //%var u_IB ; stderr STDERR_IB ; var u_pi ; stderr STDERR_PI ; var u_MP ; stderr STDERR_MP ; end; //%------------------------------------------------------------ //% TO SEE PROPERTIES OF MODEL: //%------------------------------------------------------------ if DO_IRFS==1; stoch_simul(order=1,irf=20); end; if(DO_ESTIMATION==1); estimated_params ; //% START VALUES LB UB PRIORS PRIOR MEAN PRIOR SD stderr u_c , 0.00110 , 0 , Inf , inv_gamma_pdf, 0.001 , 0.01 ; stderr u_h , 0.00110 , 0 , Inf , inv_gamma_pdf, 0.001 , 0.01 ; stderr u_j , 0.00100 , 0 , Inf , inv_gamma_pdf, 0.001 , 0.01 ; stderr u_phi , 0.00100 , 0 , Inf , inv_gamma_pdf, 0.001 , 0.01 ; stderr u_psi , 0.00100 , 0 , Inf , inv_gamma_pdf, 0.001 , 0.01 ; stderr u_B , 0.00100 , 0 , Inf , inv_gamma_pdf, 0.001 , 0.01 ; //%stderr u_IB , 0.00100 , 0 , Inf , inv_gamma_pdf, 0.001 , 0.01 ; stderr u_CP , 0.00100 , 0 , Inf , inv_gamma_pdf, 0.001 , 0.01 ; stderr u_pi , 0.00100 , 0 , Inf , inv_gamma_pdf, 0.001 , 0.01 ; stderr u_MP , 0.00100 , 0 , Inf , inv_gamma_pdf, 0.001 , 0.01 ; PHI_SS , 0.1 , 0.05 , , beta_pdf , 0.1 , 0.05 ; ALPHA , 0.6500 , 0 , 1 , beta_pdf , 0.65 , 0.05 ; ETA_P , 0.5000 , 0 , Inf , gamma_pdf , 0.50 , 0.1 ; ETA_I , 0.5000 , 0 , Inf , gamma_pdf , 0.50 , 0.1 ; C , 20.0000 , 0 , Inf , gamma_pdf , 20 , 5 ; EPSILON , 0.5000 , 0 , Inf , beta_pdf , 0.5 , 0.2 ; OMEGA_CALVO , 0.6670 , 0 , 1 , beta_pdf , 0.667 , 0.05 ; RHO_R , 0.75000 , 0 , inf , beta_pdf , 0.75 , 0.2 ; RHO_THETA , 0.75000 , 0 , inf , beta_pdf , 0.75 , 0.2 ; PHI_PI , 1.5000 , 0 , inf , normal_pdf , 1.5 , 0.10 ; PHI_XGAP , 0.12 , 0 , inf , normal_pdf , 0.12 , 0.10 ; Z_PI , -1.5 , , 0 , normal_pdf , -1.5 , 1.5 ; Z_X , -0.12000 , , 0 , normal_pdf , -0.12 , 0.1 ; TREND_AC , 0.00650 , , , normal_pdf , 0.005 , 0.01 ; TREND_AH , 0.0055 , , , normal_pdf , 0.005 , 0.01 ; RHO_AC , 0.8000 , , 0.999 , beta_pdf , 0.80 , 0.10 ; RHO_AH , 0.8000 , , 0.999 , beta_pdf , 0.80 , 0.10 ; RHO_J , 0.8000 , , 0.999 , beta_pdf , 0.80 , 0.10 ; RHO_PHI , 0.8000 , , 0.999 , beta_pdf , 0.80 , 0.10 ; RHO_PSI , 0.8000 , , 0.999 , beta_pdf , 0.80 , 0.10 ; RHO_B , 0.8000 , , 0.999 , beta_pdf , 0.80 , 0.10 ; //% RHO_IB , 0.8000 , , 0.999 , beta_pdf , 0.80 , 0.10 ; RHO_CP , 0.8000 , , 0.999 , beta_pdf , 0.80 , 0.10 ; RHO_PI , 0.8000 , , 0.999 , beta_pdf , 0.80 , 0.10 ; RHO_MP , 0.8000 , , 0.999 , beta_pdf , 0.80 , 0.10 ; dsge_prior_weight , 10 , 0.728 , inf , uniform_pdf , 10 , 0.1 ; //%This has to be turned off, otherwise, it will be stuck with 0% acceptation rate XI , 1.0000, , , gamma_pdf , 1 , 0.1 ; //% This has to be turned off, otherwise, it will casue BK condition problem. ETA_IBANK , 359.9000, 0 , Inf , gamma_pdf , 359.9 , 50 ; end; varobs g_data_GDP g_data_C g_data_IH g_data_B g_data_qh g_data_ql data_pi data_R data_R_nl; //% observation_trends; //% data_GDP (TREND_AC) ; //% data_C (TREND_AC) ; //% data_IH ((1-U_H-V_H)*TREND_AC-(1-U_H-V_H)*TREND_AH+V_H*TREND_AC) ; //% data_B (TREND_AC) ; //% data_qh ((1-U_H-V_H)*TREND_AH+(U_H+V_H)*TREND_AC-V_H*TREND_AC) ; //% data_ql (TREND_AC) ; //%end; //% estimation(datafile = checkdata, dsge_var, dsge_varlag=1, first_obs=2, presample=2, bayesian_irf,irf=20, mh_drop=0.2, conf_sig=0.95, smoother, mh_jscale=0.5, mode_compute=6, prior_trunc=1e-100, mh_replic=2000, mh_nblocks=1, lik_init=1); end; //%identification; //%