global modelnumber var a_be a_bh a_j a_k a_me a_mh a_p a_z acdb acdh acke ackh acloeb acloee aclosb acloss cb ce ch cs ctot d data_CC data_II data_LLE data_LLH data_LO data_LOE data_LOH data_NN data_QQ data_TFP data_YY dke dkh e_a_be e_a_bh he hh hs itot ke kh ktot lambdab lambdae lambdas loe los nh ns ntot q re rh rk rm rs rv spread_long spread_re_rh spread_rs_rh ucb uce uch ucs wh ws y zke zkh ; varexo eps_be eps_bh eps_j eps_k eps_me eps_mh eps_p eps_z ; parameters ALPHA BETAB BETAE BETAH BETAS BORRGAIN DELTA ECH FIDB FIDH FIKE FIKH FILOEB FILOEE FILOSB FILOSS GAMMAE GAMMAS IEAC JEI LOSSCON LOSSCONB MH MIU MK MN MS NU RHOD RHOE RHOS SAVGAIN SIG_BE SIG_BH SIG_J SIG_K SIG_ME SIG_MH SIG_P SIG_Z SIGMA SIGMAB SIGMAE SIGMAH TAUH TAUS YESBANK ZETAE ZETAH ZRHO_ABE ZRHO_ABH ZRHO_AJ ZRHO_AK ZRHO_AME ZRHO_AMH ZRHO_AP ZRHO_AZ; ALPHA = 0.35; BETAB = 0.945; BETAE = 0.94; BETAH = 0.9925; BETAS = 0.94; DELTA = 0.035; GAMMAE = 0.9; GAMMAS = 0.9; JEI = 0.075; MH = 0.9; MK = 0.9; MN = 1; MS = 0.9; SIGMAB = 1; SIGMAE = 1; SIGMAH = 1; TAUH = 2; TAUS = 2; YESBANK = 1; BORRGAIN = 1; IEAC = 0; LOSSCON = 0; LOSSCONB = 1; SAVGAIN = 0; SIG_BE = 0.00105366310939923; SIG_BH = 0.00132513108400193; SIG_J = 0.0346933420950192; SIG_K = 0.00675523019012514; SIG_ME = 0.0209405169003728; SIG_MH = 0.0115100149923654; SIG_P = 0.0204415898447342; SIG_Z = 0.00699646242063357; ECH = 0.457371499418411; FIDB = 0.137646346329159; FIDH = 0.0994830705225513; FIKE = 0.477524996640234; FIKH = 1.55649679224095; FILOEB = 0.0699784020696283; FILOEE = 0.0584911612503868; FILOSB = 0.466665017329181; FILOSS = 0.368243502056968; MIU = 0.464053954028799; NU = 0.0378989733672577; RHOD = 0.233590326955833; RHOE = 0.650291811303701; RHOS = 0.700910340904156; SIGMA = 0.326564481162563; ZETAE = 0.417264168830014; ZETAH = 0.376780917346019; ZRHO_ABE = 0.930835177208793; ZRHO_ABH = 0.969199134850878; ZRHO_AJ = 0.992211497669937; ZRHO_AK = 0.907564408672319; ZRHO_AME = 0.840323071869589; ZRHO_AMH = 0.872798006280679; ZRHO_AP = 0.995109196172004; ZRHO_AZ = 0.990599723824274; model; # zzGAMMAE=YESBANK*GAMMAE+(1-YESBANK); # zzGAMMAS=YESBANK*GAMMAS+(1-YESBANK); # zzrh = 1/BETAH; # zzrm = zzrh - (1-DELTA); # zzlambdab = YESBANK*(1-BETAB*zzrh)/(1-BETAB*RHOD) + (1-YESBANK)*1e-20; # zzre = YESBANK*(1/BETAB)*(1-((1-BETAB)*RHOD+(1-RHOD)*GAMMAE)*zzlambdab) +(1-YESBANK)*zzrh; # zzrs = YESBANK*(1/BETAB)*(1-((1-BETAB)*RHOD+(1-RHOD)*GAMMAS)*zzlambdab) + (1-YESBANK)*zzrh; # zzlambdae = (1-BETAE*zzre)/(1-BETAE*RHOE) ; # zzlambdas = (1-BETAS*zzrs)/(1-BETAS*RHOS) ; # zzrk = 1/BETAE*(1-zzlambdae*(1-RHOE)*MK) - (1-DELTA) ; # zzrv = 1/BETAE*(1-zzlambdae*MH/zzre*(1-RHOE)) - 1 ; # oo1 = JEI/(1-BETAH) ; # oo2 = JEI/(1-BETAS-zzlambdas*(1-RHOS)*MS/zzrs); # oo3 = 1/(1+(1-1/zzrs)*MS*oo2); # oo4 = GAMMAE*(zzrh-1)*(MH*NU/(zzre*zzrv)+MK*ALPHA*MIU/(zzrk)-MN*(1-ALPHA-NU)/(1+MN*zzlambdae)) ; # oo5 = GAMMAS*MS/zzrs*(oo2*(zzrh-1))*oo3 ; # oo7 = zzrm - DELTA ; # oo8 = (1-ALPHA-NU)*(1-SIGMA)/((1+MN*zzlambdae)) ; # oo9 = (1-MIU)*ALPHA/(zzrm) ; # zzns = 1/(1+oo3*TAUS) ; # zzzeta1 = oo7*oo9/oo8 + 1 + oo4/oo8 + oo5*SIGMA/(1-SIGMA) ; # zznh = 1/(1+TAUH*zzzeta1) ; # zzctoys = oo3*(1-ALPHA-NU)/(1+MN*zzlambdae)*SIGMA ; # zzctoyh = zzzeta1*oo8 ; # zziktoye = DELTA*ALPHA*MIU/(zzrk) ; # zziktoyh = DELTA*ALPHA*(1-MIU)/(zzrm) ; # zzdenh = oo1*zzctoyh + oo2*zzctoys + NU/(zzrv) ; # zzhh = oo1*zzctoyh / zzdenh ; # zzhs = oo2*zzctoys / zzdenh ; # zzhe = (NU/(zzrv)) / zzdenh ; # zzy = (ALPHA*(1-MIU)/(zzrm))^(ALPHA*(1-MIU)/(1-ALPHA))* (ALPHA*MIU/(zzrk))^(ALPHA*MIU/(1-ALPHA))* zzhe^(NU/(1-ALPHA))* (zznh^(1-SIGMA)*zzns^SIGMA)^((1-ALPHA-NU)/(1-ALPHA)) ; # zzkh = ALPHA*(1-MIU)*zzy/(zzrm) ; # zzke = ALPHA*MIU*zzy/(zzrk) ; # zzq = NU*zzy/(zzrv)/zzhe ; # zzloe = MH*zzq/zzre*zzhe + MK*zzke - MN*(1-ALPHA-NU)/(1+MN*zzlambdae)*zzy ; # zzwh = ((1-SIGMA)*(1-ALPHA-NU)/(1+MN*zzlambdae))*zzy/zznh ; # zzws = (SIGMA*(1-ALPHA-NU)/(1+MN*zzlambdae))*zzy/zzns; # zzlos = MS/zzrs*oo2*oo3*zzws*zzns ; # zzd = zzGAMMAE*zzloe + zzGAMMAS*zzlos ; # zzch = (zzrm-DELTA)*zzkh + (zzrh-1)*zzd + zzwh*zznh ; # zzcb = YESBANK*((zzre-1)*zzloe + (zzrs-1)*zzlos - (zzrh-1)*zzd)+(1-YESBANK)*1e-10; # zzmu = YESBANK*zzcb^(-SIGMAB) + (1-YESBANK)*zzch^(-SIGMAH) ; # zzce = zzy - DELTA*zzke - (zzre-1)*zzloe - zzwh*zznh - zzws*zzns - zzrm*zzkh ; # zzcs = oo3*zzws*zzns ; # zzame = 0 ; # zzamh = 0 ; # zzab = 0 ; # zzas = 0 ; # zzak = 0 ; # zzcumloss = 0; # zzctot = zzch + zzcs + zzce + zzcb; # zzitot = DELTA*(zzkh+zzke) ; # zzkb = zzloe + zzlos - zzd; # zzspread_re_rh = 4*(zzre-zzrh); # zzspread_rs_rh = 4*(zzrs-zzrh); # zzktot = zzke+zzkh; # zzntot = zznh^(1-SIGMA)*zzns^SIGMA ; # zzytot = zzitot+zzctot; # Y_SS = (zzy); # ITOT_SS = (zzitot); # CTOT_SS = (zzctot); # Q_SS = (zzq); # LTOT_SS = zzloe+zzlos; # NTOT_SS = zzntot; # KE_SS = zzke; # KH_SS = zzkh; # RK_SS = zzrk; # D_SS = zzd; # LOE_SS = zzloe; # LOS_SS = zzlos; # zzloetoy=zzloe/4/zzy; # zzlostoy=zzlos/4/zzy; # zzlotoy=(zzloe+zzlos)/4/zzy; # zzcbtoy = zzcb/zzy ; # zzcetoy = zzce/zzy ; # zzchtoy = zzch/zzy ; # zzcstoy = zzcs/zzy ; # zzkab=1-(zzd/(zzloe+zzlos)); # CE_SS = zzce; # RE_SS = zzre; # LE_SS = zzlambdae; # LB_SS = zzlambdab; # CB_SS = zzcb; # zzYESBANK = abs(YESBANK-1e-12); % Household Savers 1-5 (1-YESBANK)*((ch) + kh/exp(a_k) + (q)*((hh)-(hh(-1))) + (loe) - (re(-1))*(loe(-1)) + (los)-(rh(-1))*(los(-1)) + a_bh*Y_SS + a_be*Y_SS - (rm*zkh+(1-dkh)/exp(a_k))*(kh(-1)) - (wh)*(nh) ) + YESBANK*((ch) + kh/exp(a_k) + (q)*((hh)-(hh(-1))) + (d) - (rh(-1))*(d(-1)) - (rm*zkh+(1-dkh)/exp(a_k))*kh(-1) - (wh)*(nh) - SAVGAIN*a_bh*(Y_SS) ) = 0 ; (1+acdh)*(uch*exp(a_p)) - BETAH*(uch(+1)*exp(a_p(+1)))*((rh)+IEAC*acdh(+1)) = 0 ; (wh)*uch*exp(a_p) - TAUH/(1-(nh)) = 0 ; (1/exp(a_k)+ackh)*(uch*exp(a_p)) = BETAH*(uch(+1)*exp(a_p(+1)))*((rm(+1)*zkh(+1)+(1-dkh(+1))/exp(a_k(+1)))+IEAC*ackh(+1)) ; (q)*uch*exp(a_p) = JEI*exp(a_j)*exp(a_p)/hh + BETAH*(q(+1))*(uch(+1)*exp(a_p(+1))) ; //% Household Borrowers 6-10 (cs) + (rs(-1))*(los(-1)) + (q)*((hs)-(hs(-1))) = BORRGAIN*a_bh*(Y_SS) + (los) + (ws)*(ns) ; (los) = RHOS*(los(-1)) + (1-RHOS)*MS*exp(a_mh)*((q(+1))*(hs)/(rs(+1))-BORRGAIN*LOSSCON*a_bh*(Y_SS)) ; (1-acloss-(lambdas))*(ucs*exp(a_p)) = BETAS*(rs-IEAC*acloss(+1)-RHOS*(lambdas(+1)))*(ucs(+1)*exp(a_p(+1))) ; (ws)*(ucs*exp(a_p)) - TAUS/(1-(ns)) = 0 ; (q)*(ucs*exp(a_p)) = JEI*exp(a_j)*exp(a_p)/hs + BETAS*(q(+1))*(ucs(+1)*exp(a_p)) + (lambdas)*(1-RHOS)*(ucs*exp(a_p))*MS*exp(a_mh)*(q(+1))/((rs(+1))) ; //% BANK 11-15 (1-YESBANK) * ( (cb)-1e-10 ) + YESBANK* ( (cb) + (rh(-1))*(d(-1)) + (loe) + (los) - (re)*(loe(-1)) - (rs(-1))*(los(-1)) - (d) + (a_be+a_bh)*(Y_SS) ) = 0 ; (1-YESBANK)*((d)-(loe)-(los)) + YESBANK*( (d)-RHOD*( d(-1)-(loe(-1)-LOSSCONB*e_a_be(-1)*Y_SS)-(los(-1)-LOSSCONB*e_a_bh(-1)*Y_SS) ) -(1-(1-RHOD)*(1-GAMMAE))*(loe-LOSSCONB*e_a_be*Y_SS) -(1-(1-RHOD)*(1-GAMMAS))*(los-LOSSCONB*e_a_bh*Y_SS) ) = 0; (1-YESBANK)*((lambdab)-1e-10) + YESBANK*( (1-acdb-(lambdab))*ucb - BETAB*ucb(+1)*((rh)-RHOD*lambdab(+1)-IEAC*acdb(+1)) ) = 0; (1-YESBANK)*((rs)-(rh)) + YESBANK*( (1+aclosb-(RHOD+(1-RHOD)*GAMMAS)*(lambdab))*ucb - BETAB*ucb(+1)*((rs)-RHOD*lambdab(+1)+IEAC*aclosb(+1)) ) = 0; (1-YESBANK)*((re)-(rh)) + YESBANK*( (1+acloeb-(RHOD+(1-RHOD)*GAMMAE)*(lambdab))*ucb - BETAB*ucb(+1)*((re(+1))-RHOD*lambdab(+1)+IEAC*acloeb(+1)) ) = 0; //% Entre 16-21 (ce) + (ke)/exp(a_k) + (q)*(he) + YESBANK*(re)*loe(-1) + (1-YESBANK)*re(-1)*loe(-1) + (wh)*(nh) + (ws)*(ns) + (rm)*zkh*kh(-1) = (y) + (1-dke)*ke(-1)/exp(a_k) + (q)*(he(-1)) + (loe) + a_be*(Y_SS); (y) = exp(a_z)*(zke*(ke(-1)))^(MIU*ALPHA)*(zkh*(kh(-1)))^((1-MIU)*ALPHA)* (he(-1)^NU)*(ntot)^(1-ALPHA-NU) ; (loe) = RHOE*(loe(-1)) + (1-RHOE)*( MH*exp(a_me)*(q(+1))*(he)/(re(+1)) + MK*exp(a_me)*(ke) - MN*((wh)*(nh) + (ws)*(ns)) - LOSSCON*a_be*(Y_SS) ) ; (1-acloee-(lambdae))*uce = YESBANK*BETAE*((re(+1))-IEAC*acloee(+1)-RHOE*lambdae(+1))*uce(+1) + (1-YESBANK)*BETAE*((re)-IEAC*acloee(+1)-RHOE*lambdae(+1))*uce(+1) ; (1/exp(a_k)+acke-(lambdae)*(1-RHOE)*MK*exp(a_me))*uce = BETAE*(rk(+1)*zke(+1)+(1-dke(+1))/exp(a_k(+1))+IEAC*acke(+1))*uce(+1) ; (q)*uce = BETAE*(q(+1))*(1+rv(+1))*uce(+1) + (lambdae)*(1-RHOE)*uce*MH*exp(a_me)*(q(+1))/((re(+1))) ; //% Factor demand 22-26 ALPHA*MIU*(y) = (rk)*zke*(ke(-1)) ; ALPHA*(1-MIU)*(y) = (rm)*zkh*(kh(-1)) ; NU*(y) = (rv)*(q)*(he(-1)) ; (1-ALPHA-NU)*(1-SIGMA)*(y)/(1+MN*(lambdae)) = (wh)*(nh) ; (1-ALPHA-NU)*SIGMA*(y)/(1+MN*(lambdae)) = (ws)*(ns) ; //% Housing 27-27 (hh) + (hs) + (he) = 1; //% Utilization rate dke = DELTA + (RK_SS) * ( (ZETAE/(1-ZETAE)*zke^2)/2 + (1-ZETAE/(1-ZETAE))*zke + .5*ZETAE/(1-ZETAE) - 1 ) ; dkh = DELTA + (1/BETAH-1+DELTA) * ( (ZETAH/(1-ZETAH)*zkh^2)/2 + (1-ZETAH/(1-ZETAH))*zkh + .5*ZETAH/(1-ZETAH) - 1 ) ; rk = (RK_SS)*( ZETAE/(1-ZETAE)*zke + 1-ZETAE/(1-ZETAE) ) ; rm = (1/BETAH-1+DELTA)*( ZETAH/(1-ZETAH)*zkh + 1-ZETAH/(1-ZETAH) ) ; //% Auxiliary vars (ktot) = (ke)+(kh) ; ntot = nh^(1-SIGMA)*ns^SIGMA ; (ctot) = (ce)+(ch)+(cb)+(cs) ; (itot) = (ke)+(kh)-(1-dke)*(ke(-1))-(1-dkh)*(kh(-1)) ; spread_re_rh = 4*(1-YESBANK)*((re)-(rh))+4*YESBANK*((re)-(rh)); spread_rs_rh = 4*(rs)-4*(rh); spread_long = 0.125*spread_re_rh + 0.875*spread_long(+1); a_be = ZRHO_ABE*(a_be(-1)) + eps_be ; //% Shock to repayment of subprime guy a_bh = ZRHO_ABH*(a_bh(-1)) + eps_bh ; //% Shock to repayment of subprime guy a_j = ZRHO_AJ*a_j(-1) + eps_j ; a_k = ZRHO_AK*a_k(-1) + eps_k ; a_me = ZRHO_AME*a_me(-1) + eps_me ; a_mh = ZRHO_AMH*a_mh(-1) + eps_mh ; a_p = ZRHO_AP*a_p(-1) + eps_p ; a_z = ZRHO_AZ*a_z(-1) + eps_z ; e_a_be = a_be(+1); e_a_bh = a_bh(+1); acdb = FIDB*((d)-(d(-1)))/D_SS ; acdh = FIDH*((d)-(d(-1)))/D_SS ; acke = FIKE*((ke)-(ke(-1)))/KE_SS ; ackh = FIKH*((kh)-(kh(-1)))/KH_SS ; acloeb = FILOEB*((loe)-(loe(-1)))/LOE_SS ; aclosb = FILOSB*((los)-(los(-1)))/LOS_SS ; acloee = FILOEE*((loe)-(loe(-1)))/LOE_SS ; acloss = FILOSS*((los)-(los(-1)))/LOS_SS ; data_TFP = a_z ; data_YY = (ctot+itot)/Y_SS-1; data_CC = (ctot/CTOT_SS-1) ; data_II = (itot/ITOT_SS-1) ; data_LO = ((loe+los)/LTOT_SS-1) ; data_LOE = ((loe)/LOE_SS-1) ; data_LOH = ((los)/LOS_SS-1) ; data_QQ = (q/Q_SS-1) ; data_LLE = a_be ; data_LLH = a_bh ; data_NN = ntot/NTOT_SS-1 ; //% HABITS //% 25 ucb = YESBANK*(1-ECH)*( cb - ECH*cb(-1))^(-SIGMAB) + 0*(1-YESBANK)*0.01 ; uce = (1-ECH)*( ce - ECH*ce(-1))^(-SIGMAE) ; uch = (1-ECH)*( ch - ECH*ch(-1))^(-SIGMAH) ; ucs = (1-ECH)*( cs - ECH*cs(-1))^(-SIGMAH) ; end; shocks; %var eps_be; stderr 100*SIG_BE ; var eps_bh; stderr 100*SIG_BH ; %var eps_j; stderr 100*SIG_J ; %var eps_k; stderr 100*SIG_K ; %var eps_me; stderr 100*SIG_ME ; %var eps_mh; stderr 100*SIG_MH ; %var eps_p; stderr 100*SIG_P ; %var eps_z; stderr 100*SIG_Z ; end; steady(nocheck); check; stoch_simul(order=1,irf=20,nomoments,noprint) data_YY data_CC data_II data_LO data_QQ ;