//BASELINE NK MODEL var y pi i a n mc rw zm zd y_obs pi_obs i_obs; varexo e_i e_m e_d e_a e_pi; parameters beta sigma epsilon omega xiP rho_i delta_pi delta_y rho_zd rho_zm rho_a; beta = 0.99; // discount factor; sigma = 1.00; // relative risk aversion; epsilon = 7.84; // price elasticity of demand; omega = 2.00; // inverse of frisch; xiP = 0.66; // calvo parameter; rho_i = 0.0; // interest rate smoothing delta_pi = 1.5; // taylor inflation delta_y = 0.000; // taylor output gap rho_zd = 0.5; // coeff AR(1) demand shock; rho_zm = 0.5; // coeff AR(1) markup shock; rho_a = 0.5; // coeff AR(1) TFP shock; model(linear); y = y(+1) - (1/sigma)*(i - pi(+1) + zd(+1) - zd); pi = beta*pi(+1) + +(((1-xiP)*(1-beta*xiP))/(xiP))*(mc+zm); y = a + n; mc = rw + n - y; rw = sigma*y + omega*n - zd; i = rho_i*i(-1) + (1-rho_i)*(delta_pi*pi+delta_y*y) + e_i; a = rho_a*a(-1) + e_a; zd = rho_zd*zd(-1) + e_d; zm = rho_zm*zm(-1) + e_m; // MEASUREMENT ERRORS y_obs = y; pi_obs = pi + e_pi; i_obs = i; end; estimated_params; // *** SHOCKS STANDARD DEVIATIONS *** // stderr e_d, inv_gamma_pdf, 0.01, 2; stderr e_i, inv_gamma_pdf, 0.01, 2; stderr e_m, inv_gamma_pdf, 0.01, 2; stderr e_a, inv_gamma_pdf, 0.01, 2; stderr e_pi, inv_gamma_pdf, 0.01, 2; // *** SHOCKS AR(1) COEFFICIENTS *** // rho_zd, 0.5, 0.001, 0.999, beta_pdf, 0.5, 0.2; rho_zm, 0.5, 0.001, 0.999, beta_pdf, 0.5, 0.2; rho_a, 0.5, 0.001, 0.999, beta_pdf, 0.5, 0.2; // *** DEEP PARAMETERS *** // sigma, 0.157, gamma_pdf, 0.157, 0.1; omega, 2, gamma_pdf, 2, 1; xiP, 0.75, 0.001, 0.999, beta_pdf, 0.75, 0.15; // *** TAYLOR RULE COEEFFICIENTS *** // delta_pi, normal_pdf, 1.5, 0.2; delta_y, 0.2, normal_pdf, 0.2, 0.1; end; varobs y_obs i_obs pi_obs; dynare_sensitivity(ksstat=0.5);