Rubio, Carrasco-Gallego (2014) Basel I, II and III: A Welfar

[Daniel Bendel]

Dear Dynare-Users,

I have been trying hard to replicate the model of Rubio and Carrasco-Gallego "Basel I, II and III: A Welfare Analysis using a DSGE Model". But for the parameter given in the paper my model does not fullfills the BK conditions.

So perhaps does anyone of you have the code for this model?
Or a code for similar model. The model should include savers, which save in deposits. Theses depositis are used by a bank to extend new loans. These loans are used by borrowers, which are impatient.

Has anyone experience with these kinds of models?

PLEASE, I NEED YOUR HELP.

I attach a not working version of a dynare code of the above mentioned model. My code is exaclty equal to all equations in the paper, but it still does not run. (However, the authors can present IRFs with their papermeter values and mention that they have used dynare to solve the model. SO WHY DOES MY CODE NOT WORK???)

The authors do not give me their code for replication.

[francescosat]

I am also dealing with similar issues... I've tried without success to find the problem of your code....

In the meantime may I ask you how you want to evaluate the welfare for the different policies (basilea 1,2,3)? I saw you use in the model the welfare calculation, but how would you get the actual numbers?
After the stoch_simul command you have

Code: Select all

stoch_simul(irf=0,order=2,periods=0) WS WB WI Wsum

. Is this just because you are still testing the model or you really want zero periods and irf?

[Daniel Bendel]

Well, for the welfare analysis I only want to look at the theoretical means, so I do not need a simulation (periods = 0). Since for welfare comparison a irf investigation is not necessary, I set irf=0.

Thank you for looking into my code! You say, that you are dealing with the same problem. What model do you use?

[Daniel Bendel]

I slightly changed the timing of equation 5 and 10 (in Rubio, Carrasco-Gallego (2014) Basel I, II and III:...). Instead of Rb_t I set the interest rate on loans to Rb_t-1, as this is the same timing as by the interest rate on deposits. This lets the model run. But the IRFs are only qualitively similar to the ones of the paper mentioned above.

Do you have a clue why?

[Daniel Bendel]

Please do not use the code I have uploaded a time ago. There were mistakes in the code. I correct them and I will upload a new version, soon. This version will have capital accumulation, housing, a saver, a borrower and a bank, which has to fulfill a capital requirement ratio like suggested in Basel I, II and III. Also you will be able to investigate macroprudential rules and doing welfare analysis. I will also upload a pdf file which will explain the model and the derivation of the model equations.

I hope this will help you.

[Daniel Bendel]

I have just uploaded the mod file and a pdf file as promised. I open a new topic, as it has nothing to do with this topic anymore.

see: viewtopic.php?f=1&t=5700

[Daniel Bendel]

Okay, here is the code for the paper mentioned above. One strange thing: the model runs perfectly as long as k is below 0.9 namley 0.8992. This is strange since the authors say that the model runs with a k = 0.90. The IRF are very similar to the ones of the paper when using 0.8992 instead of 0.90. This is not surprising since the values are very similar. BUT: has anyone an idea why the model does not run with k=0.90, although the authers are saying that it should run??

Has anyone try to replicate the results of the paper? Espcially the welfare results. I have no clue how they get the welare results? Anyone an idea?

(You have to download both files, the calcss.m calculates the steady states of the model.)

[J.Höffler]

If you are interested in replication this might be of interest to you: viewtopic.php?f=2&t=5926&p=16185&hilit=replication#p16185