Hello everyone!
I am trying to replicate the steady state risk premium and capital/net worth ratio in BGG(1999). In particular, I am writing a Matlab m-file to compute the steady state.
I would like to program equations (A.1) and (A.2) in the appendix to obtain the BGG steady state values for the risk premium (200bp), the business failure rate (F=0.03 annualized) and the capital/net worth ratio (K/N = 2).
I programmed equations (A.1) and (A.2) as explained in the text, and used the BGG calibration: sigma = 0.28, mu = 0.12, gamma = 0.9728. The problem is that I do not get the steady state risk premium (s) obtained by BGG.
My code is in attachment: can anyone spot the mistake in it?
Thank you very much for your help!
mary
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steady state BGG financial accelerator
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steady state BGG financial accelerator
by mary » Thu Feb 23, 2012 2:34 pm
- Attachments
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threshold.m- this is the file containing the function that computes the threshold productivity level. You need to place it in the same directory as the "BGG financial accelerator" file or you won't be able to call the function! :)
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- BGG financial accelerator.m
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- mary
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Re: steady state BGG financial accelerator
by mtuwei » Mon Mar 19, 2012 2:48 am
the attached file is what I modified according to your file, however, I also don't get the results. I hope it help for you.
- Attachments
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- caliberation.m
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- mtuwei
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Re: steady state BGG financial accelerator
by viv » Wed Feb 20, 2013 12:16 am
The paper says that the variance is 0.28, not the standard deviation. You need to take the square root of 0.28 to get sigma.
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