% Dynare code for chapter 4 in the Thesis % Revised version % made by Hui-Lan Chang (University of York) % LINEAR form % Without an endogenous discount factor % With Debt-Elastic Interest Rate as the Risk Premium % Fisher chain-weighted method on quantities and deflators % DEBT(Db), trade balance (tb), current account (ca) in level form %% With Capital Adjustment Cost, having additional Qk and kappaI % variables var pmc pmk px pm pn pnf pmkf pxf pmcf Dollar % PRICE Qb Qbf rbf Db % Db is Level Form p c cn cm l MU beta w rn yn in kn lnn yx lx kx h he varphistar varphiave zave xi kxave lxave yxave GDP Consumption Investment Export Import %current price tb CA CAGDP TFP pxyxshare k real_GDP real_Consumption real_Investment %chain-weighted quantity real_Export real_Import deflator_GDP deflator_Consumption %chain-weighted price deflator_Investment deflator_Export deflator_Import raw_rGDP raw_rConsumption raw_rInvestment % 9 Observations raw_rExport raw_rImport raw_CAGDP raw_px raw_pm raw_dollar lambda % Quaterly death rate phi Ome epsilon Qk % after adding the capital adjustment cost zave_ss xi_ss varphistar_ss varphiave_ss w_ss delta rn_ss p_ss cnln cnh cmh lntoh lxtoh ltoh h_ss ln_ss kn_ss yn_ss in_ss lx_ss kx_ss yx_ss he_ss cn_ss cm_ss c_ss kappa pm_ss GDP_ss Consumption_ss Investment_ss Export_ss Import_ss Ome_varphistar_px Ome_varphistar_pn Ome_zave_4 Ome_zave_px Ome_zave_pn Ome_p_pn Ome_p_pmc Ome_MU_c Ome_MU_l Ome_MUh_pn Ome_MUh_xizave Ome_bd_pc Ome_bd_pnin Ome_bd_pnhe %//Ome_MUkn_pn Ome_MUkn_rn Ome_bd_wl Ome_bd_rnkn Ome_bd_xizaveh Ome_yn_he Ome_yn_xih Ome_yn_in Ome_yn_cn Ome_pm_pmk Ome_pm_pmc Ome_GDP_con Ome_GDP_inv Ome_GDP_ex Ome_GDP_im Ome_Con_pncn Ome_Con_pmccm Ome_Inv_pnin Ome_Inv_pnhe Ome_Ex_pxyx Ome_Ex_pxxih Ome_Im_pmkkx Ome_Im_pmccm Ome_dgdp_pncn Ome_dgdp_pmccm1 Ome_dgdp_pnin Ome_dgdp_pnhe Ome_dgdp_pxyx Ome_dgdp_pxxih Ome_dgdp_pmkkx Ome_dgdp_pmccm2 Ome_dcon_pncn Ome_dcon_pmccm Ome_dim_pmkkx Ome_dim_pmccm ; varexo epmcf epmkf epxf edollar % Attain those with OLS ebeta me_rGDP me_rConsumption me_rInvestment me_rExport me_rImport me_CAGDP me_px me_pm me_dollar; parameters lh l_ss rbf_ss r_ss b_ss Qbf_ss psiD beta_ss pmcf_ss pmkf_ss pxf_ss Qb_ss Dollar_ss pn_ss pmc_ss pmk_ss px_ss sigma am rho alphan An etae eta etay alpha nu varphi0 epsilonHAT lambda_year kappaI_positive kappaI %after adding the capital adjustment cost thetapmcf thetapmkf thetapxf thetadollar thetabeta OLS_thetapmcf OLS_thetapmkf OLS_thetapxf OLS_thetadollar OLS_epmcf OLS_epmkf OLS_epxf OLS_edollar ; // fixed parameters % Labor employed, calibrated at 0.3 lh = 0.3; l_ss = lh; % Interest rate of foregin bonds,world quaterly interest rate rbf_ss = 0.068/4; r_ss = rbf_ss; b_ss = 0; Qbf_ss = 1/(1+rbf_ss); psiD = 4; %for risk premium beta_ss = 1/(1+r_ss); % Price pmcf_ss = 1; % imported consumption goods pxf_ss = 1; % exported goods Dollar_ss = 1; Qb_ss = Qbf_ss * Dollar_ss; pmc_ss = pmcf_ss * Dollar_ss; px_ss = pxf_ss * Dollar_ss; // estimated parameters initialisation % Possible Price estimation pmkf_ss = 0.81; % imported intermediate goods pmk_ss = pmkf_ss * Dollar_ss; pn_ss = 1; %For consumer sigma = 2; % risk aversion am = 0.5; % share of imported goods in consumption rho = 0.74; % consumption index %For non-tradable firms alphan = 0.65; % labor share of non-tradable goods production An = 1; % Exogenous productivity of non-tradable firms %delta = 0.05; %For tradable firms etae = 0.0412; % entry cost, 0.0412 eta = 0.9065; % opearting cost 0.9065 etay = 0; % transportation cost, 0 alpha = 0.64; % labor share nu = 0.21; % imported capital share varphi0 = 1; % distribution parameter for productivity %epsilon = 7.2655; % distribution parameter for productivity epsilonHAT = 0.598833; % Always positive 7.2655 - (1/(1-alpha-nu)) %lambda = 0.0179/4; % death rate in quater lambda_year = 0.0179; % death rate in an year //Capital Adjustment Cost kappaI_positive = 4; kappaI = -kappaI_positive; %control the dynamics of the capital accumulation // OLS estimates For shocks %theta OLS_thetapmcf = AR1hp_c_theta_pmcf(thetapmcf); OLS_thetapmkf = AR1hp_c_theta_pmkf(thetapmkf); OLS_thetapxf = AR1hp_c_theta_pxf(thetapxf); OLS_thetadollar = AR1hp_c_theta_dollar(thetadollar); thetapmcf = OLS_thetapmcf; thetapmkf = OLS_thetapmkf; thetapxf = OLS_thetapxf; thetadollar = OLS_thetadollar; thetabeta = 0.5; %ADD shock %e OLS_epmcf = AR1hp_c_e_pmcf(epmcf); OLS_epmkf = AR1hp_c_e_pmkf(epmkf); OLS_epxf = AR1hp_c_e_pxf(epxf); OLS_edollar = AR1hp_c_e_dollar(edollar); model; lambda = lambda_year/4; // steady-state parameters phi = 1 / (1-alpha-nu); Ome = ((alpha^(alpha*phi))*(nu^(nu*phi))) - ((alpha^((1-nu)*phi))*(nu^(nu*phi))) - ((alpha^(alpha*phi))*(nu^((1-alpha)*phi))); epsilon = epsilonHAT + phi; // derived from steady state and delta & kappa zave_ss = (phi/(epsilon-phi))*((px_ss*etay)+(pn_ss*eta)); xi_ss = ((pn_ss*etae/beta_ss)-(pn_ss*(1-lambda)*etae))/zave_ss; varphistar_ss = varphi0*(xi_ss^(-1/epsilon)); varphiave_ss = varphistar_ss*((epsilon/(epsilon-phi))^(1/phi)); w_ss = (px_ss*varphistar_ss*((Ome/((px_ss*etay)+(pn_ss*eta)))^(1/phi))/(pmk_ss^nu))^(1/alpha); delta = ((((px_ss/(pmk_ss^nu))*varphi0*(Ome^(1/phi))* (((pn_ss*etae/beta_ss)-(pn_ss*(1-lambda)*etae))^(-1/epsilon))* (((px_ss*etay)+(pn_ss*eta))^((phi-epsilon)/(phi*epsilon)))/ (pn_ss*alphan*(An^(1/alphan))))^(alphan/(alpha*(alphan-1))))*(1-alphan)) - r_ss; rn_ss = (r_ss+delta)*pn_ss; cnln = (An*(((1-alphan)*w_ss/(alphan*rn_ss))^(1-alphan))) -(delta*(1-alphan)*w_ss/(alphan*rn_ss)); cnh = (etae*lambda) + (xi_ss*eta); cmh = ((w_ss*(((px_ss*varphiave_ss)^phi)*((alpha/w_ss)^((1-nu)*phi))* ((nu/pmk_ss)^(nu*phi))))+zave_ss+eta)*xi_ss/pmc_ss; lntoh = (cnh+(((1-am)/am)*((pn_ss/pmc_ss)^(-rho))*cmh))/cnln; lxtoh = xi_ss*(((px_ss*varphiave_ss)^phi)* ((alpha/w_ss)^((1-nu)*phi))*((nu/pmk_ss)^(nu*phi))); ltoh = lntoh+lxtoh; h_ss = l_ss/ltoh; ln_ss = lntoh*h_ss; kn_ss = ln_ss*(1-alphan)*w_ss/(alphan*rn_ss); yn_ss = An*(ln_ss^alphan)*(kn_ss^(1-alphan)); in_ss = delta*kn_ss; lx_ss = lxtoh*h_ss; kx_ss = lx_ss*w_ss*nu/(alpha*pmk_ss); yx_ss = ((w_ss*lx_ss) + (pmk_ss*kx_ss) + (zave_ss*xi_ss*h_ss) + (pn_ss*eta*xi_ss*h_ss) + (px_ss*etay*xi_ss*h_ss))/px_ss; he_ss = lambda*h_ss; cn_ss = yn_ss-in_ss-(etae*he_ss)-(eta*xi_ss*h_ss); cm_ss = ((px_ss*yx_ss)-(px_ss*etay*xi_ss*h_ss)-(pmk_ss*kx_ss))/pmc_ss; c_ss = ((((1-am)^(1/rho))*(cn_ss^((rho-1)/rho)))+ ((am^(1/rho))*(cm_ss^((rho-1)/rho))))^(rho/(rho-1)); p_ss = (((1-am)*(pn_ss^(1-rho)))+(am*(pmc_ss^(1-rho))))^(1/(1-rho)); kappa = 1/((w_ss*(1-l_ss)/(p_ss*c_ss))+1); pm_ss = ((pmk_ss*kx_ss) + (pmc_ss*cm_ss))/(kx_ss+cm_ss); Consumption_ss = p_ss*c_ss; Investment_ss = (pn_ss*in_ss)+(pn_ss*etae*he_ss); Export_ss = (px_ss*yx_ss)-(px_ss*etay*xi_ss*h_ss); Import_ss = (pmk_ss*kx_ss) + (pmc_ss*cm_ss); GDP_ss = Consumption_ss + Investment_ss + Export_ss - Import_ss; // Parameters in the MODEL Ome_varphistar_px = ((etay*px_ss)/((phi*etay*px_ss)+(phi*eta*pn_ss)))-1; %5 Ome_varphistar_pn = eta*pn_ss/((phi*etay*px_ss)+(phi*eta*pn_ss)); %5 Ome_zave_4 = phi*(zave_ss+(etay*px_ss)+(eta*pn_ss))/zave_ss; %7 Ome_zave_px = -etay*px_ss/zave_ss; %7 Ome_zave_pn = -eta*pn_ss/zave_ss; %7 Ome_p_pn = (1-am)*((pn_ss/p_ss)^(1-rho)); %16 Ome_p_pmc = am*((pmc_ss/p_ss)^(1-rho)); %16 Ome_MU_c = ((1-sigma)*kappa)-1 ; %20 Ome_MU_l = (1-kappa)*(1-sigma)*(-l_ss/(1-l_ss)); %20 Ome_MUh_pn = pn_ss*etae*(1-lambda)/((pn_ss*etae*(1-lambda))+(zave_ss*xi_ss)); %21 Ome_MUh_xizave = xi_ss*zave_ss/((pn_ss*etae*(1-lambda))+(zave_ss*xi_ss)); %21 % Disappeared, after adding the capital adjustment cost //Ome_MUkn_pn = pn_ss*(1-delta)/((pn_ss*(1-delta))+rn_ss); %22 //Ome_MUkn_rn = rn_ss/((pn_ss*(1-delta))+rn_ss); %22 Ome_bd_pc = p_ss*c_ss; %24 Ome_bd_pnin = pn_ss*in_ss; %24 Ome_bd_pnhe = pn_ss*etae*he_ss; %24 Ome_bd_wl = w_ss*l_ss; %24 Ome_bd_rnkn = rn_ss*kn_ss; %24 Ome_bd_xizaveh = zave_ss*xi_ss*h_ss; %24 Ome_yn_he = etae*he_ss/yn_ss; %26 Ome_yn_xih = eta*xi_ss*h_ss/yn_ss; %26 Ome_yn_in = in_ss/yn_ss; %26 Ome_yn_cn = cn_ss/yn_ss; %26 Ome_pm_pmk = pmk_ss*kx_ss/((pmk_ss*kx_ss)+(pmc_ss*cm_ss)); %30 Ome_pm_pmc = pmc_ss*cm_ss/((pmk_ss*kx_ss)+(pmc_ss*cm_ss)); %30 Ome_GDP_con = Consumption_ss/GDP_ss; %35 Ome_GDP_inv = Investment_ss/GDP_ss; %35 Ome_GDP_ex = Export_ss/GDP_ss; %35 Ome_GDP_im = -Import_ss/GDP_ss; %35 Ome_Con_pncn = pn_ss*cn_ss/Consumption_ss; %36 Ome_Con_pmccm = pmc_ss*cm_ss/Consumption_ss; %36 Ome_Inv_pnin = pn_ss*in_ss/Investment_ss; %37 Ome_Inv_pnhe = pn_ss*etae*he_ss/Investment_ss; %37 Ome_Ex_pxyx = px_ss*yx_ss/Export_ss; %38 Ome_Ex_pxxih = px_ss*etay*xi_ss*h_ss/Export_ss; %38 Ome_Im_pmkkx = pmk_ss*kx_ss/Import_ss; %39 Ome_Im_pmccm = pmc_ss*cm_ss/Import_ss; %39 Ome_dgdp_pncn = pn_ss*cn_ss/GDP_ss; %44 Ome_dgdp_pmccm1 = pmc_ss*cm_ss/GDP_ss; %44 Ome_dgdp_pnin = pn_ss*in_ss/GDP_ss; %44 Ome_dgdp_pnhe = pn_ss*etae*he_ss/GDP_ss; %44 Ome_dgdp_pxyx = px_ss*yx_ss/GDP_ss; %44 Ome_dgdp_pxxih = -px_ss*etay*xi_ss*h_ss/GDP_ss; %44 Ome_dgdp_pmkkx = -pmk_ss*kx_ss/GDP_ss; %44 Ome_dgdp_pmccm2 = -pmc_ss*cm_ss/GDP_ss; %44 Ome_dcon_pncn = pn_ss*cn_ss/((pn_ss*cn_ss)+(pmc_ss*cm_ss)); %45 Ome_dcon_pmccm = pmc_ss*cm_ss/((pn_ss*cn_ss)+(pmc_ss*cm_ss)); %45 Ome_dim_pmkkx = pmk_ss*kx_ss/((pmk_ss*kx_ss)+(pmc_ss*cm_ss)); %48 Ome_dim_pmccm = pmc_ss*cm_ss/((pmk_ss*kx_ss)+(pmc_ss*cm_ss)); %48 // (log-linearized) structural model % Non-traded sector yn = (alphan*lnn) + ((1-alphan)*kn(-1)); % 1 w = pn + ((alphan-1)*lnn) + ((1-alphan)*kn(-1)); % 2 rn = pn + (alphan*lnn) - (alphan*kn(-1)); % 3 kn = ((1-delta)*(kn(-1))) + (delta*in); % 4 % Traded sector varphistar = (alpha*w) + (nu*pmk) + (Ome_varphistar_px*px) + (Ome_varphistar_pn*pn); % 5 varphiave = varphistar; % 6 zave = (Ome_zave_4*(px+varphiave-(alpha*w)-(nu*pmk)))+(Ome_zave_px*px)+(Ome_zave_pn*pn); % 7 xi = -epsilon*varphistar; % 8 lxave = (phi*px) + (phi*varphiave) - ((1-nu)*phi*w) - (nu*phi*pmk); % 9 kxave = (phi*px) + (phi*varphiave) - (alpha*phi*w) - ((1-alpha)*phi*pmk); % 10 yxave = ((alpha+nu)*phi*px) + (phi*varphiave) - (alpha*phi*w) - (nu*phi*pmk); % 11 lx = xi + h(-1) + lxave; % 12 kx = xi + h(-1) + kxave; % 13 yx = xi + h(-1) + yxave; % 14 h = ((1-lambda)*(h(-1))) + (lambda*he); % 15 % Consumer p = (Ome_p_pn * pn) + (Ome_p_pmc * pmc); % 16 cn = (-rho*(pn-p)) + c; % 17 cm = (-rho*(pmc-p)) + c; % 18 w - ((l_ss/(1-l_ss))*l) = p + c; % 19 MU = (Ome_MU_c*c) + (Ome_MU_l*l); %20 pn + MU - p = beta + (MU(+1)) - (p(+1)) + (Ome_MUh_pn*(pn(+1))) + (Ome_MUh_xizave*((xi(+1))+(zave(+1)))); % 21 % With Adjustment Cost //pn + MU - p = beta + (MU(+1)) - (p(+1)) + (Ome_MUkn_pn*pn(+1)) + // (Ome_MUkn_rn*rn(+1)); % 22_without capital adjustment cost pn = Qk - (kappaI*delta*in) + (kappaI*delta*kn(-1)); % 22-1 Qk + MU - p = beta + (MU(+1)) - (p(+1)) + (beta*(1-delta)*(Qk(+1))) + (beta*(delta^2)*kappaI*(in(+1))) - (beta*(delta^2)*kappaI*kn) + (beta*rn_ss*rn(+1)); % 22-2 Qb + MU - p = beta + (MU(+1)) - (p(+1)); %23 %24 Budget constraint 0 = (Ome_bd_pc*(p+c))+(Ome_bd_pnin*(pn+in))+(Ome_bd_pnhe*(pn+he))+ (Db(-1)) - ((Ome_bd_wl*(w+l))+(Ome_bd_rnkn*(rn+kn(-1)))+(Ome_bd_xizaveh*(xi+zave+h(-1)))+(Qb_ss*Db)); % Market Clear condition l = ((ln_ss/l_ss)*lnn) + ((lx_ss/l_ss)*lx); % 25 yn = (he*Ome_yn_he) + ((xi+h(-1))*Ome_yn_xih) + (in*Ome_yn_in) + (cn*Ome_yn_cn); % 26 // PRICE pn = pnf + Dollar; %27 pmc = pmcf + Dollar; %28 pmk = pmkf + Dollar; %29 pm = (Ome_pm_pmk*pmk) + (Ome_pm_pmc*pmc); %30 px = pxf + Dollar; %31 // Risk premium Qb = Qbf + Dollar; %32 ((1+rbf_ss)*Qbf) + (rbf_ss*rbf) = 0; %33 rbf_ss*rbf = psiD*Db; %34 // Others GDP = Ome_GDP_con*Consumption + Ome_GDP_inv*Investment + Ome_GDP_ex*Export + Ome_GDP_im*Import; %35 Consumption = Ome_Con_pncn*(pn+cn) + Ome_Con_pmccm*(pmc+cm); %36 Investment = Ome_Inv_pnin*(pn+in) + Ome_Inv_pnhe*(pn+he); %37 Export = Ome_Ex_pxyx*(px+yx) + Ome_Ex_pxxih*(px+xi+(h(-1))); %38 Import = Ome_Im_pmkkx*(pmk+kx) + Ome_Im_pmccm*(pmc+cm); %39 tb = (px_ss*yx_ss*(px+yx)) - (px_ss*etay*xi_ss*h_ss*(px+xi+(h(-1)))) - (pmk_ss*kx_ss*(pmk+kx)) - (pmc_ss*cm_ss*(pmc+cm)); %40, tb in level form CA = tb - ((1-Qb_ss)*Db(-1)); %41, ca in level form CAGDP = CA/GDP_ss; %42 cagdp is current account, as in percent of GDP TFP = (px_ss*yx_ss/GDP_ss)*varphiave; %43 pxyxshare = px + yx - GDP; k = kn + h; //Fisher Price Deflator 2 * deflator_GDP = GDP - GDP(-4) + Ome_dgdp_pncn*(pn-pn(-4)-cn+cn(-4)) + Ome_dgdp_pmccm1*(pmc-pmc(-4)-cm+cm(-4)) + Ome_dgdp_pnin*(pn-pn(-4)-in+in(-4)) + Ome_dgdp_pnhe*(pn-pn(-4)-he+he(-4)) + Ome_dgdp_pxyx*(px-px(-4)-yx+yx(-4)) + Ome_dgdp_pxxih*(px-px(-4)-xi-h(-1)+xi(-4)+h(-5)) + Ome_dgdp_pmkkx*(pmk-pmk(-4)-kx+kx(-4)) + Ome_dgdp_pmccm2*(pmc-pmc(-4)-cm+cm(-4)) ; %44 2 * deflator_Consumption = Consumption - Consumption(-4) + Ome_dcon_pncn*(pn-pn(-4)-cn+cn(-4)) + Ome_dcon_pmccm*(pmc-pmc(-4)-cm+cm(-4)); %45 deflator_Investment = pn - pn(-4); %46 deflator_Export = px - px(-4); %47 deflator_Import = Import - Import(-4) + Ome_dim_pmkkx*(pmk-pmk(-4)-kx+kx(-4)) + Ome_dim_pmccm*(pmc-pmc(-4)-cm+cm(-4)); %48 //Chain-weighted Fisher qunatities real_GDP = GDP - deflator_GDP; %49 real_Consumption = Consumption - deflator_Consumption; %50 real_Investment = Investment - deflator_Investment; %51 real_Export = Export - deflator_Export; %52 real_Import = Import - deflator_Import; %53 // Shock pxf = thetapxf*pxf(-1) + epxf; pmkf = thetapmkf*pmkf(-1) + epmkf; pmcf = thetapmcf*pmcf(-1) + epmcf; Dollar = thetadollar*Dollar(-1) + edollar; beta = thetabeta*beta(-1) + ebeta; // measurement equations 9 observations: GDP,C,I,X,M,CA,Px,Pm, Dollar raw_rGDP = real_GDP + me_rGDP; raw_rConsumption = real_Consumption + me_rConsumption; raw_rInvestment = real_Investment + me_rInvestment; raw_rExport = real_Export + me_rExport; raw_rImport = real_Import + me_rImport; raw_CAGDP = CAGDP + me_CAGDP; raw_px = px + me_px; raw_pm = pm + me_pm; raw_dollar = Dollar + me_dollar; end; initval; pmc =0; pmk =0; px =0; pm =0; pn=0; pnf =0; pmkf =0; pxf =0; pmcf =0; Dollar =0; Qb =0; Qbf =0; rbf =0; Db =0; p =0; c =0; cn =0; cm =0; yn =0; yx =0; in =0; kn =0; l =0; lnn =0; lx =0; kx =0; h =0; he =0; beta =0; MU =0; w =0; rn =0; varphistar =0; varphiave =0; zave =0; xi =0; kxave =0; lxave =0; yxave =0; GDP =0; Consumption =0; Investment =0; Export =0; Import =0; tb =0; CA =0; CAGDP =0; TFP = 0; pxyxshare = 0; k = 0; real_GDP =0; real_Consumption =0; real_Investment =0; real_Export =0; real_Import =0; deflator_GDP =0; deflator_Consumption =0; deflator_Investment =0; deflator_Export =0; deflator_Import =0; raw_rGDP =0; raw_rConsumption =0; raw_rInvestment =0; raw_rExport =0; raw_rImport =0; raw_CAGDP =0; raw_px =0; raw_pm =0; raw_dollar = 0; Qk = 0; %after adding the capital adjustment cost // Initial values at the steady state lambda = lambda_year/4; phi = 1 / (1-alpha-nu); Ome = ((alpha^(alpha*phi))*(nu^(nu*phi))) - ((alpha^((1-nu)*phi))*(nu^(nu*phi))) - ((alpha^(alpha*phi))*(nu^((1-alpha)*phi))); epsilon = epsilonHAT + phi; // derived from steady state and delta & kappa zave_ss = (phi/(epsilon-phi))*((px_ss*etay)+(pn_ss*eta)); xi_ss = ((pn_ss*etae/beta_ss)-(pn_ss*(1-lambda)*etae))/zave_ss; varphistar_ss = varphi0*(xi_ss^(-1/epsilon)); varphiave_ss = varphistar_ss*((epsilon/(epsilon-phi))^(1/phi)); w_ss = (px_ss*varphistar_ss*((Ome/((px_ss*etay)+(pn_ss*eta)))^(1/phi))/(pmk_ss^nu))^(1/alpha); delta = ((((px_ss/(pmk_ss^nu))*varphi0*(Ome^(1/phi))* (((pn_ss*etae/beta_ss)-(pn_ss*(1-lambda)*etae))^(-1/epsilon))* (((px_ss*etay)+(pn_ss*eta))^((phi-epsilon)/(phi*epsilon)))/ (pn_ss*alphan*(An^(1/alphan))))^(alphan/(alpha*(alphan-1))))*(1-alphan)) - r_ss; rn_ss = (r_ss+delta)*pn_ss; cnln = (An*(((1-alphan)*w_ss/(alphan*rn_ss))^(1-alphan))) -(delta*(1-alphan)*w_ss/(alphan*rn_ss)); cnh = (etae*lambda) + (xi_ss*eta); cmh = ((w_ss*(((px_ss*varphiave_ss)^phi)*((alpha/w_ss)^((1-nu)*phi))* ((nu/pmk_ss)^(nu*phi))))+zave_ss+eta)*xi_ss/pmc_ss; lntoh = (cnh+(((1-am)/am)*((pn_ss/pmc_ss)^(-rho))*cmh))/cnln; lxtoh = xi_ss*(((px_ss*varphiave_ss)^phi)* ((alpha/w_ss)^((1-nu)*phi))*((nu/pmk_ss)^(nu*phi))); ltoh = lntoh+lxtoh; h_ss = l_ss/ltoh; ln_ss = lntoh*h_ss; kn_ss = ln_ss*(1-alphan)*w_ss/(alphan*rn_ss); yn_ss = An*(ln_ss^alphan)*(kn_ss^(1-alphan)); in_ss = delta*kn_ss; lx_ss = lxtoh*h_ss; kx_ss = lx_ss*w_ss*nu/(alpha*pmk_ss); yx_ss = ((w_ss*lx_ss) + (pmk_ss*kx_ss) + (zave_ss*xi_ss*h_ss) + (pn_ss*eta*xi_ss*h_ss) + (px_ss*etay*xi_ss*h_ss))/px_ss; he_ss = lambda*h_ss; cn_ss = yn_ss-in_ss-(etae*he_ss)-(eta*xi_ss*h_ss); cm_ss = ((px_ss*yx_ss)-(px_ss*etay*xi_ss*h_ss)-(pmk_ss*kx_ss))/pmc_ss; c_ss = ((((1-am)^(1/rho))*(cn_ss^((rho-1)/rho)))+ ((am^(1/rho))*(cm_ss^((rho-1)/rho))))^(rho/(rho-1)); p_ss = (((1-am)*(pn_ss^(1-rho)))+(am*(pmc_ss^(1-rho))))^(1/(1-rho)); kappa = 1/((w_ss*(1-l_ss)/(p_ss*c_ss))+1); pm_ss = ((pmk_ss*kx_ss) + (pmc_ss*cm_ss))/(kx_ss+cm_ss); Consumption_ss = p_ss*c_ss; Investment_ss = (pn_ss*in_ss)+(pn_ss*etae*he_ss); Export_ss = (px_ss*yx_ss)-(px_ss*etay*xi_ss*h_ss); Import_ss = (pmk_ss*kx_ss) + (pmc_ss*cm_ss); GDP_ss = Consumption_ss + Investment_ss + Export_ss - Import_ss; // Parameters in the MODEL Ome_varphistar_px = ((etay*px_ss)/((phi*etay*px_ss)+(phi*eta*pn_ss)))-1; %5 Ome_varphistar_pn = eta*pn_ss/((phi*etay*px_ss)+(phi*eta*pn_ss)); %5 Ome_zave_4 = phi*(zave_ss+(etay*px_ss)+(eta*pn_ss))/zave_ss; %7 Ome_zave_px = -etay*px_ss/zave_ss; %7 Ome_zave_pn = -eta*pn_ss/zave_ss; %7 Ome_p_pn = (1-am)*((pn_ss/p_ss)^(1-rho)); %16 Ome_p_pmc = am*((pmc_ss/p_ss)^(1-rho)); %16 Ome_MU_c = ((1-sigma)*kappa)-1 ; %20 Ome_MU_l = (1-kappa)*(1-sigma)*(-l_ss/(1-l_ss)); %20 Ome_MUh_pn = pn_ss*etae*(1-lambda)/((pn_ss*etae*(1-lambda))+(zave_ss*xi_ss)); %21 Ome_MUh_xizave = xi_ss*zave_ss/((pn_ss*etae*(1-lambda))+(zave_ss*xi_ss)); %21 % Disappeared, after adding the capital adjustment cost //Ome_MUkn_pn = pn_ss*(1-delta)/((pn_ss*(1-delta))+rn_ss); %22 //Ome_MUkn_rn = rn_ss/((pn_ss*(1-delta))+rn_ss); %22 Ome_bd_pc = p_ss*c_ss; %24 Ome_bd_pnin = pn_ss*in_ss; %24 Ome_bd_pnhe = pn_ss*etae*he_ss; %24 Ome_bd_wl = w_ss*l_ss; %24 Ome_bd_rnkn = rn_ss*kn_ss; %24 Ome_bd_xizaveh = zave_ss*xi_ss*h_ss; %24 Ome_yn_he = etae*he_ss/yn_ss; %26 Ome_yn_xih = eta*xi_ss*h_ss/yn_ss; %26 Ome_yn_in = in_ss/yn_ss; %26 Ome_yn_cn = cn_ss/yn_ss; %26 Ome_pm_pmk = pmk_ss*kx_ss/((pmk_ss*kx_ss)+(pmc_ss*cm_ss)); %30 Ome_pm_pmc = pmc_ss*cm_ss/((pmk_ss*kx_ss)+(pmc_ss*cm_ss)); %30 Ome_GDP_con = Consumption_ss/GDP_ss; %35 Ome_GDP_inv = Investment_ss/GDP_ss; %35 Ome_GDP_ex = Export_ss/GDP_ss; %35 Ome_GDP_im = -Import_ss/GDP_ss; %35 Ome_Con_pncn = pn_ss*cn_ss/Consumption_ss; %36 Ome_Con_pmccm = pmc_ss*cm_ss/Consumption_ss; %36 Ome_Inv_pnin = pn_ss*in_ss/Investment_ss; %37 Ome_Inv_pnhe = pn_ss*etae*he_ss/Investment_ss; %37 Ome_Ex_pxyx = px_ss*yx_ss/Export_ss; %38 Ome_Ex_pxxih = px_ss*etay*xi_ss*h_ss/Export_ss; %38 Ome_Im_pmkkx = pmk_ss*kx_ss/Import_ss; %39 Ome_Im_pmccm = pmc_ss*cm_ss/Import_ss; %39 Ome_dgdp_pncn = pn_ss*cn_ss/GDP_ss; %44 Ome_dgdp_pmccm1 = pmc_ss*cm_ss/GDP_ss; %44 Ome_dgdp_pnin = pn_ss*in_ss/GDP_ss; %44 Ome_dgdp_pnhe = pn_ss*etae*he_ss/GDP_ss; %44 Ome_dgdp_pxyx = px_ss*yx_ss/GDP_ss; %44 Ome_dgdp_pxxih = -px_ss*etay*xi_ss*h_ss/GDP_ss; %44 Ome_dgdp_pmkkx = -pmk_ss*kx_ss/GDP_ss; %44 Ome_dgdp_pmccm2 = -pmc_ss*cm_ss/GDP_ss; %44 Ome_dcon_pncn = pn_ss*cn_ss/((pn_ss*cn_ss)+(pmc_ss*cm_ss)); %45 Ome_dcon_pmccm = pmc_ss*cm_ss/((pn_ss*cn_ss)+(pmc_ss*cm_ss)); %45 Ome_dim_pmkkx = pmk_ss*kx_ss/((pmk_ss*kx_ss)+(pmc_ss*cm_ss)); %48 Ome_dim_pmccm = pmc_ss*cm_ss/((pmk_ss*kx_ss)+(pmc_ss*cm_ss)); %48 // Initial epmcf = 0; epmkf = 0; epxf = 0; edollar = 0; ebeta = 0; me_rGDP = 0; me_rConsumption = 0; me_rInvestment = 0; me_rExport = 0; me_rImport = 0; me_CAGDP = 0; me_px = 0; me_pm = 0; me_dollar = 0; end; estimated_params; %% OLS estimates thetapmcf, beta_pdf, OLS_thetapmcf, 0.0001; thetapmkf, beta_pdf, OLS_thetapmkf, 0.0001; thetapxf, beta_pdf, OLS_thetapxf, 0.0001; thetadollar, beta_pdf, OLS_thetadollar, 0.0001; stderr epmcf, inv_gamma_pdf, OLS_epmcf, 0.0001; stderr epmkf, inv_gamma_pdf, OLS_epmkf, 0.0001; stderr epxf, inv_gamma_pdf, OLS_epxf, 0.0001; stderr edollar, inv_gamma_pdf, OLS_edollar, 0.0001; %% Estimating the preference shocks: try02 theta 0.5&0.49 and e 0.5&2 thetabeta, beta_pdf, 0.123, 0.005; stderr ebeta, inv_gamma_pdf, 0.021, 0.005; %% Errors in measurement equations with try01: 0.5&2 stderr me_rGDP, normal_pdf, -0.02, 0.003; stderr me_rConsumption, normal_pdf, 0.0001, 0.0001; stderr me_rInvestment, normal_pdf, 0.0006, 0.0002; stderr me_rExport, normal_pdf, 0.0315, 0.002; stderr me_rImport, normal_pdf, 0.05, 0.003; stderr me_CAGDP, normal_pdf, 0.025, 0.002; stderr me_px, normal_pdf, 0.0437, 0.002; stderr me_pm, normal_pdf, 0.055, 0.002; stderr me_dollar, normal_pdf, 0.04, 0.002; %% Estimating other parameters with e=2; % Traded Firms etae, inv_gamma_pdf, 0.025, 0.005; eta, inv_gamma_pdf, 0.0002, 0.0001; etay, inv_gamma_pdf, 0.142, 0.01; varphi0, inv_gamma_pdf, 0.8824, 0.0784; epsilonHAT, inv_gamma_pdf, 1, 0.02; lambda_year, beta_pdf, 0.63, 0.02; % Non-traded Firms alphan, beta_pdf, 0.675, 0.01; An, inv_gamma_pdf, 1.25, 0.01; kappaI_positive, inv_gamma_pdf, 0.4006, 0.2564; % Consumer sigma, normal_pdf, 0.2, 0.025; rho, inv_gamma_pdf, 24.8, 0.5; am, beta_pdf, 0.5089, 0.02; % Traded Firms alpha, beta_pdf, 0.5059, 0.0168; nu, beta_pdf, 0.26, 0.01; % Price pn_ss, inv_gamma_pdf, 1.15, 0.05; pmkf_ss, inv_gamma_pdf, 0.1212, 0.0867; pmcf_ss, inv_gamma_pdf, 0.2729, 0.2692; pxf_ss, inv_gamma_pdf, 0.4957, 0.3890; end; varobs raw_rGDP raw_rConsumption raw_rInvestment raw_rExport raw_rImport raw_CAGDP raw_px raw_pm raw_dollar ; //estimation(datafile=dataestimation,mode_check, mode_compute=6, mh_nblocks=1, mh_replic=100, mh_jscale=0.50, mh_drop=0.4, moments_varendo, conditional_variance_decomposition=1) //raw_rGDP raw_rConsumption raw_rInvestment raw_rExport raw_rImport raw_CAGDP raw_px raw_pm raw_dollar; estimation(datafile=dataestimation,order=1,mode_compute=6,mode_check,mh_nblocks=1,mh_replic=50000,mh_jscale=0.50,mh_drop=0.4,moments_varendo, conditional_variance_decomposition=1, bayesian_irf, irf=24) raw_rGDP raw_rConsumption raw_rInvestment raw_rExport raw_rImport raw_CAGDP raw_px raw_pm raw_dollar; shock_decomposition varphiave TFP pxyxshare raw_rGDP raw_rConsumption raw_rInvestment % 9 Observations raw_rExport raw_rImport raw_CAGDP raw_px raw_pm raw_dollar ; stoch_simul(order=1,replic=1, drop=0, irf=24) real_GDP CA real_Consumption TFP varphiave pxyxshare real_Investment l k kn h; stoch_simul(order=1,replic=1, drop=0, irf=160, conditional_variance_decomposition=[1,2,3,4,8,10,12,16,20,24,40,100,160]) varphiave TFP pxyxshare raw_rGDP raw_rConsumption raw_rInvestment % 9 Observations raw_rExport raw_rImport raw_CAGDP raw_px raw_pm raw_dollar ;