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calvo_tr_linear.mod
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calvo_tr_linear.mod
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var c n y r pi yhat ghat g beta;
varexo ub ug;
parameters alpha gamma chi varphi epsilon betass rhog rhob gbar phipi phig;
gamma = 2;
chi = 11;
varphi = 1;
epsilon = 7;
betass = (1/1.04)^(1/12);
rhob = 0.95;
rhog = 0.9;
alpha = 0.9;
gbar = 0.07;
phipi = 2;
phig = 0;
model;
# nu_u = gamma*STEADY_STATE(y)/STEADY_STATE(c);
# nu_v = varphi*STEADY_STATE(y)/STEADY_STATE(n);
# capgamma = nu_u/(nu_u + nu_v);
# kappa = (1-alpha)*(1-alpha*betass)/alpha*(nu_u + nu_v);
y = n;
y = c + g;
yhat-ghat = yhat(+1)-ghat(+1) - 1/nu_u*(r - pi(+1) + log(beta(+1)));
yhat = log(y/STEADY_STATE(y));
ghat = (g-STEADY_STATE(g))/STEADY_STATE(y);
pi = beta(+1)*pi(+1) + kappa*(yhat-capgamma*ghat);
r = max(-log(betass) + phipi*pi + phig*log(g/gbar),0);
g/gbar = (g(-1)/gbar)^rhog*exp(ug);
beta/betass = (beta(-1)/betass)^rhob*exp(ub);
end;
shocks;
var ug; stderr .01;
var ub; stderr .01;
end;
yss = fsolve(@(y) epsilon/(epsilon-1)*chi*y^varphi*(y-gbar)^gamma - 1,0.5);
initval;
beta = betass;
g = gbar;
r = -log(beta);
y = yss;
c = y - g;
n = y;
end;
steady;
shocks;
var ub;
periods 1:1;
values 0.005;
end;
simul(periods=200, maxit=500, stack_solve_algo=0);
figure(1)
subplot(311)
plot(1200*r);
title('r')
hold on
xlim([0 50])
subplot(312)
plot(y/yss-1);
title('y/yss');
hold on
xlim([0 50])
subplot(313)
plot(pi);
title('pi');
hold on
xlim([0 50])