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ttr.mod
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ttr.mod
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var y, pi, i, rr, rn, u;
varexo e, eps;
parameters beta, sigma, kappa, elb, r, rho, phi_pi, phi_y;
% Program execution parameters
% MODEL PARAMETERS
beta = 1/1.005; % quarterly time discount factor
sigma = 2; % relative risk aversion
kappa = 0.024; % slope of the Phillips curve
elb = 0/4; % effective lower bound
phi_pi = 1.5; % reaction to inflation
phi_y = 0.5; % reaction to output gap
% EXOGENOUS SHOCK PROCESS: NATURAL REAL RATE
r = 100*(1/beta-1); % steady-state (quarterly x 100)
rho = 0.95; % persistence
model;
y = y(+1) - 1/sigma*(rr - rn);
pi = beta*pi(+1) + kappa*y;
i = max(elb, r + phi_pi*pi + phi_y*y + u);
rr = i - pi(+1);
rn = r + rho*(rn(-1)-r) + e;
u = rho*u(-1) + eps;
end;
initval;
rr = r;
rn = r;
i = r;
end;
steady; check;
initval;
rn = (-2/4-r)/rho + r;
%rn = r;
end;
endval;
rn = r;
end;
%shocks;
%var e;
%periods 1:1 2:10 11:200 ;
%values 0 -0.06 0;
%end;
simul(periods=200, maxit=500, stack_solve_algo=0);
do_irf;