Smets_Wouters_2007.mod 8.27 KB
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/*
 * This file provides replication files for 
 * Smets, Frank and Wouters, Rafael (2007): "Shocks and Frictions in US Business Cycles: A Bayesian
 * DSGE Approach", American Economic Review, 97(3), 586-606, that are compatible with Dynare 4.2.5 onwards
 *
 * To replicate the full results, you have to get back to the original replication files available at
 * https://www.aeaweb.org/articles.php?doi=10.1257/aer.97.3.586 and include the respective estimation commands and mode-files.
 *
 * Notes: Please see the header to the Smets_Wouters_2007_45.mod for more details and a fully documented version.
 *
 * This file was originally written by Frank Smets and Rafeal Wouters and has been updated by
 * Johannes Pfeifer. 
 *
 * Please note that the following copyright notice only applies to this Dynare 
 * implementation of the model
 */

/*
 * Copyright (C) 2007-2013 Frank Smets and Raf Wouters
 * Copyright (C) 2013-15 Johannes Pfeifer
 *
 * This is free software: you can redistribute it and/or modify
 * it under the terms of the GNU General Public License as published by
 * the Free Software Foundation, either version 3 of the License, or
 * (at your option) any later version.
 *
 * This file is distributed in the hope that it will be useful,
 * but WITHOUT ANY WARRANTY; without even the implied warranty of
 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
 * GNU General Public License for more details.
 *
 * You can receive a copy of the GNU General Public License
 * at <http://www.gnu.org/licenses/>.
 */

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var labobs robs pinfobs dy dc dinve dw ewma epinfma zcapf rkf kf pkf cf
    invef yf labf wf rrf mc zcap rk k pk c inve y lab pinf w r a b g qs ms
    spinf sw kpf kp;
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varexo ea eb eg eqs em epinf ew;
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parameters curvw cgy curvp constelab constepinf constebeta cmaw cmap calfa
           czcap csadjcost ctou csigma chabb ccs cinvs cfc
           cindw cprobw cindp cprobp csigl clandaw
           crdpi crpi crdy cry crr
           crhoa crhoas crhob crhog crhols crhoqs crhoms crhopinf crhow
           ctrend cg;
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// fixed parameters
ctou=.025;
clandaw=1.5;
cg=0.18;
curvp=10;
curvw=10;

// estimated parameters initialisation
calfa=.24;
cbeta=.9995;
csigma=1.5;
cfc=1.5;
cgy=0.51;

csadjcost= 6.0144;
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chabb=    0.6361;
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cprobw=   0.8087;
csigl=    1.9423;
cprobp=   0.6;
cindw=    0.3243;
cindp=    0.47;
czcap=    0.2696;
crpi=     1.488;
crr=      0.8762;
cry=      0.0593;
crdy=     0.2347;

crhoa=    0.9977;
crhob=    0.5799;
crhog=    0.9957;
crhols=   0.9928;
crhoqs=   0.7165;
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crhoas=1;
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crhoms=0;
crhopinf=0;
crhow=0;
cmap = 0;
cmaw  = 0;

constelab=0;

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model(linear);
//deal with parameter dependencies; taken from usmodel_stst.mod
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#cpie=1+constepinf/100;
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#cgamma=1+ctrend/100;
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#cbeta=1/(1+constebeta/100);

#clandap=cfc;
#cbetabar=cbeta*cgamma^(-csigma);
#cr=cpie/(cbeta*cgamma^(-csigma));
#crk=(cbeta^(-1))*(cgamma^csigma) - (1-ctou);
#cw = (calfa^calfa*(1-calfa)^(1-calfa)/(clandap*crk^calfa))^(1/(1-calfa));
#cikbar=(1-(1-ctou)/cgamma);
#cik=(1-(1-ctou)/cgamma)*cgamma;
#clk=((1-calfa)/calfa)*(crk/cw);
#cky=cfc*(clk)^(calfa-1);
#ciy=cik*cky;
#ccy=1-cg-cik*cky;
#crkky=crk*cky;
#cwhlc=(1/clandaw)*(1-calfa)/calfa*crk*cky/ccy;
#cwly=1-crk*cky;

#conster=(cr-1)*100;

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    // flexible economy
    0*(1-calfa)*a + 1*a = calfa*rkf+(1-calfa)*(wf);
    zcapf = (1/(czcap/(1-czcap)))* rkf;
    rkf = (wf)+labf-kf;
    kf = kpf(-1)+zcapf;
    invef = (1/(1+cbetabar*cgamma))* (  invef(-1) + cbetabar*cgamma*invef(1)+(1/(cgamma^2*csadjcost))*pkf ) +qs;
    pkf = -rrf-0*b+(1/((1-chabb/cgamma)/(csigma*(1+chabb/cgamma))))*b +(crk/(crk+(1-ctou)))*rkf(1) +  ((1-ctou)/(crk+(1-ctou)))*pkf(1);
    cf = (chabb/cgamma)/(1+chabb/cgamma)*cf(-1) + (1/(1+chabb/cgamma))*cf(+1) +((csigma-1)*cwhlc/(csigma*(1+chabb/cgamma)))*(labf-labf(+1)) - (1-chabb/cgamma)/(csigma*(1+chabb/cgamma))*(rrf+0*b) + b;
    yf = ccy*cf+ciy*invef+g  +  crkky*zcapf;
    yf = cfc*( calfa*kf+(1-calfa)*labf +a );
    wf = csigl*labf   +(1/(1-chabb/cgamma))*cf - (chabb/cgamma)/(1-chabb/cgamma)*cf(-1);
    kpf = (1-cikbar)*kpf(-1)+(cikbar)*invef + (cikbar)*(cgamma^2*csadjcost)*qs;

    // sticky price - wage economy
    mc = calfa*rk+(1-calfa)*(w) - 1*a - 0*(1-calfa)*a;
    zcap = (1/(czcap/(1-czcap)))* rk;
    rk = w+lab-k;
    k = kp(-1)+zcap;
    inve = (1/(1+cbetabar*cgamma))* (  inve(-1) + cbetabar*cgamma*inve(1)+(1/(cgamma^2*csadjcost))*pk ) +qs;
    pk = -r+pinf(1)-0*b +(1/((1-chabb/cgamma)/(csigma*(1+chabb/cgamma))))*b + (crk/(crk+(1-ctou)))*rk(1) +  ((1-ctou)/(crk+(1-ctou)))*pk(1);
    c = (chabb/cgamma)/(1+chabb/cgamma)*c(-1) + (1/(1+chabb/cgamma))*c(+1) +((csigma-1)*cwhlc/(csigma*(1+chabb/cgamma)))*(lab-lab(+1)) - (1-chabb/cgamma)/(csigma*(1+chabb/cgamma))*(r-pinf(+1) + 0*b) +b;
    y = ccy*c+ciy*inve+g  +  1*crkky*zcap;
    y = cfc*( calfa*k+(1-calfa)*lab +a );
    pinf = (1/(1+cbetabar*cgamma*cindp)) * ( cbetabar*cgamma*pinf(1) +cindp*pinf(-1)+((1-cprobp)*(1-cbetabar*cgamma*cprobp)/cprobp)/((cfc-1)*curvp+1)*(mc)  )  + spinf;
    w = (1/(1+cbetabar*cgamma))*w(-1)+(cbetabar*cgamma/(1+cbetabar*cgamma))*w(1)+(cindw/(1+cbetabar*cgamma))*pinf(-1)-(1+cbetabar*cgamma*cindw)/(1+cbetabar*cgamma)*pinf+(cbetabar*cgamma)/(1+cbetabar*cgamma)*pinf(1)+(1-cprobw)*(1-cbetabar*cgamma*cprobw)/((1+cbetabar*cgamma)*cprobw)*(1/((clandaw-1)*curvw+1))*(csigl*lab + (1/(1-chabb/cgamma))*c - ((chabb/cgamma)/(1-chabb/cgamma))*c(-1) -w)+ 1*sw;
    r = crpi*(1-crr)*pinf+cry*(1-crr)*(y-yf)+crdy*(y-yf-y(-1)+yf(-1))+crr*r(-1)+ms;
    a = crhoa*a(-1)  + ea;
    b = crhob*b(-1) + eb;
    g = crhog*(g(-1)) + eg + cgy*ea;
    qs = crhoqs*qs(-1) + eqs;
    ms = crhoms*ms(-1) + em;
    spinf = crhopinf*spinf(-1) + epinfma - cmap*epinfma(-1);
    epinfma=epinf;
    sw = crhow*sw(-1) + ewma - cmaw*ewma(-1);
    ewma = ew;
    kp = (1-cikbar)*kp(-1)+cikbar*inve + cikbar*cgamma^2*csadjcost*qs;

    // measurment equations
    dy = y-y(-1)+ctrend;
    dc = c-c(-1)+ctrend;
    dinve = inve-inve(-1)+ctrend;
    dw = w-w(-1)+ctrend;
    pinfobs = 1*(pinf) + constepinf;
    robs = 1*(r) + conster;
    labobs = lab + constelab;
end;
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steady_state_model;
dy=ctrend;
dc=ctrend;
dinve=ctrend;
dw=ctrend;
pinfobs = constepinf;
robs = (((1+constepinf/100)/((1/(1+constebeta/100))*(1+ctrend/100)^(-csigma)))-1)*100;
labobs = constelab;
end;

shocks;
var ea;
stderr 0.4618;
var eb;
stderr 1.8513;
var eg;
stderr 0.6090;
var eqs;
stderr 0.6017;
var em;
stderr 0.2397;
var epinf;
stderr 0.1455;
var ew;
stderr 0.2089;
end;

estimated_params;
// PARAM NAME, INITVAL, LB, UB, PRIOR_SHAPE, PRIOR_P1, PRIOR_P2, PRIOR_P3, PRIOR_P4, JSCALE
// PRIOR_SHAPE: BETA_PDF, GAMMA_PDF, NORMAL_PDF, INV_GAMMA_PDF
stderr ea,0.4618,0.01,3,INV_GAMMA_PDF,0.1,2;
stderr eb,0.1818513,0.025,5,INV_GAMMA_PDF,0.1,2;
stderr eg,0.6090,0.01,3,INV_GAMMA_PDF,0.1,2;
stderr eqs,0.46017,0.01,3,INV_GAMMA_PDF,0.1,2;
stderr em,0.2397,0.01,3,INV_GAMMA_PDF,0.1,2;
stderr epinf,0.1455,0.01,3,INV_GAMMA_PDF,0.1,2;
stderr ew,0.2089,0.01,3,INV_GAMMA_PDF,0.1,2;
crhoa,.9676 ,.01,.9999,BETA_PDF,0.5,0.20;
crhob,.2703,.01,.9999,BETA_PDF,0.5,0.20;
crhog,.9930,.01,.9999,BETA_PDF,0.5,0.20;
crhoqs,.5724,.01,.9999,BETA_PDF,0.5,0.20;
crhoms,.3,.01,.9999,BETA_PDF,0.5,0.20;
crhopinf,.8692,.01,.9999,BETA_PDF,0.5,0.20;
crhow,.9546,.001,.9999,BETA_PDF,0.5,0.20;
cmap,.7652,0.01,.9999,BETA_PDF,0.5,0.2;
cmaw,.8936,0.01,.9999,BETA_PDF,0.5,0.2;
csadjcost,6.3325,2,15,NORMAL_PDF,4,1.5;
csigma,1.2312,0.25,3,NORMAL_PDF,1.50,0.375;
chabb,0.7205,0.001,0.99,BETA_PDF,0.7,0.1;
cprobw,0.7937,0.3,0.95,BETA_PDF,0.5,0.1;
csigl,2.8401,0.25,10,NORMAL_PDF,2,0.75;
cprobp,0.7813,0.5,0.95,BETA_PDF,0.5,0.10;
cindw,0.4425,0.01,0.99,BETA_PDF,0.5,0.15;
cindp,0.3291,0.01,0.99,BETA_PDF,0.5,0.15;
czcap,0.2648,0.01,1,BETA_PDF,0.5,0.15;
cfc,1.4672,1.0,3,NORMAL_PDF,1.25,0.125;
crpi,1.7985,1.0,3,NORMAL_PDF,1.5,0.25;
crr,0.8258,0.5,0.975,BETA_PDF,0.75,0.10;
cry,0.0893,0.001,0.5,NORMAL_PDF,0.125,0.05;
crdy,0.2239,0.001,0.5,NORMAL_PDF,0.125,0.05;
constepinf,0.7,0.1,2.0,GAMMA_PDF,0.625,0.1;//20;
constebeta,0.7420,0.01,2.0,GAMMA_PDF,0.25,0.1;//0.20;
constelab,1.2918,-10.0,10.0,NORMAL_PDF,0.0,2.0;
ctrend,0.3982,0.1,0.8,NORMAL_PDF,0.4,0.10;
cgy,0.05,0.01,2.0,NORMAL_PDF,0.5,0.25;
calfa,0.24,0.01,1.0,NORMAL_PDF,0.3,0.05;
end;

varobs dy dc dinve labobs pinfobs dw robs;

estimation(optim=('MaxIter',200),datafile=usmodel_data,mode_file=usmodel_shock_decomp_mode,mode_compute=0,first_obs=1, presample=4,lik_init=2,prefilter=0,mh_replic=0,mh_nblocks=2,mh_jscale=0.20,mh_drop=0.2, nograph, nodiagnostic, tex);

shock_decomposition y;