From 96af4143edb3038cd3eaf07c303827142c5318d7 Mon Sep 17 00:00:00 2001 From: Michael Hatcher Date: Fri, 4 Oct 2024 09:10:43 +0100 Subject: [PATCH] Add files via upload --- Insert_App_1.m | 4 ++-- Insert_App_2.m | 4 ++-- Insert_App_2_FG.m | 4 ++-- Insert_App_2_PLT.m | 6 +++--- Insert_App_2_loop.m | 4 ++-- Insert_App_2_loop_PLT.m | 6 +++--- Insert_Example_2.m | 2 +- Insert_RBC.m | 2 +- Insert_Samuelson.m | 41 +++++++++++++++++++++++++++++++++++++++++ 9 files changed, 57 insertions(+), 16 deletions(-) create mode 100644 Insert_Samuelson.m diff --git a/Insert_App_1.m b/Insert_App_1.m index 1f429c6..7113f14 100644 --- a/Insert_App_1.m +++ b/Insert_App_1.m @@ -1,9 +1,9 @@ -% Application 1 - Asset pricing model in Iacoviello and Guerrieri (2015,JME) +% Example 1' - Asset pricing model in Iacoviello and Guerrieri (2015,JME) %Calibration betta = 0.99; rho = 0.5; rho_u = 0.5; -X1_min = -(1/betta-1); %Lower bound (must be less than q_bar = 0) +X1_min = -(1/betta-1); %Lower bound (must be less than q_bar = 0) sigma = 5; phi = 0.2; diff --git a/Insert_App_2.m b/Insert_App_2.m index d0b6830..ea3d74f 100644 --- a/Insert_App_2.m +++ b/Insert_App_2.m @@ -1,5 +1,5 @@ -% Application 2 - New Keynesian model in Brendon et al. (2013). Parameters -% here are based on the example in Holden (2022, Supp Appendix, Section E). +% Policy Application - New Keynesian model in Brendon, Paustian and Yates (2013). +% Parameters based on the example in Holden (2023, Supp Appendix, Section E). %Calibration betta = 0.99; diff --git a/Insert_App_2_FG.m b/Insert_App_2_FG.m index cddfc4e..83e7f9b 100644 --- a/Insert_App_2_FG.m +++ b/Insert_App_2_FG.m @@ -1,5 +1,5 @@ -% Application 2 - New Keynesian model in Brendon et al. (2013). Parameters -% here are based on the example in Holden (2022, Supp Appendix, Section E). +% Policy Application - NK model in Brendon, Paustian and Yates (2013) + forward guidance. +% Parameters based on the example in Holden (2023, Supp Appendix, Section E). %Calibration betta = 0.99; diff --git a/Insert_App_2_PLT.m b/Insert_App_2_PLT.m index df5068e..f7adfb0 100644 --- a/Insert_App_2_PLT.m +++ b/Insert_App_2_PLT.m @@ -1,6 +1,6 @@ -% Application 2 - New Keynesian model in Brendon et al. (2013). Parameters -% here are based on the example in Holden (2022, Supp Appendix, Section E), -% but the interest rate responds to the price-level (not inflation) gap. +% Policy Application - New Keynesian model in Brendon, Paustian and Yates (2013). +% Parameters excet theta_p based on the example in Holden (2023, Supp Appendix, Section E). +% Note that the interest rate responds to the price-level gap (not the inflation gap). %Calibration betta = 0.99; diff --git a/Insert_App_2_loop.m b/Insert_App_2_loop.m index 641ffce..44c0560 100644 --- a/Insert_App_2_loop.m +++ b/Insert_App_2_loop.m @@ -1,5 +1,5 @@ -% Application 2 - New Keynesian model in Brendon et al. (2013). For analysis of the M matrix. We 'comment -% out' certain parameters which are set in the 'loop' file. +% Policy Application - New Keynesian model in Brendon, Paustian and Yates (2013). +% For analysis of the M matrix. We 'comment out' certain parameters set in the 'loop' file. %Calibration betta = 0.99; diff --git a/Insert_App_2_loop_PLT.m b/Insert_App_2_loop_PLT.m index b5c685c..e3b6059 100644 --- a/Insert_App_2_loop_PLT.m +++ b/Insert_App_2_loop_PLT.m @@ -1,12 +1,12 @@ -% Application 2 - New Keynesian model in Brendon et al. (2013). For analysis of the M matrix -% in the case of a PLT interest rate rule. We 'comment out' certain parameters which are set in the 'loop' file. +% Policy Application - New Keynesian model in Brendon, Paustian and Yates (2013). For analysis of the M matrix +% in the case of a PLT interest rate rule. We 'comment out' certain parameters set in the 'loop' file. %Calibration betta = 0.99; X1_min = betta-1; %sigma = 1; kappa = (1-0.85)*(1-0.85*betta)*(2+sigma)/0.85; -rho_i = 0.4; +rho_i = 0; %thetta_pi = 1.5; thetta_p = thetta_pi; thetta_y = 0; diff --git a/Insert_Example_2.m b/Insert_Example_2.m index e02a4e4..0520abb 100644 --- a/Insert_Example_2.m +++ b/Insert_Example_2.m @@ -1,4 +1,4 @@ -%Fisherian model: ZLB-truncated Taylor rule + Fisher equation (Example 2 from Holden,2022, REStat) +%Fisherian model: ZLB-truncated Taylor rule + Fisher equation (Example 2 from Holden 2023, REStat) %Calibration r = 0.01; diff --git a/Insert_RBC.m b/Insert_RBC.m index 6f7a6c1..680d4f0 100644 --- a/Insert_RBC.m +++ b/Insert_RBC.m @@ -1,4 +1,4 @@ -% Extra Application (Supplementary Appendix) - RBC model with a contraint +% Example 2' (Supplementary Appendix) - RBC model with a contraint % on investment. The calibration here follows the baseline exercise in % Iacoviello and Guerrieri (2015, Section 4). diff --git a/Insert_Samuelson.m b/Insert_Samuelson.m new file mode 100644 index 0000000..cc2ed20 --- /dev/null +++ b/Insert_Samuelson.m @@ -0,0 +1,41 @@ +% Example 3' (Supplementary Appendix) - Endogenous business cycles. +% Samuelson multiplier-accelerator model with forward-looking expectations +% and an upper bound G_max on government expenditure. + +%Calibration +a = 0.025; +b = 0.70; +d = 1.3; +betta = 0.05; +Tax = 0.01; +thetta = 0.055; +I_SS = 0.20; +G_SS = 0.082; +G_max = 1.035*G_SS; + +%Find steady state +Y_SS = (a-b*Tax + I_SS + G_SS)/(1-b); +C_SS = a + b*(Y_SS-Tax); + +%Lower bound +X1_min = -G_max; + +%Matrices for xstar +F = [zeros(1,11) thetta]; G = 0; H = -(thetta*Y_SS+G_SS); + +%Reference regime +B1 = [1 0 0 0; 0 1 0 0; 0 -d 1 0; 1 -1 -1 1]; +B2 = [0 0 0 0; 0 0 0 b*betta; 0 -d*betta 0 0; 0 0 0 0]; +B3 = [0 0 0 thetta; 0 0 0 b*(1-betta); 0 -d*(1-betta) 0 0; 0 0 0 0]; +B4 = [0;0;1;0]; +B5 = [-G_SS-thetta*Y_SS; a-b*Tax; I_SS; 0]; + +%Alternative regime +B1_tild = B1; +B2_tild = B2; +B3_tild = [0 0 0 0; 0 0 0 b*(1-betta); 0 -d*(1-betta) 0 0; 0 0 0 0]; +B4_tild = B4; +B5_tild = [X1_min; a-b*Tax; I_SS; 0]; + + +