1var MC EH EF R_KF QF CF IF YF LF PIEF WF RF R_KH QH CH IH YH LH PIEH WH RH EE_A PIE_BAR EE_B EE_G EE_L EE_I KF KH ONE; 2 3varexo E_A E_B E_G E_L E_I ETA_R E_PIE_BAR ETA_Q ETA_P ETA_W ; 4 5parameters xi_e lambda_w alpha czcap beta phi_i tau sig_c hab ccs cinvs phi_y gamma_w xi_w gamma_p xi_p sig_l r_dpi r_pie r_dy r_y rho rho_a rho_pb rho_b rho_g rho_l rho_i ; 6alpha=.30; 7beta=0.99; 8tau=0.025; 9ccs=0.6; 10cinvs=.22; 11lambda_w = 0.5; 12phi_i= 6.771; 13sig_c= 1.353; 14hab= 0.573; 15xi_w= 0.737; 16sig_l= 2.400; 17xi_p= 0.908; 18xi_e= 0.599; 19gamma_w= 0.763; 20gamma_p= 0.469; 21czcap= 0.169; 22phi_y= 1.408; 23r_pie= 1.684; 24r_dpi= 0.14; 25rho= 0.961; 26r_y= 0.099; 27r_dy= 0.159; 28rho_a= 0.823; 29rho_b= 0.855; 30rho_g= 0.949; 31rho_l= 0.889; 32rho_i= 0.927; 33rho_pb= 0.924; 34 35 36model; 37 CF = (1/(1+hab))*(CF(1)+hab*CF(-1))-((1-hab)/((1+hab)*sig_c))*(RF-PIEF(1)-EE_B) ; 38 0 = alpha*R_KF+(1-alpha)*WF -EE_A ; 39 PIEF = 0*ONE; 40 IF = (1/(1+beta))* (( IF(-1) + beta*(IF(1)))+(1/phi_i)*QF)+0*ETA_Q+EE_I ; 41 QF = -(RF-PIEF(1))+(1-beta*(1-tau))*((1+czcap)/czcap)*R_KF(1)+beta*(1-tau)*QF(1) +0*EE_I ; 42 KF = (1-tau)*KF(-1)+tau*IF(-1) ; 43 YF = (ccs*CF+cinvs*IF)+EE_G ; 44 YF = 1*phi_y*( alpha*KF+alpha*(1/czcap)*R_KF+(1-alpha)*LF+EE_A ) ; 45 WF = (sig_c/(1-hab))*(CF-hab*CF(-1)) + sig_l*LF - EE_L ; 46 LF = R_KF*((1+czcap)/czcap)-WF+KF ; 47 EF = EF(-1)+EF(1)-EF+(LF-EF)*((1-xi_e)*(1-xi_e*beta)/(xi_e)); 48 49 CH = (hab/(1+hab))*CH(-1)+(1/(1+hab))*CH(1)-((1-hab)/((1+hab)*sig_c))*(RH-PIEH(1)-EE_B) ; 50 IH = (1/(1+beta))* (( IH(-1) + beta*(IH(1)))+(1/phi_i)*QH )+1*ETA_Q+1*EE_I ; 51 QH = -(RH-PIEH(1))+(1-beta*(1-tau))*((1+czcap)/czcap)*R_KH(1)+beta*(1-tau)*QH(1) +EE_I*0+0*ETA_Q ; 52 KH = (1-tau)*KH(-1)+tau*IH(-1) ; 53 YH = (ccs*CH+cinvs*IH)+ EE_G ; 54 YH = phi_y*( alpha*KH+alpha*(1/czcap)*R_KH+(1-alpha)*LH ) +phi_y*EE_A ; 55 PIEH = (1/(1+beta*gamma_p))* 56 ( 57 (beta)*(PIEH(1)) +(gamma_p)*(PIEH(-1)) 58 +((1-xi_p)*(1-beta*xi_p)/(xi_p))*(MC) 59 ) + ETA_P ; 60 61 MC = alpha*R_KH+(1-alpha)*WH -EE_A; 62 WH = (1/(1+beta))*(beta*WH(+1)+WH(-1)) 63 +(beta/(1+beta))*(PIEH(+1)) 64 -((1+beta*gamma_w)/(1+beta))*(PIEH) 65 +(gamma_w/(1+beta))*(PIEH(-1)) 66 -(1/(1+beta))*(((1-beta*xi_w)*(1-xi_w))/(((1+(((1+lambda_w)*sig_l)/(lambda_w))))*xi_w))*(WH-sig_l*LH-(sig_c/(1-hab))*(CH-hab*CH(-1))+EE_L) 67 +ETA_W; 68 LH = R_KH*((1+czcap)/czcap)-WH+KH ; 69 RH = r_dpi*(PIEH-PIEH(-1)) 70 +(1-rho)*(r_pie*(PIEH(-1)-PIE_BAR)+r_y*(YH-YF)) 71 +r_dy*(YH-YF-(YH(-1)-YF(-1))) 72 +rho*(RH(-1)-PIE_BAR) 73 +PIE_BAR 74 +ETA_R; 75 EH = EH(-1)+EH(1)-EH+(LH-EH)*((1-xi_e)*(1-xi_e*beta)/(xi_e)); 76 77 78 EE_A = (rho_a)*EE_A(-1) + E_A; 79 PIE_BAR = rho_pb*PIE_BAR(-1)+ E_PIE_BAR ; 80 EE_B = rho_b*EE_B(-1) + E_B ; 81 EE_G = rho_g*EE_G(-1) + E_G ; 82 EE_L = rho_l*EE_L(-1) + E_L ; 83 EE_I = rho_i*EE_I(-1) + E_I ; 84 ONE = 0*ONE(-1) ; 85end; 86 87vcov = [0.357604 0 0 0 0 0 0 0 0 0; 88 0 0.112896 0 0 0 0 0 0 0 0; 89 0 0 0.105625 0 0 0 0 0 0 0; 90 0 0 0 12.39040 0 0 0 0 0 0; 91 0 0 0 0 0.722500 0 0 0 0 0; 92 0 0 0 0 0 0.656100 0 0 0 0; 93 0 0 0 0 0 0 0.000289 0 0 0; 94 0 0 0 0 0 0 0 0.364816 0 0; 95 0 0 0 0 0 0 0 0 0.025600 0; 96 0 0 0 0 0 0 0 0 0 0.083521]; 97 98order = 1; 99