% Kiyotaki - Moore "Credit Cycle" JPE 1997 % % Nicola Viegi % Pretoria, 2010 %---------------------------------------------------------------- % 0. Housekeeping (close all graphic windows) %---------------------------------------------------------------- close all; %---------------------------------------------------------------- % 1. Defining variables %---------------------------------------------------------------- var q b k; varexo e; parameters a, phi, R, lamda, pai, v, qss, bss, kss; %---------------------------------------------------------------- % 2. Calibration %---------------------------------------------------------------- a = 1; phi = 20; R = 1.01; lamda = 0.975; pai = 0.1 ; v = 2; qss = (R/(R-1))*(pai*a - (1-lamda)*(1- R + pai*R)*phi )/(lamda*pai + (1-lamda)*(1- R + pai*R)); kss = qss * (R-1)/R + v; bss = ((a + lamda*phi - phi)/(R-1)) * kss ; %---------------------------------------------------------------- % 3. Model %---------------------------------------------------------------- model; q = q(+1)/R + (k - v); k = (pai/(q + phi - q(+1)/R))*( (a+lamda*phi + q)*k(-1) - R*b(-1)) + (1-pai)*lamda*k(-1); b = R*b(-1) + q*(k - k(-1)) + phi*(k -lamda*k(-1)) - a*(1+e)*k(-1); end; %---------------------------------------------------------------- % 4. Computation %---------------------------------------------------------------- initval; q = qss; k = kss; b = bss; e = 0; end; steady; check; shocks; var e; periods 1; values 0.01; end; check; steady; simul(periods=400); figure plot(k(2:40)/kss) hold on plot(b(2:40)/bss,'.') plot(q(2:40)/qss,'--') legend('K/K*','B/B*','Q/Q*')