% Dynare Code For % Bernanke Gertler Gilchrist % "The Financial Accelerator in a Quantitative Business-Cycle Framework." % Nicola Viegi % Pretoria, 2010 %---------------------------------------------------------------- % 0. Housekeeping (close all graphic windows) %---------------------------------------------------------------- close all; %---------------------------------------------------------------- % 1. Defining variables %---------------------------------------------------------------- var y c i g ce n rk r q k x a h pi rn ; varexo e_rn e_g e_a; parameters beta eta alph delt omeg eps G_Y C_Y I_Y Ce_Y Y_N X rho_a sig_a rho_g sig_g psi K_N R gam mu nu thet rho sig kap; %---------------------------------------------------------------- % 2. Calibration %---------------------------------------------------------------- C_Y = 0.605770191 ; // C/Y Ce_Y = 0.01 ; //Ce/Y I_Y = 0.184229809 ; //% I/Y G_Y = 0.2 ; //% G/Y K_N = 2.081759973 ; //%K/N Y_N = 0.282494996 ; //%Y/N X = 1.1 ; //%X beta = 0.95; R = 1/beta; alph = 0.2; //capital share of production eta = 1/alph; omeg = 0.99; delt = 0.025; rho_a = 0.99; rho_g = 0.95; psi = 0.25; Rk = R + 0.02; gam = 1-0.0272; mu = 0.12; thet = 0.75; rho = 0.96; sig = 0.20; kap = ((1-thet)/thet)*(1-thet*beta); eps = (1-delt)/((1-delt) + ((alph/X)*(Y_N/K_N))); nu = 0.052092347 ; %---------------------------------------------------------------- % 3. Model (the number refers to the equation in the paper) %---------------------------------------------------------------- model(linear); %Aggregate Demand y = C_Y*c + I_Y*i + G_Y*g + Ce_Y*ce; //4.14 c = -r + c(+1); //4.15 ce = n; //4.16 rk(+1) - r = -nu*(n -(q + k)); //4.17 rk = (1-eps)*(y - k(-1) - x) + eps*q - q(-1); //4.18 q = psi*(i - k(-1)); //4.19 q(+1) = psi*(i(+1)-k) %Aggregate Supply y = a + alph*k(-1) + (1-alph)*omeg*h; //4.20 y - h - x - c = (eta^(-1))*h; //4.21 pi = kap*(-x) + beta*pi(+1); //4.22 %Evolution of State Variables k = delt*i + (1-delt)*k(-1); //4.23 n = gam*R*K_N*(rk - r(-1)) + r(-1) + n(-1); //4.24 % Monetary Policy Rules and Shock Preocesses rn = rho*rn(-1) + sig*pi(-1) - e_rn; //4.25 Taylor Rule g = rho_g*g(-1) + e_g; //4.26 a = rho_a*a(-1) + e_a; //4.27 rn = r + pi(+1); // Fisher Equation end; %---------------------------------------------------------------- % 4. Computation %---------------------------------------------------------------- check; steady; shocks; var e_g; stderr 0.1; var e_a; stderr 0.1; var e_rn; stderr 1.0; end; stoch_simul(irf=24);