龚六堂教授力荐的《宏观经济学》新著

张苏教授编写的《宏观经济学》出版并获得好评

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var  y ch w l pi r  rk  k  ii mc  
     a    mu_r ;

varexo  eps_a      eps_r  ;  

parameters  alpha  gamma  sigmma  delta beta theta  GAMMA  
             kappa_r kappa_y kappa_pi  rho_a  rho_pi  rho_r chi
             l_ss a_ss  mu_pi_ss   mc_ss  r_ss    rk_ss
             w_ss  k_ss  ii_ss  y_ss  ch_ss ;

alpha = 1/3 ;
gamma = 1 ;
sigmma = 1 ;
delta = 0.025 ;
beta  = 0.99 ;
theta = 0.75 ;
GAMMA = 4.5 ;

rho_a  =  0.5 ;
rho_pi  = 0.5 ;
rho_r   = 0.5 ;
kappa_r   = 0.8 ;
kappa_y   = 0.5;
kappa_pi  = 1.5 ;


l_ss  = 1/3 ;
a_ss = 1 ;
mu_pi_ss = 1;
mu_r_ss =  1;
mc_ss =  (GAMMA - 1) / GAMMA   ;
r_ss = 1 / 0.99 ;
rk_ss = 1 / beta - ( 1 - delta )  ;
w_ss = (1 - alpha ) * (alpha^alpha * mc_ss / rk_ss^alpha)^(1/(1-alpha))  ;
k_ss = w_ss / rk_ss * (alpha /(1 - alpha)) * l_ss ;
ii_ss = delta * k_ss ;
y_ss = a_ss * k_ss^alpha * l_ss^(1 - alpha);
ch_ss = y_ss - ii_ss;
chi = ch_ss^(-sigmma) * w_ss / l_ss^gamma ;

%----------------------------------------------------------------
% 3. Model
%----------------------------------------------------------------

model(linear);

%%%%%%%%%% HOUSEHOLD PROBLEM %%%%%%%%%%%%%%%%%%%%%%%%%%%
//1. labor supply equation
w  = sigmma * ch + gamma * l ;

//2. Euler equation;
ch = ch(+1) - (1/sigmma)*( r - pi(+1) );

//3. Capital Euler equation;
- sigmma * ch = - sigmma * ch(+1) +  rk * rk_ss / ( 1 - delta + rk_ss ) - pi(+1);

%%%%%%%%%%    FIRM PROBLEM    %%%%%%%%%%%%%%%%%%%%%%%%%%%
//4. wages condition
w = mc + a + alpha * k(-1) - alpha * l;
//5. interest rate condition

//6. Actual marginal cost
rk = mc +a + (alpha-1)* k(-1) + (1-alpha)*l  ;
//7. Enterprise leverage

//8. Enterprise cost composition

//9. Interest rate composition

//10. Capital accumulation equation
k  = (1 - delta) * k(-1) + delta * ii ;
//11. philipus curve
pi = beta * pi(+1) + (1 - theta)*(1 - beta * theta) * mc / theta    ;

%%%%%%%%%%    BANK PROBLEM    %%%%%%%%%%%%%%%%%%%%%%%%%%%
//12. Financial sector leverage

//13. Equality of the financial sector

//14. Financial sector capital accumulation

//15. Financial sector consumption

//16. Financial sector equation


%%%%%%%%%%    EQUATION PROBLEM    %%%%%%%%%%%%%%%%%%%%%%%%%%%
//17. resource equation
y =ch_ss/ y_ss * ch + ii_ss/ y_ss *  ii ;
//18. production function
y = a + alpha * k(-1) + (1 - alpha) * l ;
//19. Inflation

//20. Taylor Rule
r =  kappa_r * r(-1)  + (1 - kappa_r) *(kappa_y * y +  kappa_pi * pi) + mu_r;


a  = rho_a * a(-1) + eps_a;

mu_r = rho_r * mu_r(-1) + eps_r;





end;


initval;

y=0.0;

ch=0.0;
w=0.0;
l=0.0;
pi=0.0;
r=0.0;
rk=0.0;
k=0.0;

ii=0.0;
mc=0.0;
a=0.0;


mu_r=0.0;




end;

resid(1);
steady;
check;
model_diagnostics;

shocks;
var eps_a      =0.01^2;

var eps_r      =0.01^2;
end;


estimated_params_init(use_calibration); end;
estimated_params;

rho_a,beta_pdf,0.5,0.2;
rho_r,beta_pdf,0.5,0.2;
stderr eps_a,inv_gamma_pdf,0.01,2;
stderr eps_r,inv_gamma_pdf,0.01,2;


end;
varobs y r ;
estimation(datafile=deleverage1,order=1,mode_check,smoother,mh_replic=250) r ;
stoch_simul(order=1,hp_filter=1600,periods=2100);


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Blanchard&Quah(1989)