&Investment Shocks

var yy cc kk ii nn aa zz rr RR ww;

varexo ea ez;

parameters alpha chi delta theta rhoa rhoz beta sigma_ea sigma_ez;

alpha = 1/3;

chi = 0;

delta = 0.025;

theta = 1.75;

rhoa = 0.9;

rhoz = 0.9;

beta = 0.99;

sigma_ea = 0.01;

sigma_ez = 0.01;

model;

exp(cc)^(-1) = beta*exp(cc(+1))^(-1)*(1+exp(rr));

exp(cc)^(-1) = beta*exp(zz)* exp(cc(+1))^(-

1)*(exp(aa(+1))*alpha*exp(kk)^(alpha-1)*exp(nn)^(1-alpha)+(exp(zz(+1))^(-
1))*(1-delta));

exp(cc)^(-1) = theta*exp(nn)^(chi)*((1-alpha)*exp(aa)*exp(kk(-
1))^(alpha)*exp(nn)^(-alpha))^(-1);

exp(ww) = (1-alpha)*exp(aa)*exp(kk(-1))^(alpha)*exp(nn)^(-alpha);

exp(RR) = (alpha)*exp(aa)*exp(kk(-1))^(alpha-1)*exp(nn)^(1-alpha);

exp(yy) = exp(aa)*exp(kk(-1))^(alpha)*exp(nn)^(1-alpha);

exp(cc) = exp(aa)*exp(kk(-1))^(alpha)*exp(nn)^(1-alpha)-(ii);

exp(kk) = exp(zz)*exp(aa)*exp(kk(-1))^(alpha)*exp(nn)^(1-alpha)-
exp(zz)*exp(cc)+(1-delta)*exp(kk(-1));

(aa) = rhoa*(aa(-1))+ea;

(zz) = rhoz*(zz(-1))+ez;
end;

initval;

kk = log(9.45);

yy = log(3);

cc = log(0.77);

ii = log(0.2362);

aa = 0;

zz = 0;

rr = (1/beta) - 1;

RR = log((1/beta) - (1-delta));

ww = 1;

nn = 1/3;

end;

shocks;

var ea = sigma_ea^2;

var ez = sigma_ez^2;

end;

steady;

check;

stoch_simul(order=1,irf=40,hp_filter=1600) yy cc ii nn ww rr;