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    Alcides Padilla
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    This document contains the mathematical model and code for a dynamic stochastic general equilibrium (DSGE) model that incorporates habit formation. It specifies the behavioral equations that define the relationships between consumption, investment, output, labor, and other variables. It also includes parameter values, the steady state solution, and code to simulate the model using a stochastic simulation with a Hodrick-Prescott filter.

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    This document contains the mathematical model and code for a dynamic stochastic general equilibrium (DSGE) model that incorporates habit formation. It specifies the behavioral equations that define the relationships between consumption, investment, output, labor, and other variables. It also includes parameter values, the steady state solution, and code to simulate the model using a stochastic simulation with a Hodrick-Prescott filter.

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    0 views1 page

    Habitat

    Uploaded by

    Alcides Padilla
    This document contains the mathematical model and code for a dynamic stochastic general equilibrium (DSGE) model that incorporates habit formation. It specifies the behavioral equations that define the relationships between consumption, investment, output, labor, and other variables. It also includes parameter values, the steady state solution, and code to simulate the model using a stochastic simulation with a Hodrick-Prescott filter.

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    © All Rights Reserved
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    of 1

    Intertemporal Non-Separability: Habit Formation

    ok
    var yy cc kk ii nn aa rr ww RR;
    varexo e;
    parameters alpha delta theta phi rhoa beta sigma_ea;

    alpha = 1/3;
    delta = 0.025;
    theta = 1.75;
    phi = 0.9;
    rhoa = 0.97;
    beta = 0.99;
    sigma_ea = 0.009;

    model;
    (exp(cc)-phi*exp(cc(-1)))^(-1)-beta*phi*(exp(cc(+1))-phi*exp(cc))^(-1) =
    beta*(((exp(cc(+1))-phi*exp(cc)))^(-1)-beta*phi*(exp(cc(+2))-
    phi*exp(cc(+1)))^(-1))*(alpha*exp(aa(+1))*exp(kk)^(alpha-
    1)*exp(nn(+1))^(1-alpha)-(1-delta));
    (exp(cc)-phi*exp(cc(-1)))^(-1)-beta*phi*(exp(cc(+1))-phi*exp(cc))^(-1) =
    beta*(((exp(cc(+1))-phi*exp(cc)))^(-1)-beta*phi*(exp(cc(+2))-
    phi*exp(cc(+1)))^(-1))*(1+exp(rr));
    (exp(cc)-phi*exp(cc(-1)))^(-1)-beta*phi*(exp(cc(+1))-phi*exp(cc))^(-1) =
    theta*(1-exp(nn))^(-1)*(exp(aa)*exp(kk(-1))^(alpha)*exp(nn)^(-alpha))^(-
    1);
    exp(RR) = alpha* exp(aa)*exp(kk(-1))^(alpha-1)*exp(nn)^(1-alpha);
    exp(ww) = (1-alpha)*exp(aa)*exp(kk(-1))^(alpha)*exp(nn)^(-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(aa)*exp(kk(-1))^(alpha)*exp(nn)^(1-alpha)-exp(cc)+(1-
    delta)*exp(kk(-1));
    (aa) = rhoa*(aa(-1))+e;
    end;

    initval;
    kk = 9.4;
    yy = 3;
    cc = 0.77;
    ii = 0.2362;
    aa = 0;
    rr = (1/beta) - 1;
    RR = log((1/beta) - (1-delta));
    ww = 1;
    nn = 1/3;
    end;

    shocks;
    var e = sigma_ea^2;
    end;

    steady;
    check;
    stoch_simul(order=1, periods=1000,hp_filter=1600) aa yy nn cc ii ww rr;

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