A. Appendix
A.6. Dynare Program Code for Matlab
periods 1000;
var x_d x_f pi_d pi_f t i_d i_f a_d a_f u_d u_f v_d v_f;
varexo e_af e_ad e_ud e_uf e_vd e_vf;
parameters ALPHA_D ALPHA_F MU_D MU_F OMEGA_D OMEGA_F THETA_D THETA_F IOTA_F XI RHO
BETA ZETA_AD ZETA_AF ZETA_UD ZETA_UF ZETA_VD ZETA_VF PHI_AD PHI_AF;
ALPHA_D=1.5;
ALPHA_F=1.5;
MU_D=.16;
MU_F=.16;
OMEGA_D=.1;
OMEGA_F=.1;
THETA_D=.07;
THETA_F=-.07;
IOTA_F=.5;
XI=-1;
RHO=.8;
BETA=.97;
ZETA_AD=.8;
ZETA_AF=.8;
ZETA_UD=.8;
ZETA_UF=.8;
ZETA_VD=.8;
ZETA_VF=.8;
PHI_AD=.3;
PHI_AF=.3;
model;
x_d=x_d(+1)+1/RHO*pi_d(+1)-1/RHO*i_d+THETA_D*t(+1)+(XI-1)/(XI-RHO)*a_d(+1)-(XI-1)/(XI-RHO)*a_d;
x_f=x_f(+1)+1/RHO*pi_f(+1)-1/RHO*i_f+THETA_F*t(+1)+(XI-1)/(XI-RHO)*a_f(+1)-(XI-1)/(XI-RHO)*a_f;
pi_d=BETA*pi_d(+1)+MU_D*x_d+u_d;
pi_f=BETA*pi_f(+1)+MU_F*x_f+u_f;
t=pi_f-pi_d+i_d(-1)-i_f(-1);
i_d=ALPHA_D*pi_d+OMEGA_D*i_d(-1)+v_d;
i_f=IOTA_F*x_f+ALPHA_F*pi_f+OMEGA_F*i_f(-1)+v_f;
a_d=ZETA_AD*a_d(-1)+PHI_AD*a_f+e_ad;
a_f=ZETA_AF*a_f(-1)*PHI_AF*a_d+e_af;
u_d=ZETA_UD*u_d(-1)+e_ud;
u_f=ZETA_UF*u_f(-1)+e_uf;
v_d=ZETA_VD*v_d(-1)+e_vd;
v_f=ZETA_VF*v_f(-1)+e_vf;
end;
initval;
x_d=0;
x_f=0;
pi_d=0;
pi_f=0;
t=0;
i_d=0;
i_f=0;
a_d=0;
a_f=0;
u_d=0;
35