sudden_stop_ar1.yaml

# This file adapts the model described in
# "From Sudden Stops to Fisherian Deflation, Quantitative Theory and Policy"
# by Anton Korinek and Enrique G. Mendoza

name: Sudden Stop (AR1)
model_type: dtcc
symbols:
    exogenous: [ly]
    states: [l]
    controls: [b, lam]
    parameters: [beta, R, sigma, mu, lam_inf]


definitions:
    y: exp(ly)
    c: 1 + y + l*R - b

equations:
    transition:
        - l = b(-1)

    arbitrage:
        - lam = b/c
        - 1 - beta*(c(1)/c)^(-sigma)*R    |  lam_inf <= lam <= inf

calibration:
    beta: 0.95
    R: 1/beta
    sigma: 2.0
    mu: 0.8
    lam_inf: -0.2
    ly: 0.0
    l: 0.0
    b: 0.0
    lam: 0.0
    y: exp(ly)
    c: 1.0 + y

exogenous: !VAR1
    rho: 0.01
    Sigma: 0.065^2
    N: 2

domain:
    l: [-1.0, 1.0]

options:
    grid: !Cartesian
        orders: [100]