105/replication_package/GENERAL_IES/summarize_results.m

normal = logical(disaster==1); % normal periods
d = logical(disaster>1); % disaster periods

state1 = x_results(1,1:T);
state2 = x_results(2,1:T);

f1 = y_results(1,1:T);
x1 = y_results(3,1:T);
logq = y_results(5,1:T);
tilp=y_results(6,1:T);

invc1 = 1 + 1/RHO*f1.^(1 - THETA); 
c1 = 1./invc1;

q = exp(logq);

tila1 = (1 + tilp).*state1(1:T) + state2(1:T);

k1 = x1.*(1 - c1).*tila1./tilp;
tilb1 = (1 - x1).*(1 - c1).*tila1;


W1_share = k1 - NU*(k1 - MU) + (1 - NU)*tilb1./tilp; % wealth share after type changes
equity = k1 - NU*(k1 - MU);

debt_to_assets = -(1 - NU)*tilb1./tilp; % debt ratio (after type changes)
debt_to_GDP = -(1 - NU)*tilb1*period_length;

haty = nodes(1,double(disaster(1:T)));

% compute means by iterated expectations

roe = ((1 + tilp(2:T))./tilp(1:T-1).*haty(2:T)); % this is actual return from t to t+1.
mean_roe = 1/period_length*log((1-P)*mean(roe(normal(2:T)))+P*mean(roe(d(2:T)))); % mean return

period_mean_roe = (1-P)*mean(roe(normal(2:T)))+P*mean(roe(d(2:T)));
period_var_roe = (1-P)*mean((roe(normal(2:T)) - period_mean_roe).^2)+P*mean((roe(d(2:T)) - period_mean_roe).^2);
vol_roe = sqrt(period_var_roe/period_length);

rb = log(1./q(1:T-1))/period_length; % this is log return on bonds
mean_rb = (1-P)*mean(rb(normal(1:T-1)))+P*mean(rb(d(1:T-1)));

Rb = 1./q(2:T-1);
period_mean_rb = (1-P)*mean(Rb(normal(2:T-1)))+P*mean(Rb(d(2:T-1)));
period_var_rb = (1-P)*mean((Rb(normal(2:T-1)) - period_mean_rb).^2)+P*mean((Rb(d(2:T-1)) - period_mean_rb).^2);
vol_rb = sqrt(period_var_rb/period_length);

mean_equity = (1-P)*mean(equity(normal(1:T))) + P*mean(equity(d(1:T)));
mean_debt_to_assets = (1-P)*mean(debt_to_assets(normal(1:T))) + P*mean(debt_to_assets(d(1:T)));
mean_debt_to_GDP = (1-P)*mean(debt_to_GDP(normal(1:T))) + P*mean(debt_to_GDP(d(1:T)));
mean_W1_share = (1-P)*mean(W1_share(normal(1:T))) + P*mean(W1_share(d(1:T)));

% mean_W1_share_excluding_labor = mean_W1_share*(1+L) - MU*L;
% mean_debt_to_assets_excluding_labor = mean_debt_to_assets*(1+L);
% mean_debt_to_GDP_including_labor = mean_debt_to_GDP/(1+L);
% mean_equity_excluding_labor = mean_equity*(1+L) - MU*L;

mean_equity_excluding_labor = mean_equity/ALPHA - MU*(1 - ALPHA)/ALPHA;
mean_debt_to_assets_excluding_labor = mean_debt_to_assets/ALPHA;
mean_W1_share_excluding_labor = mean_equity_excluding_labor - mean_debt_to_assets_excluding_labor;