| period_length = 0.25; | |
| P = 1 - exp(-.04*period_length); % disaster probability | |
| % variable disaster size | |
| B = -log(1 - [0.1384074; | |
| 0.2375926; | |
| 0.335; | |
| 0.4331111; | |
| 0.5516667; | |
| 0.653]); | |
| % distribution of disaster size | |
| probB = [0.6; | |
| 0.2; | |
| 0.088888889; | |
| 0.066666667; | |
| 0.022222222; | |
| 0.022222222]; | |
| meanB = B(:)'*probB; | |
| Size = 1 - exp(-B(:)'); | |
| meanSize = Size*probB; | |
| sdSize = sqrt((Size - meanSize).^2*probB(:)); | |
| G = 0.021*period_length; % drift of log output | |
| RHO = 0.04*period_length; % time preference rate | |
| NU = 0.02*period_length; % replacement rate | |
| MU = 0.05; % popoulation share of agent 1 | |
| ALPHA = 1/3; % capital share in output | |
| TAU = 0; % bond duration - start with short-term bonds | |
| GAMMA1 = 1.000001; % start with unit risk aversion | |
| GAMMA2 = GAMMA1; | |
| delta_prob = 0.4; % default probability | |
| delta_size = 0; % default size | |