Macro #18
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Demographics.py update
…slice from a DataFrame
…imm data in future
…rns, over 90s, smoothing
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@jpycroft Thanks for working on the macro params! FYI, this branch has the demographics and macro changes. But I will take a look at those macros soon. |
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@jdebacker @rickecon
This PR is to add macro_params.py to OG-UK-Calibration.
macro_params.py contains get_macro_params function, which produces / includes the seven macroeconomic parameters required for OG-UK. As of 18 May 2021, the values obtained are:
macro_parameters: {'initial_debt_ratio': 0.858, 'alpha_T': 0.14987823280692056, 'alpha_G': 0.23609202014014433, 'gamma': 0.30000000000000004, 'g_y': 1.775, 'r_gov_shift': 1.4872414588323613, 'r_gov_scale': -5.373278437402958}
The file contains complete information as to the origin of the data used. Much of the data was obtained from the UK Office of National Statistics (ONS). To my knowledge, much of the data is released as xlsx spreadsheets only, from which the few required values were copied.
To calculate the relationship between the government interest rate and the corporate interest rate, expressed as r_gov_shift and r_gov_scale, a regression was run of UK government bond rates against US corporate bond rates (used as a proxy for the global rate).