Government debt and stock bubbles in China
Description
This project provides the code for the paper titled "Government Debt and Stock Bubbles in China," which analyzes the relationship between government debt and stock bubbles using an empirical model and dynamic stochastic general equilibrium (DSGE) models. The code is divided into two sections: Empirical Model and DSGE Model. The Empirical Model folder includes data and scripts for empirical analysis using a Vector Autoregression (VAR) model. Key datasets, such as stock bubble measurements and government debt data, are used to generate the main empirical results. The VAR.m script produces figures and table, including Figure 2, Appendix Figures A1–A4, and Appendix Table A1. The DSGE Model folder contains several DSGE models that explore the relationship between government debt and stock bubbles under various conditions. Different .mod files represent different model specifications. These models generate the impulse response results presented in Figures 3–12, along with additional appendix figures. The results of this paper were obtained using MATLAB R2021a and Dynare 4.6.1.
Files
Steps to reproduce
This paper obtains monthly stock price data for China from the OECD, while the remaining data is sourced from the Wind database. First, in the Empirical Model folder, run Figure1.m to generate Figure 1 of the paper, and run VAR.m to obtain the other empirical results. Next, in the DSGE Model folder, run Figure3.m through Figure12.m sequentially to generate Figures 3 through 12 of the paper. To generate Appendix Figures A3 through A16, run the corresponding files Figure_A5_7.m through Figure_A14_16.m individually.