Government debt and stock bubbles in China

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.