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v4: new function for ramsey_policy; correction in ramsey_dynamic.m 

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1333 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
michel 2007-06-30 06:33:17 +00:00
parent 4fca885549
commit 40733b85bb
2 changed files with 78 additions and 3 deletions
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6
matlab/ramsey_dynamic.m
View File

@ -133,7 +133,7 @@ function J = ramsey_dynamic(ys,lbar)
kc2 = i_leadlag1(i,kc(ic2));
ir = find(i_leadlag(max_leadlag1+2-j,:) > 0 );
kr1 = i_leadlag(max_leadlag1+2-j,ir);
J(ir,kc2) = J(ir,kc2) + beta^(j-max_lag-1)...
J(ir,kc2) = J(ir,kc2) + beta^(j-max_lead-1)...
*reshape(lbarfH(iH(kr1,kc1)),length(kr1),length(kc1));
end
end
@ -142,7 +142,7 @@ function J = ramsey_dynamic(ys,lbar)
kc = i_leadlag1(max_lag+i,endo_nbr+(1:exo_nbr));
ir = find(i_leadlag(leadlag_nbr+1-i,:) > 0);
kr1 = i_leadlag(leadlag_nbr+1-i,ir);
J(ir,kc) = beta^(i-max_lag-1)...
J(ir,kc) = beta^(i-max_lead-1)...
*reshape(lbarfH(iH(kr1,n_dyn+(1:exo_nbr))),length(kr1), ...
exo_nbr);
end
@ -152,7 +152,7 @@ function J = ramsey_dynamic(ys,lbar)
kc1 = i_leadlag(leadlag_nbr+1-i,ic1);
ic2 = find(i_leadlag1(max_lag+i,endo_nbr+exo_nbr+(1:mult_nbr)) > 0);
kc2 = i_leadlag1(max_lag+i,endo_nbr+exo_nbr+ic2);
J(ic1,kc2) = beta^(i-max_lag-1)*fJ(ic2,kc1)';
J(ic1,kc2) = beta^(i-max_lead-1)*fJ(ic2,kc1)';
end
% Jacobian of original equations

75
matlab/ramsey_policy.m Normal file
View File

@ -0,0 +1,75 @@
function info = ramsey_policy(var_list)
global options_ oo_ M_
oldoptions = options_;
options_.ramsey_policy = 1;
options_.order = 1;
info = stoch_simul(var_list);
return
if info
return
end
options_.ramsey_policy = 2;
info = stoch_simul(var_list);
dr = oo_.dr;
orig_model = M_.orig_model;
endo_nbr1 = orig_model.endo_nbr;
exo_nbr1 = M_.exo_nbr;
npred = dr.npred;
nspred = dr.nspred;
inv_order_var1 = dr.inv_order_var(1:endo_nbr1);
nstatic = dr.nstatic;
ghx = dr.ghx;
ghx1 = ghx(inv_order_var1,:);
[ghx2,ghu2] = transition_matrix(dr);
ghu = dr.ghu;
ghu1 = ghu(inv_order_var1,:);
ghxx = dr.ghxx;
ghxx1 = ghxx(inv_order_var1,:);
ghxx2 = [ghxx(nstatic+(1:npred),:); zeros(nspred-npred,size(ghxx,2))];
ghxu = dr.ghxu;
ghxu1 = ghxu(inv_order_var1,:);
ghxu2 = [ghxu(nstatic+(1:npred),:); zeros(nspred-npred,size(ghxu,2))];
ghuu = dr.ghuu;
ghuu1 = ghuu(inv_order_var1,:);
ghuu2 = [ghuu(nstatic+(1:npred),:); zeros(nspred-npred,size(ghuu,2))];
ghs2 = dr.ghs2;
ghs21 = ghs2(inv_order_var1,:);
ghs22 = [ghs2(nstatic+(1:npred),:); zeros(nspred-npred,size(ghs2,2))];
fname = [M_.fname '_objective_static'];
[ubar,uj,uh] = feval(fname,dr.ys(1:endo_nbr1),zeros(exo_nbr1,1));
bet = options_.planner_discount;
wbar = ubar/(1-bet);
% wx = ux*gx + bet*wx*hx
% wx*(I-bet*hx) = ux*gx
wx = uj*ghx1/(eye(nspred)-bet*ghx2);
% wu = ux*gu + bet*wx*hu
wu = uj*ghu1 + bet*wx*ghu2;
% wxx = uxx*kron(gx,gx)+ux*ghxx + bet(wxx*kron(hx,hx) +
% wx*hxx)
wxx = (uh*kron(ghx1,ghx1) + uj*ghxx1 + bet*wx*ghxx2)/(eye(nspred^2)-bet*kron(ghx2,ghx2));
wxu = uh*kron(ghx1,ghu1) + uj*ghxu1 + bet*(wx*ghxu2+wxx*kron(ghx2,ghu2));
wuu = uh*kron(ghu1,ghu1) + uj*ghuu1 + bet*(wx*ghuu2+wxx*kron(ghu2,ghu2));
% ws2 = ux*ghs2 + bet*(ws2+wx*hs2+wuu*Sigma_u)
ws2 = (uj*ghs21 + bet*(wx*ghs22+wuu*M_.Sigma_e(:)))/(1-bet);
oo_.welfare.wbar = wbar;
oo_.welfare.wx = wx;
oo_.welfare.wu = wu;
oo_.welfare.wxx = wxx;
oo_.welfare.wxu = wxu;
oo_.welfare.wuu = wuu;
oo_.welfare.ws2 = ws2;
disp(' ')
disp(' ')
disp(['Welfare at the deterministic steady state is ' num2str(wbar+0.5* ...
ws2)]);
options_ = oldoptions;