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-bf33cf982152time-shift
parent
4fca885549
commit
40733b85bb
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@ -133,7 +133,7 @@ function J = ramsey_dynamic(ys,lbar)
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kc2 = i_leadlag1(i,kc(ic2));
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kc2 = i_leadlag1(i,kc(ic2));
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ir = find(i_leadlag(max_leadlag1+2-j,:) > 0 );
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ir = find(i_leadlag(max_leadlag1+2-j,:) > 0 );
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kr1 = i_leadlag(max_leadlag1+2-j,ir);
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kr1 = i_leadlag(max_leadlag1+2-j,ir);
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J(ir,kc2) = J(ir,kc2) + beta^(j-max_lag-1)...
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J(ir,kc2) = J(ir,kc2) + beta^(j-max_lead-1)...
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*reshape(lbarfH(iH(kr1,kc1)),length(kr1),length(kc1));
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*reshape(lbarfH(iH(kr1,kc1)),length(kr1),length(kc1));
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end
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end
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end
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end
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@ -142,7 +142,7 @@ function J = ramsey_dynamic(ys,lbar)
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kc = i_leadlag1(max_lag+i,endo_nbr+(1:exo_nbr));
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kc = i_leadlag1(max_lag+i,endo_nbr+(1:exo_nbr));
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ir = find(i_leadlag(leadlag_nbr+1-i,:) > 0);
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ir = find(i_leadlag(leadlag_nbr+1-i,:) > 0);
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kr1 = i_leadlag(leadlag_nbr+1-i,ir);
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kr1 = i_leadlag(leadlag_nbr+1-i,ir);
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J(ir,kc) = beta^(i-max_lag-1)...
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J(ir,kc) = beta^(i-max_lead-1)...
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*reshape(lbarfH(iH(kr1,n_dyn+(1:exo_nbr))),length(kr1), ...
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*reshape(lbarfH(iH(kr1,n_dyn+(1:exo_nbr))),length(kr1), ...
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exo_nbr);
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exo_nbr);
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end
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end
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@ -152,7 +152,7 @@ function J = ramsey_dynamic(ys,lbar)
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kc1 = i_leadlag(leadlag_nbr+1-i,ic1);
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kc1 = i_leadlag(leadlag_nbr+1-i,ic1);
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ic2 = find(i_leadlag1(max_lag+i,endo_nbr+exo_nbr+(1:mult_nbr)) > 0);
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ic2 = find(i_leadlag1(max_lag+i,endo_nbr+exo_nbr+(1:mult_nbr)) > 0);
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kc2 = i_leadlag1(max_lag+i,endo_nbr+exo_nbr+ic2);
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kc2 = i_leadlag1(max_lag+i,endo_nbr+exo_nbr+ic2);
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J(ic1,kc2) = beta^(i-max_lag-1)*fJ(ic2,kc1)';
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J(ic1,kc2) = beta^(i-max_lead-1)*fJ(ic2,kc1)';
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end
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end
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% Jacobian of original equations
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% Jacobian of original equations
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@ -0,0 +1,75 @@
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function info = ramsey_policy(var_list)
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global options_ oo_ M_
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oldoptions = options_;
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options_.ramsey_policy = 1;
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options_.order = 1;
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info = stoch_simul(var_list);
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return
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if info
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return
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end
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options_.ramsey_policy = 2;
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info = stoch_simul(var_list);
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dr = oo_.dr;
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orig_model = M_.orig_model;
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endo_nbr1 = orig_model.endo_nbr;
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exo_nbr1 = M_.exo_nbr;
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npred = dr.npred;
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nspred = dr.nspred;
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inv_order_var1 = dr.inv_order_var(1:endo_nbr1);
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nstatic = dr.nstatic;
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ghx = dr.ghx;
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ghx1 = ghx(inv_order_var1,:);
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[ghx2,ghu2] = transition_matrix(dr);
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ghu = dr.ghu;
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ghu1 = ghu(inv_order_var1,:);
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ghxx = dr.ghxx;
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ghxx1 = ghxx(inv_order_var1,:);
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ghxx2 = [ghxx(nstatic+(1:npred),:); zeros(nspred-npred,size(ghxx,2))];
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ghxu = dr.ghxu;
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ghxu1 = ghxu(inv_order_var1,:);
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ghxu2 = [ghxu(nstatic+(1:npred),:); zeros(nspred-npred,size(ghxu,2))];
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ghuu = dr.ghuu;
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ghuu1 = ghuu(inv_order_var1,:);
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ghuu2 = [ghuu(nstatic+(1:npred),:); zeros(nspred-npred,size(ghuu,2))];
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ghs2 = dr.ghs2;
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ghs21 = ghs2(inv_order_var1,:);
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ghs22 = [ghs2(nstatic+(1:npred),:); zeros(nspred-npred,size(ghs2,2))];
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fname = [M_.fname '_objective_static'];
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[ubar,uj,uh] = feval(fname,dr.ys(1:endo_nbr1),zeros(exo_nbr1,1));
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bet = options_.planner_discount;
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wbar = ubar/(1-bet);
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% wx = ux*gx + bet*wx*hx
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% wx*(I-bet*hx) = ux*gx
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wx = uj*ghx1/(eye(nspred)-bet*ghx2);
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% wu = ux*gu + bet*wx*hu
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wu = uj*ghu1 + bet*wx*ghu2;
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% wxx = uxx*kron(gx,gx)+ux*ghxx + bet(wxx*kron(hx,hx) +
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% wx*hxx)
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wxx = (uh*kron(ghx1,ghx1) + uj*ghxx1 + bet*wx*ghxx2)/(eye(nspred^2)-bet*kron(ghx2,ghx2));
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wxu = uh*kron(ghx1,ghu1) + uj*ghxu1 + bet*(wx*ghxu2+wxx*kron(ghx2,ghu2));
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wuu = uh*kron(ghu1,ghu1) + uj*ghuu1 + bet*(wx*ghuu2+wxx*kron(ghu2,ghu2));
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% ws2 = ux*ghs2 + bet*(ws2+wx*hs2+wuu*Sigma_u)
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ws2 = (uj*ghs21 + bet*(wx*ghs22+wuu*M_.Sigma_e(:)))/(1-bet);
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oo_.welfare.wbar = wbar;
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oo_.welfare.wx = wx;
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oo_.welfare.wu = wu;
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oo_.welfare.wxx = wxx;
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oo_.welfare.wxu = wxu;
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oo_.welfare.wuu = wuu;
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oo_.welfare.ws2 = ws2;
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disp(' ')
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disp(' ')
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disp(['Welfare at the deterministic steady state is ' num2str(wbar+0.5* ...
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ws2)]);
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options_ = oldoptions;
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