- Added the possibility to compute annualized variables and associated decompositions out of quarterly ones, without blowing up variable definitions
- Fixed call to plot realtime conditional shock decompositiontime-shift
Marco Ratto
Stéphane Adjemian (Charybdis)
parent
bb4ecbf5a8
commit
bfe6d04bf2
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@ -0,0 +1,195 @@
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function [z, endo_names, endo_names_tex, steady_state, i_var, oo_] = annualized_shock_decomposition(oo_, M_, opts, i_var, t0, t1, realtime_, vintage_, steady_state,GYTREND0,var_type,islog)
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% function oo_ = annualized_shock_decomposition(oo_,t0,options_.nobs);
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% Computes annualized shocks contribution to a simulated trajectory. The fields set are
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% oo_.annualized_shock_decomposition, oo_.annualized_realtime_shock_decomposition,
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% oo_.annualized_realtime_conditional_shock_decomposition and oo_.annualized_realtime_forecast_shock_decomposition.
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% Subfields are arrays n_var by nshock+2 by nperiods. The
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% first nshock columns store the respective shock contributions, column n+1
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% stores the role of the initial conditions, while column n+2 stores the
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% value of the smoothed variables. Both the variables and shocks are stored
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% in the order of endo_names and M_.exo_names, respectively.
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%
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% INPUTS
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% oo_: [structure] Storage of results
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% M_: [structure] Storage of model
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% opts: [structure] options for shock decomp
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% i_var: [array] index of vars
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% t0: [integer] first period
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% t1: [integer] last period
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% realtime_: [integer]
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% vintage_: [integer]
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% steady_state: [array] steady state value of quarterly (log-) level vars
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% GYTREND0: [array] growth of level of vars
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% var_type: [integer] flag for stock/flow/deflator
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% islog: [integer] flag for log-levels
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%
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% OUTPUTS
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% z: [matrix] shock decomp to plot
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% endo_names: [char] updated var names
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% endo_names_tex: [char] updated TeX var names
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% steady_state: [array] updated stady state of vars
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% i_var: [integer array] updated var indices to plot
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% oo_: [structure] Storage of results
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%
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% SPECIAL REQUIREMENTS
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% none
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% Copyright (C) 2017 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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nvar = length(i_var);
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% usual shock decomp
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z = oo_.shock_decomposition;
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z = z(i_var,:,:);
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if var_type==2,
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gtxt = 'PHI'; % inflation rate
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gtex = '\pi';
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else
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gtxt = 'G'; % growth rate
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gtex = 'g';
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end
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steady_state=steady_state(i_var);
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% endo_names = M_.endo_names(i_var,:);
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% endo_names_tex = M_.endo_names_tex(i_var,:);
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nterms = size(z,2);
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nfrcst = opts.forecast/4;
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for j=1:nvar
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if j>1,
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endo_names = char(endo_names,[deblank(M_.endo_names(i_var(j),:)) '_A']);
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endo_names_tex = char(endo_names_tex,['{' deblank(M_.endo_names_tex(i_var(j),:)) '}^A']);
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gendo_names = char(gendo_names,[gtxt endo_names(j,:)]);
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gendo_names_tex = char(gendo_names_tex,[gtex '(' deblank(endo_names_tex(j,:)) ')']);
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else
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endo_names = [deblank(M_.endo_names(i_var(j),:)) '_A'];
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endo_names_tex = ['{' deblank(M_.endo_names_tex(i_var(j),:)) '}^A'];
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gendo_names = [gtxt endo_names(j,:)];
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gendo_names_tex = [gtex '(' deblank(endo_names_tex(j,:)) ')'];
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end
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for k =1:nterms,
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[za(j,k,:), steady_state_a(j,1), gza(j,k,:), steady_state_ga(j,1)] = ...
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quarterly2annual(squeeze(z(j,k,t0:end)),steady_state(j),GYTREND0,var_type,islog);
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end
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ztmp=squeeze(za(j,:,:));
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zscale = sum(ztmp(1:end-1,:))./ztmp(end,:);
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ztmp(1:end-1,:) = ztmp(1:end-1,:)./repmat(zscale,[nterms-1,1]);
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gztmp=squeeze(gza(j,:,:));
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gscale = sum(gztmp(1:end-1,:))./ gztmp(end,:);
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gztmp(1:end-1,:) = gztmp(1:end-1,:)./repmat(gscale,[nterms-1,1]);
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za(j,:,:) = ztmp;
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gza(j,:,:) = gztmp;
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end
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z=cat(1,za,gza);
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oo_.annualized_shock_decomposition=z;
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endo_names = char(endo_names,gendo_names);
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endo_names_tex = char(endo_names_tex,gendo_names_tex);
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% realtime
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init=1;
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for i=t0:4:t1,
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yr=floor(i/4);
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za=[];
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gza=[];
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z = oo_.realtime_shock_decomposition.(['time_' int2str(i)]);
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z = z(i_var,:,:);
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for j=1:nvar
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for k =nterms:-1:1,
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% if k<nterms
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% ztmp = squeeze(sum(z(j,[1:k-1,k+1:end-1],t0-4:end)));
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% else
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ztmp = squeeze(z(j,k,t0-4:end));
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% end
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[za(j,k,:), steady_state_a(j,1), gza(j,k,:), steady_state_ga(j,1)] = ...
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quarterly2annual(ztmp,steady_state(j),GYTREND0,var_type,islog);
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% if k<nterms
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% za(j,k,:) = za(j,end,:) - za(j,k,:);
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% gza(j,k,:) = gza(j,end,:) - gza(j,k,:);
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% end
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end
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ztmp=squeeze(za(j,:,:));
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gztmp=squeeze(gza(j,:,:));
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ztmp=squeeze(za(j,:,:));
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zscale = sum(ztmp(1:end-1,:))./ztmp(end,:);
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ztmp(1:end-1,:) = ztmp(1:end-1,:)./repmat(zscale,[nterms-1,1]);
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gztmp=squeeze(gza(j,:,:));
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gscale = sum(gztmp(1:end-1,:))./ gztmp(end,:);
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gztmp(1:end-1,:) = gztmp(1:end-1,:)./repmat(gscale,[nterms-1,1]);
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za(j,:,:) = ztmp;
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gza(j,:,:) = gztmp;
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end
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z=cat(1,za,gza);
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steady_state = [steady_state_a;steady_state_ga];
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if init==1,
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oo_.annualized_realtime_shock_decomposition.pool = z;
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else
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oo_.annualized_realtime_shock_decomposition.pool(:,:,yr) = z(:,:,end-nfrcst);
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end
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oo_.annualized_realtime_shock_decomposition.(['yr_' int2str(yr)]) = z;
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if opts.forecast
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oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(yr)]) = z(:,:,end-nfrcst:end);
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if init>nfrcst
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oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-nfrcst)]) = ...
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oo_.annualized_realtime_shock_decomposition.pool(:,:,yr-nfrcst:end) - ...
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oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(yr-nfrcst)]);
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oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-nfrcst)])(:,end-1,:) = ...
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oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(yr-nfrcst)])(:,end,:);
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end
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end
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% ztmp=oo_.realtime_shock_decomposition.pool(:,:,21:29)-oo_.realtime_forecast_shock_decomposition.time_21;
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init=init+1;
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end
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i_var=1:2*nvar;
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steady_state = [steady_state_a;steady_state_ga];
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switch realtime_
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case 0
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z = oo_.annualized_shock_decomposition;
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case 1 % realtime
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if vintage_
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z = oo_.annualized_realtime_shock_decomposition.(['yr_' int2str(floor(vintage_/4))]);
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else
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z = oo_.annualized_realtime_shock_decomposition.pool;
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end
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case 2 % conditional
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if vintage_
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z = oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(floor(vintage_/4))]);
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else
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error();
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end
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case 3 % forecast
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if vintage_
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z = oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(floor(vintage_/4))]);
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else
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error()
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end
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end
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@ -67,6 +67,12 @@ end
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write_xls = options_.shock_decomp.write_xls;
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initial_date = options_.initial_date;
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if isfield(options_.shock_decomp,'q2a'), % private trap for aoa calls
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q2a=options_.shock_decomp.q2a;
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else
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q2a=0;
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end
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switch realtime_
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@ -85,7 +91,7 @@ switch realtime_
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case 2 % conditional
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if vintage_
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z = oo_.conditional_shock_decomposition.(['time_' int2str(vintage_)]);
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z = oo_.realtime_conditional_shock_decomposition.(['time_' int2str(vintage_)]);
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initial_date = options_.initial_date+vintage_-1;
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fig_names1=[fig_names ' ' int2str(forecast_) '-step ahead conditional forecast (given ' char(initial_date) ')'];
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else
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@ -170,14 +176,47 @@ switch type
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case 'aoa'
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if isempty(initial_date),
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initial_date = dates('1Y');
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t0=4;
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initial_date = dates('1Y');
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else
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initial_date0 = dates([int2str(initial_date.time(1)) 'Y']);
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if initial_date.time(2)==1,
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t0=4;
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else
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t0=4+(4-initial_date.time(2)+1);
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initial_date1=initial_date0+1;
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end
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end
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if q2a
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var_type=1;
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islog=0;
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GYTREND0 = 0;
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if isfield(options_.shock_decomp,'var_type'), % private trap for aoa calls
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var_type=options_.shock_decomp.var_type;
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end
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if isfield(options_.shock_decomp,'islog'), % private trap for aoa calls
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islog=options_.shock_decomp.islog;
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end
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if isfield(options_.shock_decomp,'GYTREND0'), % private trap for aoa calls
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GYTREND0=options_.shock_decomp.GYTREND0;
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end
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[za, endo_names, endo_names_tex, steady_state, i_var, oo_] = ...
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annualized_shock_decomposition(oo_,M_, options_.shock_decomp, i_var, t0, options_.nobs, realtime_, vintage_, steady_state,GYTREND0,var_type,islog);
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if realtime_<2
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initial_date = initial_date1;
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else
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initial_date = initial_date0;
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end
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z = za;
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M_.endo_names = endo_names;
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M_.endo_names_tex = endo_names_tex;
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else
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t0=4-initial_date.time(2)+1;
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initial_date = dates([int2str(initial_date.time(1)) 'Y']);
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initial_date = initial_date0;
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z=z(:,:,t0:4:end);
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end
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z=z(:,:,t0:4:end);
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otherwise
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error('plot_shock_decomposition:: Wrong type')
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@ -0,0 +1,32 @@
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function xlag = lagged(x, n);
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% xlag = lagged(x, n);
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% applies n-lags backward shift operator to x
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%
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% INPUTS
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% x = time series
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% n = number of backward shifts [DEFAULT=1]
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%
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% OUTPUT
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% xlag = backward shifted series
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% Copyright (C) 2017 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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if nargin==1, n=1; end
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x=x(:);
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xlag=[NaN(n,1); x(1:end-n)];
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@ -0,0 +1,79 @@
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function [ya, yass, gya, gyass] = quarterly2annual(y,yss,GYTREND0,type,islog)
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% function [ya, yass, gya, gyass] = quarterly2annual(y,yss,GYTREND0,type,islog)
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% transforms quarterly (log-)level time series to annual level and growth rate
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% it accounts for stock/flow/deflator series.
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%
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% INPUTS
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% y quarterly time series
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% yss steady state of y
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% GYTREND0 growth rate of y
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% type 1 flow (default)
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% 2 deflator
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% 0 stock
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% islog 0 level (default)
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% 1 log-level
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%
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% OUTPUTS
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% ya annual (log-)level
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% yass annual steadystate (log-)level
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% gya annual growth rate
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% gyass annual growth rate steadystate
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% Copyright (C) 2017 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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if nargin ==0,
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disp('[ya, yass, gya, gyass] = quarterly2annual(y,yss,GYTREND0,type,islog);')
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return
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end
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if nargin<4 || isempty(type),
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type=1;
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end
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if nargin<5 || isempty(islog),
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islog=0;
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end
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if islog
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y=exp(y+yss);
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yss=exp(yss);
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y=y-yss;
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end
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switch type
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case 1
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yass = yss*(exp(-GYTREND0*3)+exp(-GYTREND0*2)+exp(-GYTREND0)+1);
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tmp = lagged(y,3)*exp(-GYTREND0*3)+lagged(y,2)*exp(-GYTREND0*2)+lagged(y,1)*exp(-GYTREND0)+y; % annualized level
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case 2
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yass = yss*(exp(-GYTREND0*3)+exp(-GYTREND0*2)+exp(-GYTREND0)+1)/4;
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tmp = (lagged(y,3)*exp(-GYTREND0*3)+lagged(y,2)*exp(-GYTREND0*2)+lagged(y,1)*exp(-GYTREND0)+y)/4; % annualized level
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case 3
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yass=yss;
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tmp = y;
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otherwise
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error('Wrong type input')
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end
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ya = tmp(4:4:end);
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% annual growth rate
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gyass = GYTREND0*4;
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gya = (ya+yass)./(lagged(ya,1)+yass).*exp(4*GYTREND0)-1-gyass;
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if islog
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ya=log(ya+yass);
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yass=log(yass);
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ya=ya-yass;
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end
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