function [resids, rJ,mult] = dyn_ramsey_static_(x,M_,options_,oo_,it_) % function [resids, rJ,mult] = dyn_ramsey_static_(x) % Computes the static first order conditions for optimal policy % % INPUTS % x: vector of endogenous variables % % OUTPUTS % resids: residuals of non linear equations % rJ: Jacobian % mult: Lagrangian multipliers % % SPECIAL REQUIREMENTS % none % Copyright (C) 2003-2007 Dynare Team % % This file is part of Dynare. % % Dynare is free software: you can redistribute it and/or modify % it under the terms of the GNU General Public License as published by % the Free Software Foundation, either version 3 of the License, or % (at your option) any later version. % % Dynare is distributed in the hope that it will be useful, % but WITHOUT ANY WARRANTY; without even the implied warranty of % MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the % GNU General Public License for more details. % % You should have received a copy of the GNU General Public License % along with Dynare. If not, see . % recovering usefull fields endo_nbr = M_.endo_nbr; exo_nbr = M_.exo_nbr; fname = M_.fname; % inst_nbr = M_.inst_nbr; % i_endo_no_inst = M_.endogenous_variables_without_instruments; max_lead = M_.maximum_lead; max_lag = M_.maximum_lag; beta = options_.planner_discount; % indices of all endogenous variables i_endo = [1:endo_nbr]'; % indices of endogenous variable except instruments % i_inst = M_.instruments; % lead_lag incidence matrix for endogenous variables i_lag = M_.lead_lag_incidence; if options_.steadystate_flag k_inst = []; instruments = options_.instruments; for i = 1:size(instruments,1) k_inst = [k_inst; strmatch(options_.instruments(i,:), ... M_.endo_names,'exact')]; end oo_.steady_state(k_inst) = x; [x,check] = feval([M_.fname '_steadystate'],... oo_.steady_state,... [oo_.exo_steady_state; ... oo_.exo_det_steady_state]); if size(x,1) < M_.endo_nbr if length(M_.aux_vars) > 0 x = add_auxiliary_variables_to_steadystate(x,M_.aux_vars,... M_.fname,... oo_.exo_steady_state,... oo_.exo_det_steady_state,... M_.params); else error([M_.fname '_steadystate.m doesn''t match the model']); end end end % value and Jacobian of objective function ex = zeros(1,M_.exo_nbr); [U,Uy,Uyy] = feval([fname '_objective_static'],x(i_endo),ex, M_.params); Uy = Uy'; Uyy = reshape(Uyy,endo_nbr,endo_nbr); y = repmat(x(i_endo),1,max_lag+max_lead+1); % value and Jacobian of dynamic function k = find(i_lag'); it_ = 1; % [f,fJ,fH] = feval([fname '_dynamic'],y(k),ex); [f,fJ] = feval([fname '_dynamic'],y(k),[oo_.exo_simul oo_.exo_det_simul], M_.params, it_); % indices of Lagrange multipliers inst_nbr = endo_nbr - size(f,1); i_mult = [endo_nbr+1:2*endo_nbr-inst_nbr]'; % derivatives of Lagrangian with respect to endogenous variables % res1 = Uy; A = zeros(endo_nbr,endo_nbr-inst_nbr); for i=1:max_lag+max_lead+1 % select variables present in the model at a given lag [junk,k1,k2] = find(i_lag(i,:)); % res1(k1) = res1(k1) + beta^(max_lag-i+1)*fJ(:,k2)'*x(i_mult); A(k1,:) = A(k1,:) + beta^(max_lag-i+1)*fJ(:,k2)'; end % i_inst = var_index(options_.olr_inst); % k = setdiff(1:size(A,1),i_inst); % mult = -A(k,:)\Uy(k); mult = -A\Uy; % resids = [f; Uy(i_inst)+A(i_inst,:)*mult]; resids1 = Uy+A*mult; % resids = [f; sqrt(resids1'*resids1/endo_nbr)]; [q,r,e] = qr([A Uy]'); if options_.steadystate_flag resids = [r(end,(endo_nbr-inst_nbr+1:end))']; else resids = [f; r(end,(endo_nbr-inst_nbr+1:end))']; end rJ = []; return; % Jacobian of first order conditions n = nnz(i_lag)+exo_nbr; iH = reshape(1:n^2,n,n); rJ = zeros(2*endo_nbr-inst_nbr,2*endo_nbr-inst_nbr); rJ(i_endo,i_endo) = Uyy; for i=1:max_lag+max_lead+1 % select variables present in the model at a given lag [junk,k1,k2] = find(i_lag(i,:)); k3 = length(k2); rJ(k1,k1) = rJ(k1,k1) + beta^(max_lag-i+1)*reshape(fH(:,iH(k2,k2))'*x(i_mult),k3,k3); rJ(k1,i_mult) = rJ(k1,i_mult) + beta^(max_lag-1+1)*fJ(:,k2)'; rJ(i_mult,k1) = rJ(i_mult,k1) + fJ(:,k2); end % rJ = 1e-3*rJ; % rJ(209,210) = rJ(209,210)+1-1e-3;