216 lines
6.9 KiB
Matlab
216 lines
6.9 KiB
Matlab
function run(json)
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% function varargout = run(json)
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% Read JSON and run perfect foresight solver. Potentially return output as
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% JSON
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%
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% INPUTS
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% json [string] JSON string representing options to run perfect
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% foresight solver
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%
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% OUTPUTS
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% none
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%
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% SPECIAL REQUIREMENTS
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% none
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% Copyright © 2019 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 <https://www.gnu.org/licenses/>.
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global M_ options_ oo_ ys0_ ex0_
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%% Check Inputs
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if nargin ~= 1 || ~ischar(json)
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error('function takes one string input argument')
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end
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if nargout > 1
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error('function provides up to one output argument')
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end
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%% Read JSON
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jm = loadjson_(json, 'SimplifyCell', 1);
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%% INITVAL instructions
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% initialize exogenous shocks to zero and compute initial steady state
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options_.initval_file = 0;
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oo_.steady_state(:, 1) = 0;
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for i = 1:length(jm.initval_endo)
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oo_.steady_state(jm.initval_endo(i).id) = jm.initval_endo(i).value;
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end
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oo_.exo_steady_state(:, 1) = 0;
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for i = 1:length(jm.initval_exo)
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oo_.exo_steady_state(jm.initval_exo(i).id) = jm.initval_exo(i).value;
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end
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if M_.exo_nbr > 0
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oo_.exo_simul = ones(M_.maximum_lag,1)*oo_.exo_steady_state';
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end
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if M_.exo_det_nbr > 0
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oo_.exo_det_simul = ones(M_.maximum_lag,1)*oo_.exo_det_steady_state';
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end
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%% ENDVAL instructions
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% initialize exogenous shocks to zero and compute final ss unless there is a permanent shock
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ys0_ = [];
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ex0_ = [];
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M_.det_shocks = [];
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if ~isempty(jm.anticipated_permanent_shocks) || ~isempty(jm.endval_endo)
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ys0_= oo_.steady_state;
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ex0_ = oo_.exo_steady_state;
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for i = 1:length(jm.endval_endo)
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oo_.steady_state(jm.endval_endo(i).id) = jm.endval_endo(i).value;
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end
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for i = 1:length(jm.anticipated_permanent_shocks)
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s = jm.anticipated_permanent_shocks(i);
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oo_.exo_steady_state(s.exo_id) = s.value;
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if s.start_date > 1
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% if the permanent shock does not start at the initial period
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% add a shocks block to mask the unnecessary periods
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M_.det_shocks = [ ...
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M_.det_shocks; ...
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struct(...
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'exo_det', 0, ...
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'exo_id', s.exo_id, ...
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'multiplicative', 0, ...
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'periods', 1:s.start_date, ...
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'value', 0)];
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end
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end
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end
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%% SHOCKS instructions (for anticipated transitory shocks)
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if ~isempty(jm.anticipated_transitory_shocks)
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for i = 1:length(jm.anticipated_transitory_shocks)
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s = jm.anticipated_transitory_shocks(i);
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M_.det_shocks = [ ...
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M_.det_shocks; ...
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struct('exo_det', 0, ...
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'exo_id', s.exo_id, ...
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'multiplicative', 0, ...
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'periods', s.start_date:s.end_date, ...
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'value', s.value)];
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end
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M_.exo_det_length = 0;
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end
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%% Make unanticipated shock map
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unanticipated_p_shocks = containers.Map('KeyType', 'int32', 'ValueType', 'any');
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for i = 1:length(jm.unanticipated_permanent_shocks)
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s = jm.unanticipated_permanent_shocks(i);
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if isempty(s.anticipated_date)
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unanticipated_p_shocks(s.start_date) = s;
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else
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if s.anticipated_date > s.start_date
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error('The expected date cannot be greater than the shock start date')
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end
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unanticipated_p_shocks(s.anticipated_date) = s;
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end
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end
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unanticipated_t_shocks = containers.Map('KeyType', 'int32', 'ValueType', 'any');
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for i = 1:length(jm.unanticipated_transitory_shocks)
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s = jm.unanticipated_transitory_shocks(i);
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if isempty(s.anticipated_date)
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for j = s.start_date:s.end_date
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ts = s;
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ts.start_date = j;
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ts.end_date = j;
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unanticipated_t_shocks(j) = ts;
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end
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else
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if s.anticipated_date > s.start_date
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error('The expected date cannot be greater than the shock start date')
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end
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unanticipated_t_shocks(s.anticipated_date) = s;
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end
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end
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mapkeys = unique(cell2mat([keys(unanticipated_p_shocks) keys(unanticipated_t_shocks)]));
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%% Simulation
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options_.periods = jm.periods;
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perfect_foresight_setup;
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% no surprise shocks present
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if isempty(mapkeys)
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perfect_foresight_solver;
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return
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end
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% surprise shocks present
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% in case there are unanticipated shocks...
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if isempty(ys0_)
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yy = oo_.steady_state;
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else
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yy = ys0_;
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end
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if mapkeys(1) ~= 1
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% if first unanticipated shock is not in period 1
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% simulate until first unanticipated shock and save
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perfect_foresight_solver;
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yy = [yy oo_.endo_simul(:, 2:mapkeys(1)+1)];
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end
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last_period = 1;
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length(oo_.exo_simul)
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oo_exo_simul_rows = options_.periods + 2;
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for i = 1:length(mapkeys)
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this_period = mapkeys(i);
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if i ~= length(mapkeys)
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next_period = mapkeys(i+1);
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else
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next_period = -1;
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end
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if mapkeys(i) ~= 1
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% shift shock path
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nperiods = this_period - last_period;
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oo_.exo_simul = [oo_.exo_simul(nperiods+1:end, :); repmat(oo_.exo_steady_state, nperiods, 1)];
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end
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if isKey(unanticipated_p_shocks, mapkeys(i))
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s = unanticipated_p_shocks(mapkeys(i));
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if isempty(s.anticipated_date) || s.start_date == s.anticipated_date
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oo_.exo_steady_state(s.exo_id) = s.value;
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oo_.exo_simul(2:end, :) = repmat(oo_.exo_steady_state, oo_exo_simul_rows-1, 1);
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else
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date_offset = s.start_date - s.anticipated_date;
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oo_.exo_steady_state(s.exo_id) = s.value;
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oo_.exo_simul(date_offset+1:end, :) = repmat(oo_.exo_steady_state, oo_exo_simul_rows-date_offset-1, 1);
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end
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end
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if isKey(unanticipated_t_shocks, mapkeys(i))
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s = unanticipated_t_shocks(mapkeys(i));
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if isempty(s.anticipated_date) || s.start_date == s.anticipated_date
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oo_.exo_simul(2, s.exo_id) = s.value;
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else
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date_offset = s.start_date - s.anticipated_date;
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oo_.exo_simul(date_offset+1:s.end_date-s.start_date+1+date_offset, s.exo_id) = s.value;
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end
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end
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last_period = this_period;
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assert(rows(oo_.exo_simul) == oo_exo_simul_rows, 'error encountered setting oo_.exo_simul');
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oo_.endo_simul(:, 1) = yy(:, end);
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perfect_foresight_solver;
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if next_period > 0
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yy = [yy oo_.endo_simul(:, 2:next_period-this_period+1)];
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else
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assert(i == length(mapkeys), 'should not arrive here');
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yy = [yy oo_.endo_simul(:, 2:end)];
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end
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end
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oo_.endo_simul = yy;
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end
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