334 lines
12 KiB
Matlab
334 lines
12 KiB
Matlab
function [z, endo_names, endo_names_tex, steady_state, i_var, oo_] = annualized_shock_decomposition(oo_, M_, options_, i_var, t0, t1, realtime_, vintage_, steady_state, q2a, cumfix)
|
|
% function oo_ = annualized_shock_decomposition(oo_,t0,options_.nobs);
|
|
% Computes annualized shocks contribution to a simulated trajectory. The fields set are
|
|
% oo_.annualized_shock_decomposition, oo_.annualized_realtime_shock_decomposition,
|
|
% oo_.annualized_realtime_conditional_shock_decomposition and oo_.annualized_realtime_forecast_shock_decomposition.
|
|
% Subfields are arrays n_var by nshock+2 by nperiods. The
|
|
% first nshock columns store the respective shock contributions, column n+1
|
|
% stores the role of the initial conditions, while column n+2 stores the
|
|
% value of the smoothed variables. Both the variables and shocks are stored
|
|
% in the order of endo_names and M_.exo_names, respectively.
|
|
%
|
|
% INPUTS
|
|
% oo_: [structure] Storage of results
|
|
% M_: [structure] Storage of model
|
|
% opts: [structure] options for shock decomp
|
|
% i_var: [array] index of vars
|
|
% t0: [integer] first period
|
|
% t1: [integer] last period
|
|
% realtime_: [integer]
|
|
% vintage_: [integer]
|
|
% steady_state: [array] steady state value of quarterly (log-) level vars
|
|
% q2a: [structure] info on q2a
|
|
%
|
|
% OUTPUTS
|
|
% z: [matrix] shock decomp to plot
|
|
% endo_names: [char] updated var names
|
|
% endo_names_tex: [char] updated TeX var names
|
|
% steady_state: [array] updated stady state of vars
|
|
% i_var: [integer array] updated var indices to plot
|
|
% oo_: [structure] Storage of results
|
|
%
|
|
% SPECIAL REQUIREMENTS
|
|
% none
|
|
|
|
% Copyright (C) 2018 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 <http://www.gnu.org/licenses/>.
|
|
|
|
opts = options_.plot_shock_decomp;
|
|
nvar = length(i_var);
|
|
GYTREND0 = q2a.GYTREND0;
|
|
var_type = q2a.type;
|
|
islog = q2a.islog;
|
|
aux = q2a.aux;
|
|
aux0 = aux;
|
|
cumfix = q2a.cumfix;
|
|
% usual shock decomp
|
|
if isstruct(oo_)
|
|
% z = oo_.shock_decomposition;
|
|
myopts=options_;
|
|
myopts.plot_shock_decomp.type='qoq';
|
|
myopts.plot_shock_decomp.realtime=0;
|
|
[z, junk] = plot_shock_decomposition(M_,oo_,myopts,[]);
|
|
else
|
|
z = oo_;
|
|
end
|
|
z = z(i_var,:,:);
|
|
mytype=var_type;
|
|
if isfield(q2a,'name')
|
|
mytxt = q2a.name;
|
|
mytex = q2a.name;
|
|
if isfield(q2a,'tex_name')
|
|
mytex = q2a.tex_name;
|
|
end
|
|
if mytype==2
|
|
gtxt = ['PHI' mytxt]; % inflation rate
|
|
gtex = ['{\pi(' mytex ')}'];
|
|
elseif mytype
|
|
gtxt = ['G' mytxt]; % inflation rate
|
|
gtex = ['{g(' mytex ')}'];
|
|
end
|
|
if isfield(q2a,'gname')
|
|
gtxt = q2a.gname;
|
|
end
|
|
if isfield(q2a,'tex_gname')
|
|
gtex = q2a.tex_gname;
|
|
end
|
|
mytype=0;
|
|
end
|
|
if isstruct(aux)
|
|
if ischar(aux.y)
|
|
myopts=options_;
|
|
myopts.plot_shock_decomp.type='qoq';
|
|
myopts.plot_shock_decomp.realtime=0;
|
|
[y_aux, steady_state_aux] = plot_shock_decomposition(M_,oo_,myopts,aux.y);
|
|
aux.y=y_aux;
|
|
aux.yss=steady_state_aux;
|
|
end
|
|
yaux=aux.y;
|
|
end
|
|
if mytype==2
|
|
gtxt = 'PHI'; % inflation rate
|
|
gtex = '\pi';
|
|
elseif mytype
|
|
gtxt = 'G'; % growth rate
|
|
gtex = 'g';
|
|
end
|
|
steady_state=steady_state(i_var);
|
|
nterms = size(z,2);
|
|
nfrcst = opts.forecast/4;
|
|
|
|
for j=1:nvar
|
|
if j>1
|
|
endo_names = char(endo_names, sprintf('%s_A', M_.endo_names{i_var(j)}));
|
|
endo_names_tex = char(endo_names_tex, sprintf('{%s}^A', M_.endo_names_tex{i_var(j)}));
|
|
gendo_names = char(gendo_names,[gtxt endo_names{j}]);
|
|
gendo_names_tex = char(gendo_names_tex,[gtex '(' endo_names_tex{j} ')']);
|
|
else
|
|
if nvar==1 && ~mytype
|
|
endo_names = mytxt;
|
|
endo_names_tex = mytex;
|
|
gendo_names = gtxt;
|
|
gendo_names_tex = gtex;
|
|
else
|
|
endo_names = sprintf('%s_A', M_.endo_names{i_var(j)});
|
|
endo_names_tex = sprintf('{%s}^A', M_.endo_names_tex{i_var(j)});
|
|
gendo_names = [gtxt endo_names{j}];
|
|
gendo_names_tex = [gtex '(' endo_names_tex{j} ')'];
|
|
end
|
|
end
|
|
for k =1:nterms
|
|
if isstruct(aux)
|
|
aux.y = squeeze(yaux(j,k,min((t0-3):-4:1):end));
|
|
end
|
|
[za(j,k,:), steady_state_a(j,1), gza(j,k,:), steady_state_ga(j,1)] = ...
|
|
quarterly2annual(squeeze(z(j,k,min((t0-3):-4:1):end)),steady_state(j),GYTREND0,var_type,islog,aux);
|
|
end
|
|
ztmp=squeeze(za(j,:,:));
|
|
if cumfix==0
|
|
zscale = sum(ztmp(1:end-1,:))./ztmp(end,:);
|
|
ztmp(1:end-1,:) = ztmp(1:end-1,:)./repmat(zscale,[nterms-1,1]);
|
|
else
|
|
zres = ztmp(end,:)-sum(ztmp(1:end-1,:));
|
|
ztmp(end-1,:) = ztmp(end-1,:) + zres;
|
|
end
|
|
gztmp=squeeze(gza(j,:,:));
|
|
if cumfix==0
|
|
gscale = sum(gztmp(1:end-1,:))./ gztmp(end,:);
|
|
gztmp(1:end-1,:) = gztmp(1:end-1,:)./repmat(gscale,[nterms-1,1]);
|
|
else
|
|
gres = gztmp(end,:) - sum(gztmp(1:end-1,:));
|
|
gztmp(end-1,:) = gztmp(end-1,:)+gres;
|
|
end
|
|
za(j,:,:) = ztmp;
|
|
gza(j,:,:) = gztmp;
|
|
end
|
|
|
|
if q2a.plot ==1
|
|
z=gza;
|
|
endo_names = gendo_names;
|
|
endo_names_tex = gendo_names_tex;
|
|
elseif q2a.plot == 2
|
|
z=za;
|
|
else
|
|
z=cat(1,za,gza);
|
|
endo_names = char(endo_names,gendo_names);
|
|
endo_names_tex = char(endo_names_tex,gendo_names_tex);
|
|
end
|
|
% if isstruct(oo_)
|
|
% oo_.annualized_shock_decomposition=z;
|
|
% end
|
|
|
|
% realtime
|
|
if realtime_ && isstruct(oo_) && isfield(oo_, 'realtime_shock_decomposition')
|
|
init=1;
|
|
for i=t0:4:t1
|
|
yr=floor(i/4);
|
|
za=[];
|
|
gza=[];
|
|
myopts=options_;
|
|
myopts.plot_shock_decomp.type='qoq';
|
|
myopts.plot_shock_decomp.realtime=1;
|
|
myopts.plot_shock_decomp.vintage=i;
|
|
[z, steady_state_aux] = plot_shock_decomposition(M_,oo_,myopts,[]);
|
|
z = z(i_var,:,:);
|
|
if isstruct(aux)
|
|
if ischar(aux0.y)
|
|
[y_aux, steady_state_aux] = plot_shock_decomposition(M_,oo_,myopts,aux0.y);
|
|
aux.y=y_aux;
|
|
aux.yss=steady_state_aux;
|
|
end
|
|
yaux=aux.y;
|
|
end
|
|
nterms = size(z,2);
|
|
|
|
% z = oo_.realtime_shock_decomposition.(['time_' int2str(i)]);
|
|
% z = z(i_var,:,:);
|
|
|
|
for j=1:nvar
|
|
for k =nterms:-1:1
|
|
% if k<nterms
|
|
% ztmp = squeeze(sum(z(j,[1:k-1,k+1:end-1],t0-4:end)));
|
|
% else
|
|
ztmp = squeeze(z(j,k,min((t0-3):-4:1):end));
|
|
% end
|
|
if isstruct(aux)
|
|
aux.y = squeeze(yaux(j,k,min((t0-3):-4:1):end));
|
|
end
|
|
[za(j,k,:), steady_state_a(j,1), gza(j,k,:), steady_state_ga(j,1)] = ...
|
|
quarterly2annual(ztmp,steady_state(j),GYTREND0,var_type,islog,aux);
|
|
% if k<nterms
|
|
% za(j,k,:) = za(j,end,:) - za(j,k,:);
|
|
% gza(j,k,:) = gza(j,end,:) - gza(j,k,:);
|
|
% end
|
|
|
|
end
|
|
|
|
ztmp=squeeze(za(j,:,:));
|
|
|
|
if cumfix==0
|
|
zscale = sum(ztmp(1:end-1,:))./ztmp(end,:);
|
|
ztmp(1:end-1,:) = ztmp(1:end-1,:)./repmat(zscale,[nterms-1,1]);
|
|
else
|
|
zres = ztmp(end,:)-sum(ztmp(1:end-1,:));
|
|
ztmp(end-1,:) = ztmp(end-1,:) + zres;
|
|
end
|
|
|
|
gztmp=squeeze(gza(j,:,:));
|
|
if cumfix==0
|
|
gscale = sum(gztmp(1:end-1,:))./ gztmp(end,:);
|
|
gztmp(1:end-1,:) = gztmp(1:end-1,:)./repmat(gscale,[nterms-1,1]);
|
|
else
|
|
gres = gztmp(end,:) - sum(gztmp(1:end-1,:));
|
|
gztmp(end-1,:) = gztmp(end-1,:)+gres;
|
|
end
|
|
|
|
za(j,:,:) = ztmp;
|
|
gza(j,:,:) = gztmp;
|
|
end
|
|
|
|
if q2a.plot ==1
|
|
z=gza;
|
|
elseif q2a.plot == 2
|
|
z=za;
|
|
else
|
|
z=cat(1,za,gza);
|
|
end
|
|
|
|
if init==1
|
|
oo_.annualized_realtime_shock_decomposition.pool = z;
|
|
else
|
|
oo_.annualized_realtime_shock_decomposition.pool(:,:,yr) = z(:,:,end-nfrcst);
|
|
end
|
|
oo_.annualized_realtime_shock_decomposition.(['yr_' int2str(yr)]) = z;
|
|
|
|
if opts.forecast
|
|
oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(yr)]) = z(:,:,end-nfrcst:end);
|
|
if init>nfrcst
|
|
oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-nfrcst)]) = ...
|
|
oo_.annualized_realtime_shock_decomposition.pool(:,:,yr-nfrcst:end) - ...
|
|
oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(yr-nfrcst)]);
|
|
% fix others
|
|
oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-nfrcst)])(:,end-1,:) = ...
|
|
oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-nfrcst)])(:,end-1,:) + ...
|
|
oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(yr-nfrcst)])(:,end,:);
|
|
% fix total
|
|
oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-nfrcst)])(:,end,:) = ...
|
|
oo_.annualized_realtime_shock_decomposition.pool(:,end,yr-nfrcst:end);
|
|
if i==t1
|
|
for my_forecast_=(nfrcst-1):-1:1
|
|
oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-my_forecast_)]) = ...
|
|
oo_.annualized_realtime_shock_decomposition.pool(:,:,yr-my_forecast_:yr) - ...
|
|
oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(yr-my_forecast_)])(:,:,1:my_forecast_+1);
|
|
oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-my_forecast_)])(:,end-1,:) = ...
|
|
oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(yr-my_forecast_)])(:,end,1:my_forecast_+1);
|
|
oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-my_forecast_)])(:,end,:) = ...
|
|
oo_.annualized_realtime_shock_decomposition.pool(:,end,yr-my_forecast_:yr);
|
|
end
|
|
end
|
|
end
|
|
end
|
|
% ztmp=oo_.realtime_shock_decomposition.pool(:,:,21:29)-oo_.realtime_forecast_shock_decomposition.time_21;
|
|
|
|
|
|
|
|
init=init+1;
|
|
end
|
|
|
|
|
|
switch realtime_
|
|
|
|
case 0
|
|
z = oo_.annualized_shock_decomposition;
|
|
|
|
case 1 % realtime
|
|
if vintage_
|
|
z = oo_.annualized_realtime_shock_decomposition.(['yr_' int2str(floor(vintage_/4))]);
|
|
else
|
|
z = oo_.annualized_realtime_shock_decomposition.pool;
|
|
end
|
|
|
|
case 2 % conditional
|
|
if vintage_
|
|
z = oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(floor(vintage_/4))]);
|
|
else
|
|
error();
|
|
end
|
|
|
|
case 3 % forecast
|
|
if vintage_
|
|
z = oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(floor(vintage_/4))]);
|
|
else
|
|
error()
|
|
end
|
|
end
|
|
end
|
|
|
|
if q2a.plot ==0
|
|
i_var=1:2*nvar;
|
|
steady_state = [steady_state_a;steady_state_ga];
|
|
else
|
|
i_var=1:nvar;
|
|
if q2a.plot ==1
|
|
steady_state = steady_state_ga;
|
|
else
|
|
steady_state = steady_state_a;
|
|
end
|
|
end
|
|
|
|
endo_names = cellstr(endo_names);
|
|
endo_names_tex = cellstr(endo_names_tex); |