62 lines
2.4 KiB
Modula-2
62 lines
2.4 KiB
Modula-2
// --+ options: json=compute nostrict +--
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/* REMARK
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** ------
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**
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** You need to have the first line on top of the mod file. The options defined on this line are passed
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** to the dynare command (you can add other options, separated by spaces or commas). The option defined
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** here is mandatory for the decomposition. It forces Dynare to output another representation of the
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** model in a json file (additionaly to the matlab files) which is used here to manipulate the equation
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** of interest.
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*/
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// Declaration of the endogenous variables
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var ffr, unrate, cpi;
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// Declaration of the exogenous variables
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varexo e_ffr, e_unrate, e_cpi;
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// Declaration of the model. Note that you must associate a name to the equations. This is mandatory to
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// select the equation for which you need to perform the decomposition.
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model;
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[name='ffr']
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ffr = adl(ffr, 'p_ffr_ffr', [1:3]) + adl(unrate, 'p_ffr_unrate', 1) + adl(cpi, 'p_ffr_cpi', [4]);
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[name='unrate']
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unrate = adl(unrate, 'p_ffr_unrate', [4 2 5]) + adl(cpi, 'p_unrate_cpi', 6);
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[name='cpi']
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cpi = adl(ffr, 'p_cpi_ffr', 2) + adl(cpi, 'p_cpi_cpi', [2]);
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end;
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// Implicit parameters associated to the adl command must be calibrated after the model block.
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p_ffr_ffr_lag_1 = 1;
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p_ffr_ffr_lag_2 = p_ffr_ffr_lag_1*.5;
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p_ffr_ffr_lag_3 = p_ffr_ffr_lag_2*.5;
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p_ffr_unrate_lag_1 = 2;
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p_ffr_cpi_lag_4 = 3;
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// Actual paths for the variables. You migth instead do a stochastic simulation of the model
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// to define these paths.
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ds1 = dseries(randn(30, 3), 1990Q1, {'ffr', 'unrate', 'cpi'});
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// Baseline paths for the variables.
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ds0 = dseries(zeros(30, 3), 1990Q1, {'ffr', 'unrate', 'cpi'});
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/* Trigger the decomposition in levels of an equation
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**
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** - First argument (ffr) is the name of the equation to be decomposed.
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** - Second argument (ds1) is a dseries object containing the actual paths of the endogenous and exogenous variables.
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** - Third argument (ds0) is a dseries object containing the baseline paths of the endogenous and exogenous variables.
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**
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** If there is no error (missing variables, undefined equations, ...) a figure will pop up with displaying the
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** contributions of the variables appearing on the right hand side of equation `ffr`. Note that the overall contribution
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** of each variable (at all lags) is reported. If you want to decompose these aggregates, you need to rewrite the
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** model as shown in the other mod file in the same folder (contrib2.mod).
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*/
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plot_contributions ffr ds1 ds0 ;
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