diff --git a/doc/manual/source/the-model-file.rst b/doc/manual/source/the-model-file.rst
index 4d5f88a4320fa2b0a3fe262d2a09d236e43de54a..175244e338a5210477933fb69b179562ea5b913a 100644
--- a/doc/manual/source/the-model-file.rst
+++ b/doc/manual/source/the-model-file.rst
@@ -2738,14 +2738,19 @@ blocks.
forecast;
.. block:: mshocks ;
- mshocks(overwrite);
+ mshocks (OPTIONS...);
|br| The purpose of this block is similar to that of the
``shocks`` block for deterministic shocks, except that the numeric
values given will be interpreted in a multiplicative way. For
example, if a value of ``1.05`` is given as shock value for some
- exogenous at some date, it means 5% above its steady state value
- (as given by the last ``initval`` or ``endval`` block).
+ exogenous at some date, it means 5% above its steady state value.
+
+ If no ``endval`` block is present, the steady state as specified in the
+ ``initval`` block is used as the basis for the multiplication. If an
+ ``endval`` block is present, the terminal steady state as specified in the
+ ``endval`` block will be used as the basis for the multiplication (unless
+ the ``relative_to_initval`` option is passed).
The syntax is the same as ``shocks`` in a deterministic context.
@@ -2756,7 +2761,17 @@ blocks.
* on deterministic exogenous variables with a non-zero steady
state, in a stochastic setup.
- See above for the meaning of the ``overwrite`` option.
+ *Options*
+
+ .. option:: overwrite
+
+ Same meaning as in the :bck:`shocks` block.
+
+ .. option:: relative_to_initval
+
+ If an ``endval`` block is present, the initial steady state as specified
+ in the ``initval`` block will be used as the basis for multiplication
+ (instead of the terminal steady state).
.. block:: heteroskedastic_shocks ;
heteroskedastic_shocks(overwrite);
@@ -4125,7 +4140,7 @@ and ``endval`` blocks which are given a special ``learnt_in`` option.
``endval(learnt_in=p)`` block with ``p>3``.
.. block:: mshocks(learnt_in=INTEGER) ;
- mshocks(learnt_in=INTEGER,overwrite) ;
+ mshocks(learnt_in=INTEGER,OPTIONS...) ;
|br| The ``mshocks(learnt_in=INTEGER)`` syntax can be used to specify temporary
shocks that are learnt in a specific period, specified in a multiplicative
@@ -4138,18 +4153,27 @@ and ``endval`` blocks which are given a special ``learnt_in`` option.
As in the regular :bck:`mshocks` block (without the ``learnt_in`` option),
the values are interpreted as a multiplicative factor over the steady state
- value of the exogenous variable, either the initial steady state as given
- by ``initval`` if there is no ``endval`` block, or the terminal steady
- state if there is an ``endval`` block. Note that in the latter case, it is
- the terminal steady state as anticipated from the period given in the
- ``learnt_in`` option that is used for the computation.
+ value of the exogenous variable (the latter being taken either from the
+ ``initval`` or ``endval``, see :bck:`mshocks` for the details).
- The ``overwrite`` option says that this block cancels and replaces previous
- ``shocks`` and ``mshocks`` blocks that have the same ``learnt_in`` option.
+ If the terminal steady state as specified in the ``endval`` block is used
+ as a basis for the multiplication, its value as anticipated from the period
+ given in the ``learnt_in`` option will be used.
Note that a ``mshocks(learnt_in=1)`` block is equivalent to a regular
:bck:`mshocks` block.
+ *Options*
+
+ .. option:: overwrite
+
+ This block cancels and replaces previous ``shocks`` and ``mshocks``
+ blocks that have the same ``learnt_in`` option.
+
+ .. option:: relative_to_initval
+
+ Same meaning as in the regular :bck:`mshocks` block.
+
*Example*
::
diff --git a/matlab/+gui/+perfect_foresight/run.m b/matlab/+gui/+perfect_foresight/run.m
index 58333c937994ea7b171c70db7d1d879766a6ec31..03ff8f9476baba9d36e0850cb0128d62c1ea732d 100644
--- a/matlab/+gui/+perfect_foresight/run.m
+++ b/matlab/+gui/+perfect_foresight/run.m
@@ -13,7 +13,7 @@ function run(json)
% SPECIAL REQUIREMENTS
% none
-% Copyright © 2019-2022 Dynare Team
+% Copyright © 2019-2023 Dynare Team
%
% This file is part of Dynare.
%
@@ -84,7 +84,7 @@ if ~isempty(jm.anticipated_permanent_shocks) || ~isempty(jm.endval_endo)
struct(...
'exo_det', false, ...
'exo_id', s.exo_id, ...
- 'multiplicative', false, ...
+ 'type', 'level', ...
'periods', 1:s.start_date, ...
'value', 0)];
end
@@ -99,7 +99,7 @@ if ~isempty(jm.anticipated_transitory_shocks)
M_.det_shocks; ...
struct('exo_det', false, ...
'exo_id', s.exo_id, ...
- 'multiplicative', false, ...
+ 'type', 'level', ...
'periods', s.start_date:s.end_date, ...
'value', s.value)];
end
diff --git a/matlab/evaluate_planner_objective.m b/matlab/evaluate_planner_objective.m
index 3af5f20afad0d2ad2ec140011b8f25d9641d449c..b5bb82c1315514c3b52e1863dd451d5c5aa24977 100644
--- a/matlab/evaluate_planner_objective.m
+++ b/matlab/evaluate_planner_objective.m
@@ -396,10 +396,10 @@ if ~isempty(M_.det_shocks)
'evaluate_planner_objective: Note that they will be ignored.\n'])
end
shock_indices=find(periods==1);
- if any([M_.det_shocks(shock_indices).multiplicative])
- fprintf(['\nevaluate_planner_objective: Shock values need to be specified as additive.\n'])
+ if any(cellfun(@(x) ~strcmp(x, 'level'), { M_.det_shocks(shock_indices).type }))
+ fprintf(['\nevaluate_planner_objective: Shock values need to be specified in level.\n'])
end
u([M_.det_shocks(shock_indices).exo_id])=[M_.det_shocks(shock_indices).value];
else
u = oo_.exo_simul(1,:)'; %first value of simulation series (set by simult.m if periods>0), 1 otherwise
-end
\ No newline at end of file
+end
diff --git a/matlab/perfect-foresight-models/make_ex_.m b/matlab/perfect-foresight-models/make_ex_.m
index 37ade675f41cd48edce5d88184ed42b38ab0ce8d..8533805d68f4269531b3cb1f0e0e24ff78bdd2fe 100644
--- a/matlab/perfect-foresight-models/make_ex_.m
+++ b/matlab/perfect-foresight-models/make_ex_.m
@@ -86,16 +86,25 @@ if isfield(M_, 'det_shocks')
ivar = M_.det_shocks(i).exo_id;
v = M_.det_shocks(i).value;
if ~M_.det_shocks(i).exo_det
- if ~M_.det_shocks(i).multiplicative
- oo_.exo_simul(k,ivar) = v;
- else
- oo_.exo_simul(k,ivar) = oo_.exo_steady_state(ivar) * v;
+ switch M_.det_shocks(i).type
+ case 'level'
+ oo_.exo_simul(k,ivar) = v;
+ case 'multiply_steady_state'
+ oo_.exo_simul(k,ivar) = oo_.exo_steady_state(ivar) * v;
+ case 'multiply_initial_steady_state'
+ if isempty(ex0_)
+ error('Option relative_to_initval of mshocks block cannot be used without an endval block')
+ end
+ oo_.exo_simul(k,ivar) = ex0_(ivar) * v;
end
else
- if ~M_.det_shocks(i).multiplicative
- oo_.exo_det_simul(k,ivar) = v;
- else
- oo_.exo_det_simul(k,ivar) = oo_.exo_det_steady_state(ivar) * v;
+ switch M_.det_shocks(i).type
+ case 'level'
+ oo_.exo_det_simul(k,ivar) = v;
+ case 'multiply_steady_state'
+ oo_.exo_det_simul(k,ivar) = oo_.exo_det_steady_state(ivar) * v;
+ case 'multiply_initial_steady_state'
+ error('Option relative_to_initval of mshocks block cannot be used with a deterministic exogenous variable')
end
end
end
diff --git a/matlab/perfect-foresight-models/perfect_foresight_with_expectation_errors_setup.m b/matlab/perfect-foresight-models/perfect_foresight_with_expectation_errors_setup.m
index 33c418d449f89d455d1f96e416f15529d5389adf..f7b07adc3164181b0280bc34b5cc5ab218b3ce8b 100644
--- a/matlab/perfect-foresight-models/perfect_foresight_with_expectation_errors_setup.m
+++ b/matlab/perfect-foresight-models/perfect_foresight_with_expectation_errors_setup.m
@@ -75,10 +75,16 @@ else
exo_id = M_.det_shocks(i).exo_id;
v = M_.det_shocks(i).value;
if ~M_.det_shocks(i).exo_det
- if ~M_.det_shocks(i).multiplicative
- oo_.pfwee.shocks_info(exo_id, prds, 1) = v;
- else
- oo_.pfwee.shocks_info(exo_id, prds, 1) = oo_.exo_steady_state(exo_id) * v;
+ switch M_.det_shocks(i).type
+ case 'level'
+ oo_.pfwee.shocks_info(exo_id, prds, 1) = v;
+ case 'multiply_steady_state'
+ oo_.pfwee.shocks_info(exo_id, prds, 1) = oo_.exo_steady_state(exo_id) * v;
+ case 'multiply_initial_steady_state'
+ if isempty(ex0_)
+ error('Option relative_to_initval of mshocks block cannot be used without an endval block')
+ end
+ oo_.pfwee.shocks_info(exo_id, prds, 1) = ex0_(exo_id) * v;
end
end
end
diff --git a/meson.build b/meson.build
index 27fc7fe563f3431a85b7451c13b620c733c3a342..2b05a87741c54eb3ebdb14b8636c6c4e864d334c 100644
--- a/meson.build
+++ b/meson.build
@@ -1265,6 +1265,7 @@ mod_and_m_tests = [
{ 'test' : [ 'deterministic_simulations/ramst_a.mod' ] },
{ 'test' : [ 'deterministic_simulations/ramst_mshocks.mod' ] },
{ 'test' : [ 'deterministic_simulations/ramst_mshocks_vec.mod' ] },
+ { 'test' : [ 'deterministic_simulations/ramst_mshocks_relative_to_initval.mod' ] },
{ 'test' : [ 'deterministic_simulations/predetermined_variables.mod' ] },
{ 'test' : [ 'deterministic_simulations/histval_det.mod' ] },
{ 'test' : [ 'deterministic_simulations/ramst_vec.mod' ] },
diff --git a/preprocessor b/preprocessor
index 6af84b8cac54777bc97d4bc232452f8cf9b4498c..f78c428d99884c4b336dba0a7df20c7ad41fb682 160000
--- a/preprocessor
+++ b/preprocessor
@@ -1 +1 @@
-Subproject commit 6af84b8cac54777bc97d4bc232452f8cf9b4498c
+Subproject commit f78c428d99884c4b336dba0a7df20c7ad41fb682
diff --git a/tests/deterministic_simulations/ramst_mshocks_relative_to_initval.mod b/tests/deterministic_simulations/ramst_mshocks_relative_to_initval.mod
new file mode 100644
index 0000000000000000000000000000000000000000..4cd2e939f19b67cc40a3426d6b1a2d5997750720
--- /dev/null
+++ b/tests/deterministic_simulations/ramst_mshocks_relative_to_initval.mod
@@ -0,0 +1,51 @@
+// Test “relative_to_initval” option of “mshocks” block
+
+var c k;
+varexo x;
+
+parameters alph gam delt bet aa;
+alph=0.5;
+gam=0.5;
+delt=0.02;
+bet=0.05;
+aa=0.5;
+
+
+model;
+c + k - aa*x*k(-1)^alph - (1-delt)*k(-1);
+c^(-gam) - (1+bet)^(-1)*(aa*alph*x(+1)*k^(alph-1) + 1 - delt)*c(+1)^(-gam);
+end;
+
+initval;
+x = 2;
+k = ((delt+bet)/(1.0*aa*x*alph))^(1/(alph-1));
+c = aa*x*k^alph-delt*k;
+end;
+
+steady;
+
+endval;
+ x = 3;
+end;
+
+steady;
+
+mshocks(relative_to_initval);
+ var x;
+ periods 1 2:3;
+ values 1.2 0.8;
+end;
+
+mshocks;
+ var x;
+ periods 4;
+ values 0.9;
+end;
+
+perfect_foresight_setup(periods=200);
+perfect_foresight_solver;
+
+if ~all(oo_.exo_simul(M_.maximum_lag+(1:4)) == [ 2.4; 1.6; 1.6; 2.7]) ...
+ || ~all(oo_.exo_simul(M_.maximum_lag+(5:200)) == 3)
+ error('mshocks not correctly applied')
+end