Commit bfe6d04b authored by Marco Ratto's avatar Marco Ratto Committed by Stéphane Adjemian
Browse files

- Added the possibility to compute annualized variables and associated...

- Added the possibility to compute annualized variables and associated decompositions out of quarterly ones, without blowing up variable definitions
- Fixed call to plot realtime conditional shock decomposition
parent bb4ecbf5
function [z, endo_names, endo_names_tex, steady_state, i_var, oo_] = annualized_shock_decomposition(oo_, M_, opts, i_var, t0, t1, realtime_, vintage_, steady_state,GYTREND0,var_type,islog)
% 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
% GYTREND0: [array] growth of level of vars
% var_type: [integer] flag for stock/flow/deflator
% islog: [integer] flag for log-levels
%
% 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) 2017 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/>.
nvar = length(i_var);
% usual shock decomp
z = oo_.shock_decomposition;
z = z(i_var,:,:);
if var_type==2,
gtxt = 'PHI'; % inflation rate
gtex = '\pi';
else
gtxt = 'G'; % growth rate
gtex = 'g';
end
steady_state=steady_state(i_var);
% endo_names = M_.endo_names(i_var,:);
% endo_names_tex = M_.endo_names_tex(i_var,:);
nterms = size(z,2);
nfrcst = opts.forecast/4;
for j=1:nvar
if j>1,
endo_names = char(endo_names,[deblank(M_.endo_names(i_var(j),:)) '_A']);
endo_names_tex = char(endo_names_tex,['{' deblank(M_.endo_names_tex(i_var(j),:)) '}^A']);
gendo_names = char(gendo_names,[gtxt endo_names(j,:)]);
gendo_names_tex = char(gendo_names_tex,[gtex '(' deblank(endo_names_tex(j,:)) ')']);
else
endo_names = [deblank(M_.endo_names(i_var(j),:)) '_A'];
endo_names_tex = ['{' deblank(M_.endo_names_tex(i_var(j),:)) '}^A'];
gendo_names = [gtxt endo_names(j,:)];
gendo_names_tex = [gtex '(' deblank(endo_names_tex(j,:)) ')'];
end
for k =1:nterms,
[za(j,k,:), steady_state_a(j,1), gza(j,k,:), steady_state_ga(j,1)] = ...
quarterly2annual(squeeze(z(j,k,t0:end)),steady_state(j),GYTREND0,var_type,islog);
end
ztmp=squeeze(za(j,:,:));
zscale = sum(ztmp(1:end-1,:))./ztmp(end,:);
ztmp(1:end-1,:) = ztmp(1:end-1,:)./repmat(zscale,[nterms-1,1]);
gztmp=squeeze(gza(j,:,:));
gscale = sum(gztmp(1:end-1,:))./ gztmp(end,:);
gztmp(1:end-1,:) = gztmp(1:end-1,:)./repmat(gscale,[nterms-1,1]);
za(j,:,:) = ztmp;
gza(j,:,:) = gztmp;
end
z=cat(1,za,gza);
oo_.annualized_shock_decomposition=z;
endo_names = char(endo_names,gendo_names);
endo_names_tex = char(endo_names_tex,gendo_names_tex);
% realtime
init=1;
for i=t0:4:t1,
yr=floor(i/4);
za=[];
gza=[];
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,t0-4: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);
% 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,:,:));
gztmp=squeeze(gza(j,:,:));
ztmp=squeeze(za(j,:,:));
zscale = sum(ztmp(1:end-1,:))./ztmp(end,:);
ztmp(1:end-1,:) = ztmp(1:end-1,:)./repmat(zscale,[nterms-1,1]);
gztmp=squeeze(gza(j,:,:));
gscale = sum(gztmp(1:end-1,:))./ gztmp(end,:);
gztmp(1:end-1,:) = gztmp(1:end-1,:)./repmat(gscale,[nterms-1,1]);
za(j,:,:) = ztmp;
gza(j,:,:) = gztmp;
end
z=cat(1,za,gza);
steady_state = [steady_state_a;steady_state_ga];
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)]);
oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-nfrcst)])(:,end-1,:) = ...
oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(yr-nfrcst)])(:,end,:);
end
end
% ztmp=oo_.realtime_shock_decomposition.pool(:,:,21:29)-oo_.realtime_forecast_shock_decomposition.time_21;
init=init+1;
end
i_var=1:2*nvar;
steady_state = [steady_state_a;steady_state_ga];
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
......@@ -67,6 +67,12 @@ end
write_xls = options_.shock_decomp.write_xls;
initial_date = options_.initial_date;
if isfield(options_.shock_decomp,'q2a'), % private trap for aoa calls
q2a=options_.shock_decomp.q2a;
else
q2a=0;
end
switch realtime_
......@@ -85,7 +91,7 @@ switch realtime_
case 2 % conditional
if vintage_
z = oo_.conditional_shock_decomposition.(['time_' int2str(vintage_)]);
z = oo_.realtime_conditional_shock_decomposition.(['time_' int2str(vintage_)]);
initial_date = options_.initial_date+vintage_-1;
fig_names1=[fig_names ' ' int2str(forecast_) '-step ahead conditional forecast (given ' char(initial_date) ')'];
else
......@@ -170,14 +176,47 @@ switch type
case 'aoa'
if isempty(initial_date),
initial_date = dates('1Y');
t0=4;
initial_date = dates('1Y');
else
initial_date0 = dates([int2str(initial_date.time(1)) 'Y']);
if initial_date.time(2)==1,
t0=4;
else
t0=4+(4-initial_date.time(2)+1);
initial_date1=initial_date0+1;
end
end
if q2a
var_type=1;
islog=0;
GYTREND0 = 0;
if isfield(options_.shock_decomp,'var_type'), % private trap for aoa calls
var_type=options_.shock_decomp.var_type;
end
if isfield(options_.shock_decomp,'islog'), % private trap for aoa calls
islog=options_.shock_decomp.islog;
end
if isfield(options_.shock_decomp,'GYTREND0'), % private trap for aoa calls
GYTREND0=options_.shock_decomp.GYTREND0;
end
[za, endo_names, endo_names_tex, steady_state, i_var, oo_] = ...
annualized_shock_decomposition(oo_,M_, options_.shock_decomp, i_var, t0, options_.nobs, realtime_, vintage_, steady_state,GYTREND0,var_type,islog);
if realtime_<2
initial_date = initial_date1;
else
initial_date = initial_date0;
end
z = za;
M_.endo_names = endo_names;
M_.endo_names_tex = endo_names_tex;
else
t0=4-initial_date.time(2)+1;
initial_date = dates([int2str(initial_date.time(1)) 'Y']);
initial_date = initial_date0;
z=z(:,:,t0:4:end);
end
z=z(:,:,t0:4:end);
otherwise
error('plot_shock_decomposition:: Wrong type')
......
function xlag = lagged(x, n);
% xlag = lagged(x, n);
% applies n-lags backward shift operator to x
%
% INPUTS
% x = time series
% n = number of backward shifts [DEFAULT=1]
%
% OUTPUT
% xlag = backward shifted series
% Copyright (C) 2017 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/>.
if nargin==1, n=1; end
x=x(:);
xlag=[NaN(n,1); x(1:end-n)];
function [ya, yass, gya, gyass] = quarterly2annual(y,yss,GYTREND0,type,islog)
% function [ya, yass, gya, gyass] = quarterly2annual(y,yss,GYTREND0,type,islog)
% transforms quarterly (log-)level time series to annual level and growth rate
% it accounts for stock/flow/deflator series.
%
% INPUTS
% y quarterly time series
% yss steady state of y
% GYTREND0 growth rate of y
% type 1 flow (default)
% 2 deflator
% 0 stock
% islog 0 level (default)
% 1 log-level
%
% OUTPUTS
% ya annual (log-)level
% yass annual steadystate (log-)level
% gya annual growth rate
% gyass annual growth rate steadystate
% Copyright (C) 2017 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/>.
if nargin ==0,
disp('[ya, yass, gya, gyass] = quarterly2annual(y,yss,GYTREND0,type,islog);')
return
end
if nargin<4 || isempty(type),
type=1;
end
if nargin<5 || isempty(islog),
islog=0;
end
if islog
y=exp(y+yss);
yss=exp(yss);
y=y-yss;
end
switch type
case 1
yass = yss*(exp(-GYTREND0*3)+exp(-GYTREND0*2)+exp(-GYTREND0)+1);
tmp = lagged(y,3)*exp(-GYTREND0*3)+lagged(y,2)*exp(-GYTREND0*2)+lagged(y,1)*exp(-GYTREND0)+y; % annualized level
case 2
yass = yss*(exp(-GYTREND0*3)+exp(-GYTREND0*2)+exp(-GYTREND0)+1)/4;
tmp = (lagged(y,3)*exp(-GYTREND0*3)+lagged(y,2)*exp(-GYTREND0*2)+lagged(y,1)*exp(-GYTREND0)+y)/4; % annualized level
case 3
yass=yss;
tmp = y;
otherwise
error('Wrong type input')
end
ya = tmp(4:4:end);
% annual growth rate
gyass = GYTREND0*4;
gya = (ya+yass)./(lagged(ya,1)+yass).*exp(4*GYTREND0)-1-gyass;
if islog
ya=log(ya+yass);
yass=log(yass);
ya=ya-yass;
end
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