diff --git a/cepremap.png b/cepremap.png deleted file mode 100644 index 8ebab7d0e264a9e0585d1d8f7486b4c648b63bb5..0000000000000000000000000000000000000000 Binary files a/cepremap.png and /dev/null differ diff --git a/deterministic.pdf b/deterministic.pdf index cce0e71cd50110834e23f1c584d30c6be935814c..6daccbf40c9b2fcb538a88346231e9fd5d46e2e4 100644 Binary files a/deterministic.pdf and b/deterministic.pdf differ diff --git a/deterministic.tex b/deterministic.tex index 5269ab69ef1145f4d9fc9f9a06caceb246080fef..88d08f955ce0a97283a2650469753a0ee0385c92 100644 --- a/deterministic.tex +++ b/deterministic.tex @@ -15,9 +15,9 @@ \title{Deterministic Models} \subtitle{Perfect foresight, nonlinearities and occasionally binding constraints} \author{Sébastien Villemot} -\pgfdeclareimage[height=0.6cm]{logo}{cepremap} -\institute[CEPREMAP]{\pgfuseimage{logo}} -\date{June 3, 2022} +\pgfdeclareimage[height=0.8cm]{logo}{dynarelogo} +\institute[Dynare Team]{\pgfuseimage{logo}} +\date{23 May 2023} \AtBeginSection[] { @@ -519,7 +519,8 @@ $$d_T = (B_T-A_TD_{T-1})^{-1}(f(y_{T+1},y_T,y_{T-1},u_T)+A_Td_{T-1})$$ \item This technique is memory efficient (was the default method in Dynare $\leq$ 4.2 for this reason) \item Still available as option \texttt{stack\_solve\_algo=6} of - \texttt{perfect\_foresight\_solver} command + \texttt{perfect\_foresight\_solver} command (or + \texttt{stack\_solve\_algo=1} in Dynare 6) \end{itemize} \end{frame} @@ -890,8 +891,6 @@ end; \item[\texttt{shocks}] for shocks along the simulation path \item[\texttt{perfect\_foresight\_setup}] prepare the simulation \item[\texttt{perfect\_foresight\_solver}] compute the simulation - \item[\texttt{simul}] do both operations at the same time (deprecated syntax, alias for - \texttt{perfect\_foresight\_setup} + \texttt{perfect\_foresight\_solver}) \end{description} \end{frame} @@ -1091,6 +1090,53 @@ perfect_foresight_solver(lmmcp, maxit=200); \end{block} \end{frame} +\begin{frame}[fragile] + \frametitle{OccBin (1/2)} + \begin{itemize} + \item Piecewise linear approach of Guerrieri and Iacoviello (JME, 2015) + \item Under certainty equivalence; but quite fast, works on large models + \item Relies on a solution under perturbation and not a deterministic solver, + hence nonlinearities other than regime change are not taken into account + \end{itemize} + + \begin{block}{Example} +\begin{verbatim} +model; + [name='Notional rate Taylor rule'] + i_not=rho*i_not(-1)+rho*(phi_pi*pie+phi_y*y)+zeps_i; + [name='Observed interest rate', relax='zlb'] + i = i_not; + [name='Observed interest rate', bind='zlb'] + i = i_elb; +… +end; +\end{verbatim} + \end{block} +\end{frame} + +\begin{frame}[fragile] + \frametitle{OccBin (2/2)} + + \begin{block}{Example (cont’d)} +\begin{verbatim} +occbin_constraints; + name 'zlb'; bind i_not <= i_elb; +end; + +shocks(surprise); + var zeps_i; + periods 1 2; + values -0.01 -0.02; +end; + +occbin_setup; +occbin_solver(simul_periods=20, simul_check_ahead_periods=50); +occbin_graph y i i_not pie; +\end{verbatim} + \end{block} +\end{frame} + + \section{More unexpected shocks} \begin{frame} @@ -1256,7 +1302,7 @@ Note: \end{enumerate} \item Implemented under the command \texttt{extended\_path} (with option - \texttt{order = 0}, which is the default) + \texttt{order=0}, which is the default) \item Option \texttt{periods} controls $T$ \item Option \texttt{solver\_periods} controls $H$ (defaults to 200) \end{itemize} @@ -1383,7 +1429,7 @@ plot(oo_.endo_simul(ic, 1:21)); \item Number of shocks \end{itemize} \item In practice, only feasible for small $k$ and small number of shocks - \item SEP triggered with option \texttt{order = k} of \texttt{extended\_path} + \item SEP triggered with option \texttt{order=k} of \texttt{extended\_path} command \item NB: currently no interface for controlling the number of nodes for the Gauss-Hermite quadrature. The number of nodes has to be directly set in the @@ -1535,8 +1581,10 @@ plot(oo_.endo_simul(ic, 1:21)); \begin{frame} \begin{center} - \vfill {\LARGE Thanks for your attention!} \vfill - {\LARGE Questions?} + \vfill {\LARGE Thanks for your attention! \\ + Questions?} + \vfill + {\LARGE My email: \texttt{sebastien@dynare.org}} \vfill \end{center} \vfill @@ -1547,7 +1595,7 @@ plot(oo_.endo_simul(ic, 1:21)); \ccbysa \column{0.71\textwidth} \tiny - Copyright © 2015-2022 Dynare Team \\ + Copyright © 2015-2023 Dynare Team \\ License: \href{http://creativecommons.org/licenses/by-sa/4.0/}{Creative Commons Attribution-ShareAlike 4.0} \end{columns} diff --git a/dynarelogo.png b/dynarelogo.png new file mode 100644 index 0000000000000000000000000000000000000000..4e0f2a6a31a5cb0ed83d94741c2cba255868a4bb Binary files /dev/null and b/dynarelogo.png differ