nkpc script

test/NKPC.jl

@@ -0,0 +1,144 @@
+using MacroModelling
+using StatsPlots
+
+include("../models/Smets_Wouters_2007.jl")
+
+# include("../models/NAWM_EAUS_2008.jl")
+
+# get_solution(NAWM_EAUS_2008,verbose = true)
+
+get_solution(Smets_Wouters_2007)#, verbose = true)
+
+plot_solution(Smets_Wouters_2007, :r, 
+                variables = [:pinfobs, 
+                            # :robs, 
+                            :ygap], 
+                # verbose = true, 
+                # parameters =[:curvp => 25 , :curvw => 25], 
+                σ = 5,
+                plots_per_page = 3,
+                save_plots=true,
+                algorithm = [#:first_order, 
+                :pruned_second_order, :pruned_third_order])
+
+plot_solution(Smets_Wouters_2007, :y, 
+                variables = [:pinfobs, 
+                            # :robs, 
+                            :ygap], 
+                # verbose = true, 
+                # parameters =[:curvp => 10 , :curvw => 10], 
+                # σ = 3,
+                algorithm = [:first_order, :pruned_second_order, :pruned_third_order])
+
+
+vars = get_variables(Smets_Wouters_2007)
+states = get_state_variables(Smets_Wouters_2007)
+states|>println
+
+output_gap = [Float64[], Float64[], Float64[]]
+inflation = [Float64[], Float64[], Float64[]]
+
+n = 15
+shock_size_range = range(-5,5,n)
+
+for i in shock_size_range
+    irfs = get_irf(Smets_Wouters_2007, 
+                    shocks = :epinf,
+                    # algorithm = :pruned_second_order, 
+                    shock_size = i,
+                    # levels = false,
+                    generalised_irf = true)([:pinfobs,:ygap],:,:epinf)
+
+    push!(output_gap[1], i >= 0 ? minimum(irfs(:ygap,:,:)) : maximum(irfs(:ygap,:,:)))
+    push!(inflation[1], i < 0 ? minimum(irfs(:pinfobs,:,:)) : maximum(irfs(:pinfobs,:,:)))
+
+    irfs = get_irf(Smets_Wouters_2007, 
+                    shocks = :epinf,
+                    algorithm = :pruned_second_order, 
+                    shock_size = i,
+                    # levels = false,
+                    generalised_irf = true)([:pinfobs,:ygap],:,:epinf)
+
+    push!(output_gap[2], i >= 0 ? minimum(irfs(:ygap,:,:)) : maximum(irfs(:ygap,:,:)))
+    push!(inflation[2], i < 0 ? minimum(irfs(:pinfobs,:,:)) : maximum(irfs(:pinfobs,:,:)))
+
+
+    irfs = get_irf(Smets_Wouters_2007, 
+                    shocks = :epinf,
+                    algorithm = :pruned_third_order, 
+                    shock_size = i,
+                    # levels = false,
+                    generalised_irf = true)([:pinfobs,:ygap],:,:epinf)
+
+    push!(output_gap[3], i >= 0 ? minimum(irfs(:ygap,:,:)) : maximum(irfs(:ygap,:,:)))
+    push!(inflation[3], i < 0 ? minimum(irfs(:pinfobs,:,:)) : maximum(irfs(:pinfobs,:,:)))
+
+end
+
+p1 = plot(shock_size_range, output_gap[1] .- output_gap[1][n÷2+n%2], label = "1st order", title = "Output Gap")
+plot!(p1,shock_size_range, output_gap[2] .- output_gap[2][n÷2+n%2], label = "pruned 2nd order", title = "Output Gap")
+plot!(p1,shock_size_range, output_gap[3] .- output_gap[3][n÷2+n%2], label = "pruned 3rd order", title = "Output Gap")
+
+p2 = plot(shock_size_range, inflation[1] .- inflation[1][n÷2+n%2], label = "1st order", title = "Inflation")
+plot!(p2,shock_size_range, inflation[2] .- inflation[2][n÷2+n%2], label = "pruned 2nd order", title = "Inflation")
+plot!(p2,shock_size_range, inflation[3] .- inflation[3][n÷2+n%2], label = "pruned 3rd order", title = "Inflation")
+
+plot(p1, p2,layout = (2))
+
+savefig("cost_push_shock.png")
+
+
+
+output_gap = [Float64[], Float64[], Float64[]]
+inflation = [Float64[], Float64[], Float64[]]
+
+shock = :em
+n = 15
+shock_size_range = range(-5,5,n)
+
+for i in shock_size_range
+    irfs = get_irf(Smets_Wouters_2007, 
+                    shocks = shock,
+                    # algorithm = :pruned_second_order, 
+                    shock_size = i,
+                    # levels = false,
+                    generalised_irf = true)([:pinfobs,:ygap],:,shock)
+
+    push!(output_gap[1], i >= 0 ? minimum(irfs(:ygap,:,:)) : maximum(irfs(:ygap,:,:)))
+    push!(inflation[1], i < 0 ? minimum(irfs(:pinfobs,:,:)) : maximum(irfs(:pinfobs,:,:)))
+
+    irfs = get_irf(Smets_Wouters_2007, 
+                    shocks = shock,
+                    algorithm = :pruned_second_order, 
+                    shock_size = i,
+                    # levels = false,
+                    generalised_irf = true)([:pinfobs,:ygap],:,shock)
+
+    push!(output_gap[2], i >= 0 ? minimum(irfs(:ygap,:,:)) : maximum(irfs(:ygap,:,:)))
+    push!(inflation[2], i < 0 ? minimum(irfs(:pinfobs,:,:)) : maximum(irfs(:pinfobs,:,:)))
+
+
+    irfs = get_irf(Smets_Wouters_2007, 
+                    shocks = shock,
+                    algorithm = :pruned_third_order, 
+                    shock_size = i,
+                    # levels = false,
+                    generalised_irf = true)([:pinfobs,:ygap],:,shock)
+
+    push!(output_gap[3], i >= 0 ? minimum(irfs(:ygap,:,:)) : maximum(irfs(:ygap,:,:)))
+    push!(inflation[3], i < 0 ? minimum(irfs(:pinfobs,:,:)) : maximum(irfs(:pinfobs,:,:)))
+
+end
+
+p1 = plot(shock_size_range, output_gap[1] .- output_gap[1][n÷2+n%2], label = "1st order", title = "Output Gap")
+plot!(p1,shock_size_range, output_gap[2] .- output_gap[2][n÷2+n%2], label = "pruned 2nd order", title = "Output Gap")
+plot!(p1,shock_size_range, output_gap[3] .- output_gap[3][n÷2+n%2], label = "pruned 3rd order", title = "Output Gap")
+
+p2 = plot(shock_size_range, inflation[1] .- inflation[1][n÷2+n%2], label = "1st order", title = "Inflation")
+plot!(p2,shock_size_range, inflation[2] .- inflation[2][n÷2+n%2], label = "pruned 2nd order", title = "Inflation")
+plot!(p2,shock_size_range, inflation[3] .- inflation[3][n÷2+n%2], label = "pruned 3rd order", title = "Inflation")
+
+plot(p1, p2,layout = (2))
+
+savefig("monetary_policy_shock.png")
+