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Automatic Solution and Log Linearisation of DSGE Models

by Tom Holden

 

06 Jun 2011 (Updated 01 Dec 2011)

Code to analytically log linearise DSGE models in Matlab. Requires the symbolic toolbox.

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Description

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PURPOSE: Performs log-linearisation.
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SYNTAX: result = LogLin( VarEndoNames, VarExoNames, Parameters, Equations, SolveMode, EvalMode, EvalString, Digits );
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EXAMPLE: result = LogLin( { 'R', 'A' }, { 'EPSILON' }, { 'beta', 'rho' }, { 'beta * R * A / A(+1) = 1', 'A = A(-1) ^ rho * exp( EPSILON )' }, 2, 2 );
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OUTPUT: result: a cell array of log-linearised equations, with __d appended to variable names that are deviations from steady state.
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INPUT: VarEndoNames: a cell array of endogenous variable names
% VarExoNames: a cell array of exogenous variable names
% Parameters: a cell array of parameter names
% Equations: a cell array of equations, in Dynare notation
% SolveMode: specifies how the steady state is found
% SolveMode = 0 ---> the steady state is not found, instead __s is appended to the variable names
% SolveMode = 1 ---> the steady state is found analytically
% SolveMode = 2 ---> the steady state is found analytically, allowing all algebraic manipulations
% SolveMode = 3 ---> the steady state is found analytically, assuming real values
% SolveMode = 4 ---> the steady state is found numerically
% EvalMode: specifies any processing of the found equations
% EvalMode = 0 ---> no additional processing
% EvalMode = 1 ---> simplification
% EvalMode = 2 ---> simplification, allowing all algebraic manipulations
% EvalMode = 3 ---> numeric evaluation, to Digits precision
% EvalString: string of comma delimited equations, useful for specifying parameters or your own computed steady state values (e.g. 'beta=0.99,rho=1/2', or 'A=1')
        Digits: (optional) the number of digits of accuracy for numerical compuations
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Copyright © 2011 Tom Holden ( http://www.tholden.org/ )
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Required Products Symbolic Math Toolbox
MATLAB release MATLAB 7.12 (2011a)
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Updates
06 Jun 2011

Removed mention of GPL from description.

01 Dec 2011

Typo correction (6 arguments are OK).

Tag Activity for this File
Tag Applied By Date/Time
dsge Tom Holden 06 Jun 2011 16:13:01
economics Tom Holden 06 Jun 2011 16:13:01
macroeconomics Tom Holden 06 Jun 2011 16:13:01
log linearisation Tom Holden 06 Jun 2011 16:13:01
log linearization Tom Holden 06 Jun 2011 16:13:01
mupad Tom Holden 06 Jun 2011 16:13:01
symbolic toolbox Tom Holden 06 Jun 2011 16:13:01

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