Home page of
Giovanni Lombardo
(e-mail: giovanni . lombardo at e c b dot i n t)
Here you can download two Matlab packages: one is symbsolve (second order solution of dynamic stochastic forward-looking models, compatible with DYNARE; see G. Lombardo and A. Sutherland (JEDC, 2006)).
The other is lq_solution. The latter works in combination with DYNARE to evaluate welfare in open and closed dynamic stochastic forward-looking models (producing both the cooperative and Open-Loop Nash equilibria).
lq_solution generates a DYNARE model file that includes the FOC of the policymaker. Optionally it generates the Linear-Quadratic representation of M. Woodford and P. Benigno (NBER, 2006). Both packages are accompanied by a .pdf explanatory note. See the example folder for a template (Calvo-NK-Model and Two-Country-Model) and the command line to run lq_solution.
KNOWN BUGS:
Federico Ravenna kindly pointed out that the lq_solution has the following bug. If you define a recursive welfare equation (e.g. W=Utility+beta*W(+1);) but don't use the symbol W in the lq_solve command line, the construction of the model under optimal policy will fail.
Solution: Either give the right name, or drop the equation and give any name (different from names of existing variables). The reason of the bug is that in the current version of lq_solution only the utility function (not the recursive welfare equation) is used to derive the optimal policy.
Solved: [added Aug. 2009] Sylvain Leduc kindly pointed out that lq_solution crashes in Matlab 2008. The problem seems to be related to the Matlab function subs(). The new fix seems to be ok with Matlab 2006 – 2007 and 2008.
The packages are zipped together (with lots of other things you won't need).
The current version should work both on LINUX and WINDOWS and MATLAB v. 7+.
Download Linux/Windows version HERE [21 August 2008]
LINKS:
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