DSGE.jl

The DSGE.jl package implements the New York Fed DSGE model and provides general code to estimate and forecast many user-specified DSGE models. The package is introduced in the Liberty Street Economics blog post The FRBNY DSGE Model Meets Julia.

This Julia-language implementation partially mirrors the MATLAB code included in the Liberty Street Economics blog post The FRBNY DSGE Model Forecast. However, we have stopped updating the Matlab code so the Julia package contains several new features not included in the Matlab code.

Extensions of the DSGE model code may be released in the future at the discretion of the New York Fed.

Table of Contents

• Model Design
• Running an Existing Model
• Running with Default Settings
• Input/Output Directory Structure
• Advanced Usage
• Package Directory Structure
• Working with Settings
• Editing or Extending a Model
• Input Data
• Setup
• Loading data
• Non-FRED data sources
• Incorporate population forecasts
• Dataset creation implementation details
• Common pitfalls
• Update sample input data
• Data Transforms and Utilities
• New York Fed DSGE Model 990 Data
• Data Series
• Interest Rate Expectations Data
• References
• Disclaimer
• Implementation Details
• The AbstractModel Type
• Defining Indices
• The AbstractParameter Type
• The Observable and PseudoObservable Types
• Model Settings
• Type Interfaces
• Solving the Model
• The gensys routine
• Estimation
• Procedure
• Estimation routines
• Forecasting
• Procedure
• Forecast Outputs
• Preparing Forecast Inputs
• Computing Forecast Outputs
• Saving Forecast Outputs
• Computing Means and Bands
• Procedure
• The MeansBands Type
• Alternative Policies
• Procedure
• The AltPolicy Type
• Alternative Scenarios
• Basic Scenarios
• Additional Features
• Aggregating Multiple Scenarios
• Plotting
• Plotting Estimation Results
• Plotting Forecasts
• Other Plots
• Standard Algorithms
• Solving the Model
• Optimization
• Hessian Approximation
• Sampling
• State Space Filters and Smoothers
• Contributing to DSGE.jl
• Notes for DSGE.jl Contributors
• DSGE Julia Style Guide
• The DSGE MATLAB to Julia Transition: Improvements and Challenges
• Code Improvements
• Challenges
• Conclusion
• Disclaimer
• Macroeconomic Forecasting with DSGEs Using Julia and Parallel Computing
• Performance Improvements
• Design Principles
• Parallel Computing
• StateSpaceRoutines.jl
• Disclaimer
• References
• License

Acknowledgments

Developers of this package at the New York Fed include

• Reca Sarfati
• Ethan Matlin
• Michael Cai
• Abhi Gupta
• Pearl Li
• Erica Moszkowski
• Micah Smith

Contributors to this package at QuantEcon include

• Zac Cranko
• Spencer Lyon
• Pablo Winant

The gensys and csminwel routines DSGE.gensys and DSGE.csminwel are based on routines originally copyright Chris Sims. The files are released here with permission of Chris Sims under the BSD-3 License.

The kalman_filter routine is loosely based on a version of the Kalman filter algorithm originally copyright Federal Reserve Bank of Atlanta and written by Iskander Karibzhanov. The files are released here with permission of the Federal Reserve Bank of Atlanta under the BSD-3 License.