DSGE.jl

The DSGE.jl package implements the FRBNY DSGE model and provides general code to estimate 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 mirrors the MATLAB code included in the Liberty Street Economics blog post The FRBNY DSGE Model Forecast.

FRBNY is currently working on extending the code to include forecasts and other features. Extensions of the DSGE model code may be released in the future at the discretion of FRBNY.

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
• Accelerating Computation of Regime-Switching System
• Regime-Switching Forecasts
• Alternative Policy Uncertainty and Imperfect Awareness
• Automatically Generating Anticipated Shocks
• Automatic Endogenous ZLB Enforcement as Temporary Rule
• Editing or Extending a Model
• Additional Tips
• Input Data
• Setup
• Loading data
• Non-FRED data sources
• Incorporate population forecasts
• Dataset creation implementation details
• Conditional data
• 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
• Solving the Model
• The gensys routine
• Regime-Switching
• The System Type
• The RegimeSwitchingSystem Type
• The TimeVaryingInformationSetSystem Type
• Estimation
• Procedure
• Metropolis-Hastings Sampler
• SMC Sampler
• Contributing to DSGE.jl
• Notes for DSGE.jl Contributors
• DSGE Julia Style Guide
• License

Acknowledgements

Developers of this package at FRBNY include

• 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.