The DSGE.jl package implements the New York Fed dynamic stochastic general equilibrium (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. (We previously referred to our model as the “FRBNY DSGE Model.")

This Julia-language implementation mirrors the MATLAB code included in the Liberty Street Economics blog post The FRBNY DSGE Model Forecast.

Documentation for the code can be accessed by clicking on the docs|latest button above. For documentation about the most recent model version, read this pdf.

The New York Fed DSGE team is currently extending the code to solve and estimate heterogeneous agent models. Filtering and smoothing algorithms are available in the registered package StateSpaceRoutines.jl. An implementation of Sequential Monte Carlo (SMC) sampling, used for the estimation of DSGE models, can be found in the registered package SMC.jl. The foundational AbstractModel type, from which the AbstractDSGEModel type derives, is defined in the registered package ModelConstructors.jl.

William Chen
William Chen
Ph.D. Student in Economics

I am a Ph.D. student in Economics at MIT. I am also a former Senior Research Analyst of the DSGE Team at the Federal Reserve Bank of New York. My research interests include macroeconomics, finance, and computational macroeconomics. Within these fields, I am particularly interested in business cycle theory, financial crises, and macro-labor. My pronouns are he/him.