RiskAdjustedLinearizations.jl
RiskAdjustedLinearizations.jl
This package implements Lopez et al. (2018) “Risk-Adjusted Linearizations of Dynamic Equilibrium Models” in Julia. The original companion code for the paper implements the method using MATLAB’s Symbolic Math Toolbox. RiskAdjustedLinearizations.jl takes advantage of Julia’s speed and and flexibility so that the method can be used for solving and estimating large-scale Dynamic Stochatic General Equilibrium (DSGE) models. Initial timing tests (see examples/wachter_disaster_risk/example_wachter.jl) indicate that this package is two orders of magnitude faster than the MATLAB implementation provided by Lopez et al. (2018).
Installation
pkg> add RiskAdjustedLinearizations
The package is compatiable with Julia 1.x and is tested in Linux, macOS, and Windows.
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.