The DSGE.jl package implements the New York Fed 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.
For the latest documentation on the code, click on the docs|latest button above. For the latest stable version of the code, click on the docs|stable button. Documentation for the most recent model version is available here.
The New York Fed DSGE team is currently working on extending the code to include forecasts and other features. Ongoing work on implementing Sequential Monte Carlo (SMC) sampling can be found on the
smc branch. Further extensions of the DSGE model code may be released in the future at the discretion of the New York Fed.
DSGE.jl is a registered Julia package. To install it, open your Julia REPL and run
DSGE.jl with Julia version 0.4, please check out tag 0.2.0. To do this, click on the drop-down menu that reads
branch: master on the left-hand side of the page. Select
v0.2.0. If you've already cloned the repo, you can simply run
git checkout v0.2.0.