Solve and estimate Dynamic Stochastic General Equilibrium models (including the New York Fed DSGE)


New York Fed DSGE Model (Version 1002)

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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. 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

julia> Pkg.add("DSGE")


To use 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 tags, then v0.2.0. If you've already cloned the repo, you can simply run git checkout v0.2.0.

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