07-10, 12:00–12:30 (Europe/Amsterdam), While Loop (4.2)
The goal of MacroModelling.jl is to reduce coding time and speed up model development by providing functions for working with discrete-time DSGE models.
These kinds of models describe the behavior of a macroeconomy and are particularly suited for counterfactual analysis (economic policy evaluation) and exploring / quantifying specific mechanisms (academic research). Due to the complexity of these models, efficient numerical tools are required, as analytical solutions are often unavailable.
MacroModelling.jl is a Julia package for developing and solving dynamic stochastic general equilibrium (DSGE) models.
The package serves as a tool for handling the complexities involved when working with these kind of models, such as forward-looking expectations, nonlinearity, and high dimensionality.
The user-friendly syntax, automatic variable declaration, and effective steady state solver facilitate fast prototyping of models. Furthermore, the package allows the user to work with nonlinear model solutions (up to third order (pruned) perturbation) and estimate the model using gradient based samplers (e.g. NUTS, or HMC). Currently, DifferentiableStateSpaceModels.jl is the only other package providing functionality to estimate using gradient based samplers but the use is limited to models with an analytical solution of the non stochastic steady state (NSSS). Larger models tend to not have an analytical solution of the NSSS and MacroModelling.jl can also use gradient based sampler in this case. The target audience for the package includes central bankers, regulators, graduate students, and others working in academia with an interest in DSGE modelling.
I am a macroeconomist by training with experience in central banking and academic research.
Currently seconded to the European Central Bank, I previously worked as a senior economist in the modelling unit at Norges Bank.
I hold a PhD in Economics (2018) from the Université Paris 1 Pantheon-Sorbonne, and my research interests include macroeconomic modelling, and macro-financial linkages.