DSGE.jl

The thread https://news.ycombinator.com/item?id=31785199 Show HN: A central bank simulator game with a realistic economic model has attracted much interest. This post is by a former University of Chicago macroeconomist and presents Matlab code for simulating the joint dynamics of interest rates, inflation, and unemployment. The author has other posts with Matlab code. A macroeconomic model in Julia used by the New York Federal Reserve is at https://github.com/FRBNY-DSGE/DSGE.jl .

FYI, the New York Fed's model is written in Julia and also open source. https://github.com/FRBNY-DSGE/DSGE.jl

Indeed : https://github.com/FRBNY-DSGE/DSGE.jl

They may have additional projects, but I believe you’re talking about https://github.com/FRBNY-DSGE/DSGE.jl .

Except you won't in macroeconomics. The simple problem in macroeconomics is lack of data -- history happened only once so you can't test counterfactuals. You can try to build a model, but the confidence intervals for the next big crash are going to be either useless (way too wide) or bullshit if what you're trying to predict is the next market crash. Building a classifier around it machine learning style will not fundamentally help, either. You can try it: here is an open source, serious, full scale macroeconomic model by the NY Fed [1]. Try to predict the next large crash with it and report back [1] https://github.com/FRBNY-DSGE/DSGE.jl

That's for workshop materials. Here is the model itself https://github.com/FRBNY-DSGE/DSGE.jl

Always fun to point out is that the NY federal reserve switched their full scale model of the economy to Julia last year[1]. It's also open source, so data scientists interested in macroeconomics can feel free to play around with it. Moreover, quant-econ, an academic entity dedicated to scientific programming in the social sciences has a few notebooks in python and Julia [2] [1]https://github.com/FRBNY-DSGE/DSGE.jl [2] http://quantecon.org/notebooks.html

Repository: https://github.com/FRBNY-DSGE/DSGE.jl DSGE, of course, is Dynamic Stochastic General Equilibrium: https://en.wikipedia.org/wiki/Dynamic_stochastic_general_equ...

It's naive to think that the Fed just uses some simple Taylor rule or Philips curve model in their policy decisions. Along with having a full staff of economists and research assistants doing econometrics, they have sophisticated microfoundational computational models like the NY Fed's DSGE model[1] (that they recently open-sourced in Julia[2]). There's a lot more to macroeconomic prediction than just "adding another variable." [1] http://libertystreeteconomics.newyorkfed.org/2014/09/forecas... [2] https://github.com/FRBNY-DSGE/DSGE.jl

Related, the Federal Reserve Bank of New York recently open sourced one of its models (coded in Julia) https://github.com/FRBNY-DSGE/DSGE.jl/blob/master/doc/Data.m... Discussion: https://news.ycombinator.com/item?id=10670138

I like the use of the Greek alphabet in the code base. Examples https://github.com/FRBNY-DSGE/DSGE.jl/blob/master/src/solve/... https://github.com/FRBNY-DSGE/DSGE.jl/blob/master/src/solve/...

I see things that look a lot like english sentences that are neither preceded by #, nor surrounded by #= =#. edit: with examples. this code, all the way up to line 48 looks like some comments, but also a bunch of sentences without the comment characters. https://github.com/FRBNY-DSGE/DSGE.jl/blob/master/src/solve/...

Even more interesting is the document on Github with technical details about the port: https://github.com/FRBNY-DSGE/DSGE.jl/blob/master/doc/Matlab...