In this page, I hope to store the information I have gathered and thoughts I have recorded on Dynamic Stochastic General Equilibrium Models (DSGE). These type of models are the main theoretical tool used by Macroeconomists when analysis and forecasting Macroeconomic variables (Inflation, GDP, Consumption Government Debt, Investment, etc).

The page is organised in 3 sections:

1. Online Materials – Guides & Discussions
2. Online Materials – Codes
3. Own Posts

More likely than not, the “Own Posts” section will delve into two topics:

1. The minutia that mathematically more comfortable people will take for granted but which I must spend some time untangling because I’m probably not quite as good.
2. Actually applying the codes in order to estimate DSGE models

Online Materials – Guides & Discussions

• Practical DSGE Modelling, by Alina Barnett and Martin Ellison of the BoE
• Solving and estimating DSGE models, learning materials from Tai-kuang Ho
• Quant-Econ, by Sargent and Stachursky

• Warwick University’s Department of Economics  useful links (note that some of these links may be obsolete):
  • George-Marios Angeleto: very good lecture notes on GE.
  • Martin Ellison: excellent lecture notes, with matlab code (met him at Warwick University)
  • Hiro Ito
  • James Markusen: excellent lecture notes and examples for GAMS/MPSGE CGE models.
  • Assaf Razin: has many papers in trade related issues.
  • Patrick J. Kehoe
  • Marc J. Melitz
  • Jesus Fernandez-Villaverde: excellent for DSGE models with Dynare.
  • Keshab R. Bhattarai: useful lecture notes on Dynamic CGE.
  • Dirk Krueger: useful lectures on GE.
  • Matteo Iacoviello: useful papers, DSGE lectures and dynare code.
  • Mark Gertler: many papers.
  • Liam Graham: Slides and Matlab code.
  • Jerome Adda and Russell Cooper: Their book is simpler than Sargent and Lindquist, thus a good starter. Contains Matlab programs and their useful links.
  • Thomas J. Sargent: We all know his book with Lindquist. Very useful homepage, contains matlab code.
  • Peter E. Rossi: Semi-Parametric Bayesian Inference in Econometrics. Provides pdf of his papers.
  • Wouter J. den Haan: Lecture notes on DSGE models

 

Online Materials – Codes

• DSGE Tools from International Network for DSGE modelling, monetary and fiscal policy
• Solving and estimating DSGE models, learning materials from Tai-kuang Ho
• Matlab Codes from Paul Klein of the University of Stockholm
• Columbia’s Serena Ng Matlab codes
• Analyze DSGE models with MATLAB, from Mathworks
• DSGE Dynare Model Matlab Codes, by G, Vermandel
• GEMLLIB: Matlab code for specifying and solving DSGE models, by Pawel Kowal
• Chris Sims’ Codes for “Solving Linear Rational Expectations Models” – The “gensys.m” (and its adjacent/complementary files) is very useful to solve DSGE models in matlab.

 

Own Posts