RiskAdjustedLinearizations.jl

Linearize dynamic economic models around their stochastic steady state
Author chenwilliam77
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Updated Last
1 Year Ago
Started In
September 2020

RiskAdjustedLinearizations.jl

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This package implements Lopez et al. (2018) "Risk-Adjusted Linearizations of Dynamic Equilibrium Models" in Julia. The original companion code for the paper implements the method using MATLAB's Symbolic Math Toolbox. RiskAdjustedLinearizations.jl takes advantage of Julia's speed and flexibility so that the method can be used for solving and estimating large-scale Dynamic Stochastic General Equilibrium (DSGE) models.

Timing tests indicate that this package's speed is significantly faster than the original MATLAB code. As examples, run the wac_disaster.jl or rbc_cc.jl scripts, which assess how long it takes to calculate a risk-adjusted linearization using the two numerical algorithms implemented by this package and by the original authors. The relaxation algorithm in Julia is around 50x-100x faster while the homotopy algorithm in Julia is 3x-4x times faster.

Installation

pkg> add RiskAdjustedLinearizations

The package is compatiable with Julia 1.x and is tested in Linux and Windows. The package should also be compatible with MacOS.

Future Development

Please see the issues for additional features planned for implementation.