NY Fed's DSGE model ported to Julia

05 Dec 2015

I’ve seen the future of central bank forecasting and it’s written in Julia (to paraphrase Jon Landau). That’s right, with a small amount of help from the team at QuantEcon, the FRBNY has converted its main DSGE model from Matlab to Julia. Moreover, the code has been posted on GitHub, a public repository hosting service. This means that anyone can fork their code, mess around with it and suggest changes, using the full power of the open source development ecosystem. This seems like a big win for transparency and open science, while at the same time shifting the FRBNY code base to a cutting edge language and delivering significant speed gains.

Published by: Natasha Watkins

Read more news