MacroModelling.

jl: A Julia package for developing and

solving dynamic stochastic general equilibrium models
1
Thore Kockerols
1 Norges Bank, Norway
DOI: 10.21105/joss.05598
Software
• Review Summary
• Repository
• Archive MacroModelling.jl is a Julia (Bezanson et al., 2017) package for developing and solving
dynamic stochastic general equilibrium (DSGE) models. These kinds of models describe the
behavior of a macroeconomy and are particularly suited for counterfactual analysis (economic
Editor: Mehmet Hakan Satman policy evaluation) and exploring / quantifying specific mechanisms (academic research).
The goal of this package is to reduce coding time and speed up model development by providing
Reviewers: functions for working with discrete-time DSGE models. The user-friendly syntax, automatic
• @gdalle variable declaration, and effective steady state solver facilitate fast prototyping of models.
• @jmejia8 The package includes several pre-defined models from prominent economic papers, providing
an immediate starting point for users. The target audience for the package includes central
Submitted: 01 June 2023 bankers, regulators, graduate students, and others working in academia with an interest in
Published: 25 September 2023 DSGE modelling.
License The package supports programmatic model definition. Once the model is defined, the package
Authors of papers retain copyright finds the solution for the model dynamics knowing only the model equations and parameter
and release the work under a
values. The model dynamics can be solved for using first, (pruned) second, and (pruned)
Creative Commons Attribution 4.0
third-order perturbation solutions (Andreasen et al., 2017; O. Levintal, 2017; Villemot, 2011),
International License (CC BY 4.0).
leveraging symbolic and automatic differentiation. Furthermore, the package can be used
to calibrate parameters, match model moments, and estimate the model on data using the
Kalman filter (Durbin & Koopman, 2012). The package is designed to be user-friendly and
efficient. Once the functions are compiled and the non-stochastic steady state (NSSS) has
been found, the users benefit from fast and convenient functions to generate outputs or change
parameters.

Statement of Need
Due to the complexity of DSGE models, efficient numerical tools are required, as analytical so-
lutions are often unavailable. MacroModelling.jl serves as a tool for handling the complexities
involved, such as forward-looking expectations, nonlinearity, and high dimensionality.
MacroModelling.jl differentiates itself among macroeconomic modelling packages by offering
a unique blend of capabilities and conveniences, such as automatic declaration of variables and
parameters, automatic differentiation with respect to parameters, and support for perturbation
solutions up to 3rd order. While it operates within the Julia environment, it presents an
alternative to the MATLAB-dominated field, which includes dynare (Adjemian et al., 2022),
RISE (Maih, 2015), Taylor Projection (Oren Levintal, 2018), NBTOOLBOX, and IRIS, the
latter two being capable of providing only 1st order perturbation solutions.
Other Julia-based packages such as DSGE.jl, StateSpaceEcon.jl, SolveDSGE.jl, and Differ-
entiableStateSpaceModels.jl (Childers et al., 2022) have functionalities similar to those of
MacroModelling.jl. However, the former are not as general and convenience-focused as the

Kockerols. (2023). MacroModelling.jl: A Julia package for developing and solving dynamic stochastic general equilibrium models. Journal of Open 1
Source Software, 8 (89), 5598. https://doi.org/10.21105/joss.05598.
 MATLAB packages and MacroModelling.jl. The Julia-based packages are missing conve-
nience functionalities such as automatic creation of auxiliary variables for variables in lead and
lags larger than 1, or programmatic model definition. These functionalities are convenient to
the user but require significant effort to implement in the parser. Furthermore, the other Julia-
based packages do not possess the unique feature set of MacroModelling.jl regarding variable
declaration and automatic differentiation. Notably, the Python-based dolo.py offers global
solutions, but does not include estimation features which are available in MacroModelling.jl.
MacroModelling.jl stands out as one of the few packages that can solve non-stochastic
steady states symbolically, a feature shared only with gEcon (Klima et al., 2015), an R-based
package. When, as in most cases, symbolic solution is not possible MacroModelling.jl uses
symbolic simplification, search space transformation, automatic domain restrictions, restarts
with different initial values, warm starts using previous solutions, and a Levenberg-Marquardt-
type optimizer. The combination of these elements makes it possible to solve all 16 models
currently implemented in the examples out-of-the box. This is remarkable because all other
packages rely either on analytical NSSS derivation by hand, or on a smaller subset of the
features outlined above. In general this makes the other packages far less reliable in finding the
NSSS without further information (e.g. a close enough initial guess). Furthermore, unlike many
of its competitors, the domain-specific model language of MacroModelling.jl is integrated
into the Julia language, which makes for convenient reading and coding, with the help of Julia
macros.

Example
One relatively simple example to study with the package is a real business cycle model (see
e.g. (Kydland & Prescott, 1982)). The model describes the dynamics of an economy with
households consuming a consumption good c, produced by competitive firms using the capital
stock k, and an exogenous technology process z. The households maximize their utility
(log(c)) and decide whether to invest in the capital stock or consume. The firms decide the
amount of production inputs and the quantity of output with the goal to maximize their profits
while minimizing their costs. The capital stock depreciates by the factor δ and the production
technology takes the form: k^α. All agents discount the future with β and the exogenous AR(1)
technology process is governed by parameters ρ and σ_z. Given the optimization problems of
the households and firms one can write down the first-order optimality conditions as follows:
using MacroModelling
import StatsPlots

@model RBC begin

1 / c[0] = (β / c[1]) * (α * z[1] * k[0]^(α - 1) + (1 - δ))
c[0] + k[0] = (1 - δ) * k[-1] + q[0]
q[0] = z[0] * k[-1]^α
z[0] = (1 - ρ) + ρ * z[-1] + σ_z * eps_z[x]
end

@parameters RBC begin

σ_z = 0.01
ρ = 0.2
δ = 0.02
α = 0.5
β = 0.95
end

plot_irf(RBC)

Kockerols. (2023). MacroModelling.jl: A Julia package for developing and solving dynamic stochastic general equilibrium models. Journal of Open 2
Source Software, 8 (89), 5598. https://doi.org/10.21105/joss.05598.
 The plot shows both the level, percentage deviation from the NSSS as well as the NSSS itself.
Note that the code to generate the impulse response function (IRF) plot contains only the
equations, parameter values, and the command to plot. Solving the model using first-order
perturbation happens automatically in the background.

Acknowledgements
The author thanks everybody who opened issues, reported bugs, contributed ideas, and was
supportive in driving MacroModelling.jl forward.

References
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Working Papers No. 72). CEPREMAP.
Andreasen, M. M., Fernández-Villaverde, J., & Rubio-Ramírez, J. F. (2017). The Pruned
State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications.
The Review of Economic Studies, 85(1), 1–49. https://doi.org/10.1093/restud/rdx037
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Childers, D., Fernández-Villaverde, J., Perla, J., Rackauckas, C., & Wu, P. (2022). Differen-
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No. 30573). National Bureau of Economic Research, Inc. https://doi.org/10.3386/w30573
Durbin, J., & Koopman, S. J. (2012). Time series analysis by state space methods, 2nd edn.
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Kockerols. (2023). MacroModelling.jl: A Julia package for developing and solving dynamic stochastic general equilibrium models. Journal of Open 3
Source Software, 8 (89), 5598. https://doi.org/10.21105/joss.05598.
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Dynare Working Papers 2, CEPREMAP.

Kockerols. (2023). MacroModelling.jl: A Julia package for developing and solving dynamic stochastic general equilibrium models. Journal of Open 4
Source Software, 8 (89), 5598. https://doi.org/10.21105/joss.05598.