GDSGE: A Toolbox for Solving DSGE Models with Global Methods¶
Welcome to GDSGE’s documentation!
GDSGE is a toolbox that solves nonlinear Dynamic Stochastic General Equilibrium (DSGE) models with a global method based on policy iterations introduced in Cao, Luo, and Nie (2020). It allows users to define economic models in compact and intuitive scripts, called gmod files (gmod stands for global model). It parses the script into dynamic libraries which implement the actual computations (policy function iterations and Monte Carlo simulations) efficiently in C++, and provides a convenient MATLAB interface to researchers.
The toolbox can be used to solve models in macroeconomics, international finance, asset pricing, and related fields.
More examples and detailed instructions on gmod files and on how to use the toolbox are provided below.
If you have comments, suggestions or coding questions for us, or would like to contribute GDSGE examples, please reach out to us at: firstname.lastname@example.org
- Getting Started - A Simple RBC Model
- An RBC Model with Irreversible Investment
- Heaton and Lucas (1996): Incomplete Markets with Portfolio Choices
- Guvenen (2009): Asset Pricing with Heterogeneous IES
- Bianchi (2011): Sudden Stops in Open Economies
- Barro et al. (2017): Safe Assets with Rare Disasters
- Guerrieri et al. (2020): Negative Supply Shocks That Cause Demand Shortages
- Toolbox API
- Additional Examples
- Huggett (1997): Steady States and Transition Paths in Heterogeneous Agent Models
- Krusell and Smith (1998): Heterogeneous Agent Models with Aggregate Uncertainty
- Mendoza (2010): Sudden Stops with Asset Price Deflation
- Cao and Nie (2017): Amplification and Asymmetry without Collateral Constraint
- Cao (2018): Speculation and Wealth Distribution under Beliefs Heterogeneity
- Cao (2020): Continuum versus Finite Agents in Krusell and Smith (1998)
- Contributed Examples