Dynamic stochastic general equilibrium (DGSE) models have grown in importance at many of the world’s central banks as tools to inform economic forecasting and the monetary policy process. New York Fed staff use a version developed here to produce forecasts that are shared within the Federal Reserve System, and to perform policy analysis exercises. The FRBNY DSGE model was made public in October 2013 in a New York Fed staff report. In a widely read series on the Liberty Street Economics blog in September 2014, a team of our economists further described the model, assessed its forecasting accuracy, and shared source code used for model estimation. Check out the series synopsis and links below.
On Liberty Street Economics:
Forecasting with the FRBNY DSGE Model discusses what DSGE models are, explains their usefulness as a forecasting tool, and previews the rest of the blog series.
A Bird’s Eye View of the FRBNY DSGE Model describes the key economic interactions captured by the model.
Developing a Narrative: The Great Recession and Its Aftermath looks through the lens of the FRBNY DSGE model to identify factors precipitating the downturn and weighing down the recovery.
An Assessment of the FRBNY DSGE Model’s Real-Time
Forecasts, 2010-13 evaluates the model’s performance since March 2010, when the New York Fed began producing policy forecasts.
The FRBNY DSGE Model Forecast shares what the model predicts for the U.S. economy going forward.
Of Related Interest:
The final post published the code used for estimating the model and producing all the charts in this blog series. Find the code here.
Read more about DSGE modeling in our Staff Reports and Economic Policy Review series here: