NY Fed building a free macro model

Macroeconomic modeling is predominantly central banking science, and central banks that publish their models belong to the most transparent in the world.

Now the Fed wants to go even further.

A research team at the New York Fed is part way through translating its DSGE model into Julia, a fast, open-source mathematical programming language.

As reported by CentralBanking.com, the NY Fed had already published the code underlying its DSGE model, originally written in Matlab, and agreed last year to translate its model for policy analysis into the new programming language:

Marco Del Negro and Marc Giannoni, both assistant vice-presidents in the NY Fed's research department, headed the project. "One of the arguments for going with Julia was it is fairly close to Matlab," says Giannoni. "People who are familiar with Matlab can at least read code written in Julia. There are a lot of subtleties to Julia you must get familiar with, but at least you can get started."

All the code for the estimation step is now available on GitHub, an online repository for open-source code. Anyone can therefore download and run it with only a limited grasp of programming in Julia required. It comes pre-packed with sample dataset and configuration.

By making the model free, the hope is coders will take the model and suggest improvements, so it can evolve over time ... Other central banks and researchers can also take the model and adapt it to their needs, and many have already expressed an interest. "The whole point of putting our code on the web is for others to use it and adapt it to their needs," says Del Negro.

In enhancing central bank transparency by yet another notch, this is an important experiment. As researchers at the NY Fed say: "Now anyone, from Kathmandu to Timbuktu, can run our code at no cost." Still I cannot help but wonder how many people out there is actually going to take the time and make an effort to play with such open-source toy.