Sequence Space Jacobian (SSJ) using Julia

The SSJ.jl package is based on the toolkit from the paper "Using the Sequence-Space Jacobian to Solve and Estimate Heterogeneous-Agent Models" by Auclert et al. (2021).

This Julia implementation replicates the Python package found on the shade-econ/sequence-jacobian GitHub.

Code

Our SSJ implementation runs on Julia 1.7.3.

src: Contains the bulk of our SSJ implementation.

• blocks: The SSJ has several subclasses of the abstract Block class.
  • SimpleBlock for explicit aggregate equilibrium conditions
  • SolvedBlock for implicit aggregate equilibrium conditions
  • CombinedBlock for combination of multiple blocks
  • HetBlock, see point below
• classes: The SSJ has several classes for various implementations
  • impulse_dict.jl: Class for manipulating impulse responses
  • jacobian_dict.jl: Class for manipulating Jacobian dictionaries
  • result_dict.jl: Class for mapping and safe merging of results
  • sparse_jacobians.jl: Class sparse operator framework with rules for fast Jacobian construction and efficient time-shifted linear transformations
  • steady_state_dict.jl: Class for extending ResultDict to represent and manipulate steady-staste values with support for vector-valued entries and differential comparisons.
• hetblocks: a type of the abstract Block class
  • HetBlock for collective actions of heterogeneous agents
• utilities: general helper files and utility functions

test: Contains test files for our different model implementations: RBC, Krussel Smith, One-Asset HANK, Two-Asset HANK - figures: contains the impulse response functions for endogenous variables as a response to seven exogenous shocks. The 7 exogenous shocks computed are: monetary policy, government spending, TFP, discount rate, investment technology, price markup, and wage markup shocks. Our 5 endogenous variables for which we compute IRFs for are consumption, investment, output, interest rates, and wages.

Team

This package was constructed and developed by FRBNY summer interns:

• Yuti Das
• Elena Elbarmi
• Nikhil Kumar
• Samuel Ross
• Arkajyoti Sinha
• Elizabeth Wright

Disclaimer

Copyright Federal Reserve Bank of New York. You may reproduce, use, modify, make derivative works of, and distribute and this code in whole or in part so long as you keep this notice in the documentation associated with any distributed works. Neither the name of the Federal Reserve Bank of New York (FRBNY) nor the names of any of the authors may be used to endorse or promote works derived from this code without prior written permission. Portions of the code attributed to third parties are subject to applicable third party licenses and rights. By your use of this code you accept this license and any applicable third party license.

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