Risk Uncertainty Value

Expansion Suite is an open source Python toolbox for macro-finance research. It solves the nonlinear DSGE model with recursive utility formulation motivated by robustness or risk concerns based on the small-noise expansion method.

Expansion Suite is built on the Linear Quadratic framework proposed by Borovička and Hansen (2014). It follows the algorithm in Exploring Recursive Utility to approximate the model solution under uncertainty.

We look forward to your comments and appreciate your feedback!

QuantMFR website:

https://lphansen.github.io/QuantMFR/theory/quickguide_update.html

Source Files

lin_quad.py

• Defines the linear-quadratic variable structure to facilitate operations in expansion solvers and elasticity calculation with LinQuadVar class.

lin_quad_util.py

• Integrated operation tools on LinQuadVar.

utilities.py

• Matrix and linear algebra operation functions facilitate the computation.

derivatives.py

• Functions to compute numerical derivatives used in the expansion solver.

uncertain_expansion.py

• Functions to implement first and second order expansion, approximate the continuation values, change of probability measure, and iteration schemes.

elasticity.py

• Functions to compute shock elasticities.