Gertler & Karadi's "Monetary Policy Surprises, Credit Costs, and Economic Activity?" (2015, AEJ:M)

Replication of the VAR identified using high frequency surprises around policy announcements as external instruments in Gertler, M., and P. Karadi, 2015. "Monetary Policy Surprises, Credit Costs, and Economic Activity," American Economic Journal: Macroeconomics, 7(1): 44-76. The Matlab code reproduces the impulse response functions in Figure 1 using the VAR Toolbox .

[Paper] [Matlab Code]

Uhlig's "What are the effects of monetary policy on output?" (2005, JME)

Replication of the monetary VAR identified with sign restrictions in Uhlig, H., 2005. "What are the effects of monetary policy on output? Results from an agnostic identification procedure Autoregressions," Journal of Monetary Economics, vol. 52, pages 381-419. The Matlab code reproduces the impulse response functions in Figure 6 using the VAR Toolbox.

[Paper] [Matlab Code]

Stock & Watson's "Vector Autoregressions" (2001, JEP)

Replication of the trivariate VAR as in James H. Stock & Mark W. Watson, 2001. "Vector Autoregressions," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 101-115, Fall. The Matlab code reproduces the impulse response functions in Figure 1 and the forecast error variance decomposition in Table 1.B using the VAR Toolbox.

[Paper] [Matlab Code]

Blanchard & Quah's "The Dynamic Effects of Aggregate Demand and Supply Disturbances" (1989, AER)

Replication of the bivariate VAR (with real GDP growth and unemployment data) as in O. Blanchard and D. Quah, 1989, "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, vol. 79(4), pages 655-73, September. The Matlab code reproduces the impulse response function in Figures 1 and 2 using the VAR Toolbox.

[Paper] [Matlab Code]

Bernanke et al., "The Financial Accelerator in a Quantitative Business Cycle Framework" (1999, Handbook of Macro)

Replication of Bernanke, Gertler, & Gilchrist, (1999): "The Financial Accelerator in a Quantitative Business Cycle Framework," NBER Working Papers 6455, National Bureau of Economic Research, Inc.

[Paper] [Dynare Code]

Carlstrom and Fuerst's "Agency Costs, Net Worth, and Business Fluctuations: A Computable General Equilibrium Analysis" (1997, AER)

Replication of Carlstrom & Fuerst, (1997): "Agency Costs, Net Worth, and Business Fluctuations: A Computable General Equilibrium Analysis," American Economic Review, American Economic Association, vol. 87(5), pages 893-910, December.

[Paper] [Dynare Code]

Schmitt-Grohe and Uribe's "Closing small open economy models" (2003, JIE)

Replication of Schmitt-Grohe & Uribe (2003): "Closing small open economy models," Journal of International Economics, Elsevier, vol. 61(1), pages 163-185, October.

[Paper] [Dynare Code]