Giovanni (Gianni) Lombardo
(The unique joy of scientific accomplishment)
I work for the Bank for international settlements
Research interests: International Macro and Finance, International Policy Cooperation, Macroeconomics, Monetary Economics, Macroprudential policies, Financial Stability, Computational Economics.
You can find some links to my research papers at IDEAS or at my BIS page
If you want to contact me use my gmail.com account: giannilmbd or my bis.org account giovanni.lombardo
COMPUTER CODES AND OTHER MATERIAL
(Note: Matlab has introduced a function called sym2cell which conflicts with my function with the same name. I have renamed my function as mysym2cell and had to change all codes accordingly. I could not re-test all codes. Please let me know if you have problems running them. Thanks -- 4 April 2018)
(Note: Matlab (2017b) has introduced two new functions cell2sym and str2sym and modified the way 'sym' works. I have updated the utilities and OPDSGE accordingly. Please if you find inconsistencies report to me. Thanks. -- 11 October 2018)
UTILITIES: NECESSARY to run any of the codes below (IMPORTANT!!)
OPDSGE: OPTIMAL (RAMSEY) COOPERATIVE AND NON-COOPERATIVE POLICY (for DYNARE)
The Optimal Policy for DSGE folder has been renamed (formerly lq_solution):
The main function name hase been changed to better reflect what the program does.
What does this package do?
These functions compute optimal (Ramsey) policies in closed and open economies (for arbitrary objective functions) and create a .mod (Dynare) clone where policy rules are replaced with non-linear FOCs of the policy problem. Steady state files are also updated (might require small amendments by users due to variety of ways in which users solve for the steady state).
For open economy models OPDSGE can compute both cooperative and non-cooperative (Nash) equilibria.
These function can ALSO be used to derive LQ representations (not priority of this project).
NB: previous versions computed SOCs. This option has been removed as the computation was incorrect (05 April 2018).
Coenen, G., Lombardo, G., Smets, F., & Straub, R. (2007). International transmission and monetary policy cooperation. In international Dimensions of monetary policy (pp. 157-192). University of Chicago Press.
STATIC AND DYNAMIC PORTFOLIO FOR MULTIPLE ASSETS - MULTIPLE COUNTRIES
FIRST AND SECOND ORDER APPROXIMATION AND SOLUTION FOR DSGE MODELS
Could be used to find state-space solution as alternative to e.g. Dynare (e.g. for x-checking)
Specific codes related to papers
Dedola-Karadi-Lombardo 2013 JME "Global implications of national unconventional policies" (With corrigendum)
Dedola-Lombardo 2012, EP "Financial frictions, financial integration and the international propagation of shocks"
Banerjee, R., Devereux, M. B., and Lombardo, G. (2016). Self-oriented monetary policy, global financial markets and excess volatility of international capital flows. Journal of International Money and Finance
Dynare model codes + codes for cooperative and Nash equilibria (for these codes see also top of his list)
(Note: Some codes might not work under Matlab R2012b or newer. I've made some amendments to some codes to fix this problem but I have not checked all the codes.
Please drop me an e-mail if codes don't work. I might find some time to fix them.)
R codes and material
I've written a short memo on basic functions and tricks for R as my personal guide. If you are a beginner, you might find it useful too (HowToR).