Codes/Resources
Websites with codes - replication materials for macroeconomists
Ivan Rudik (https://ivanrudik.com/) (https://github.com/AEM7130/class-repo) (One of best lecture notes on Dynamic Optimization!!!)
Michael Dobrew (https://sites.google.com/view/mdobrew/code?authuser=0) (Various HA Models, also VAR toolboxes, very useful)
Wouter Den Haan (http://www.wouterdenhaan.com/software.htm) (comparison project, a great source to learn many different methods)
Johannes Pfeifer (https://sites.google.com/site/pfeiferecon/dynare) (Dynare codes)
Valerio Nispi Landi (https://sites.google.com/site/valerionispi/dsges) (Dynare codes)
Willi Mutschler (https://mutschler.eu/dynare/) (Dynare, Instructive)
Tom Holden (https://www.tholden.org/code/) (DynareOBC)
Matteo Iacoviello (https://www.matteoiacoviello.com/research.htm) (OccBin)
https://github.com/Mixtape-Sessions/ (Great Resource for applied econ in general)
Asjad Naqvi (https://asjadnaqvi.github.io/DiD/docs/code) (recent developments in DiD literature, Stata and R codes are available)
Canova and Ferroni: https://www.chicagofed.org/publications/working-papers/2021/2021-15 (Macroeconometric Tools)
Ambrogio Cesa-Bianchi (https://sites.google.com/site/ambropo/MatlabCodes) (VAR Toolbox 3.0, macroeconometrics)
Filippo Ferroni (https://www.filippoferroni.com/empiricalmacrotoolbox.htm) (Empirical Macro Toolbox)
Ricardo Reis (http://personal.lse.ac.uk/reisr/codes-and-data.html) (2016 paper uses Reiter (2009) method)
Alisdair Mckay (https://alisdairmckay.com/) (notes on computational methods are very useful)
Enrique Mendoza (https://www.sas.upenn.edu/~egme/working%20papers.html) (FiPIt)
Alexander Richter (http://alexrichterecon.com/) (2014 paper is great for understanding policy function iteration)
Brent Bundick (http://www.brentbundick.com/code.html) (policy function iteration code and notes)
Serguei Maliar (http://web.stanford.edu/~maliars/)
Frank Schorfheide (https://web.sas.upenn.edu/schorf/publications/) (Bayesian Estimation, Kalman&Particle Filters)
Jesus Fernandez-Villaverde (https://www.sas.upenn.edu/~jesusfv/research.html)
James Hamilton (https://econweb.ucsd.edu/~jhamilto/software.htm)
Katrin Rabitsch (https://sites.google.com/site/katrinrabitsch/teaching/quantmacro2012)
Ed Herbst (https://edherbst.net/research/) (Particle Filter)
Victor Chernozhukov (http://www.mit.edu/~vchern/)
Juan Antolin-Diaz (https://sites.google.com/site/juanantolindiaz/home?authuser=0) (macroeconometrics)
Silvia Miranda (http://silviamirandaagrippino.com/code-data) (macroeconometrics)
Haroon Mumtaz (https://sites.google.com/site/hmumtaz77/code) (macroeconometrics)
Gary Koop (https://sites.google.com/site/garykoop/research?authuser=0) (macroeconometrics)
Dimitris Korobilis (https://sites.google.com/site/dimitriskorobilis/matlab) (macroeconometrics)
Dimitris Korobilis (https://sites.google.com/site/dimitriskorobilis/Research?authuser=0) (macroeconometrics)
Karel Mertens (https://karelmertens.com/research/) (AER (2013) code, Proxy-SVAR)
Mark Watson (https://www.princeton.edu/~mwatson/publi.html) (Stock and Watson (2018) code, Proxy-SVAR or SVAR-IV)
Kurt Lunsford (https://sites.google.com/site/kurtglunsford/research?authuser=0) (macroeconometrics)
Jose Luis Montielo (http://www.joseluismontielolea.com/papers.html) (macroeconometrics)
Jouichi Nakajima (https://sites.google.com/site/jnakajimaweb/tvpvar) (TVP-VAR code)
Joshua Chan (https://joshuachan.org/code.html) (TVP-VAR, Bayesian)
Edouard Schaal (https://sites.google.com/site/edouardschaal/research?authuser=0) (Spatial Equilibrium Toolbox)
Andrea Prestipino (https://andreaprestipino.com/research.html) (Policy function iteration, RED 2020 code important)
Oren Levintal (https://sites.google.com/site/orenlevintal/research)
Greg Kaplan (https://gregkaplan.me/academic-publications)
Fabrizio Perri (http://www.fperri.net/research_pap.htm)
Luca Guerrieri (http://lguerrieri.com/published-research.html)
Eric Sims (https://www3.nd.edu/~esims1/matlab_codes.html) (Best lecture notes on NK models)
Ryan Chahrour (https://www.chahrour.net/research)
Fabio Canova (http://apps.eui.eu/Personal/Canova/Courses.html) (SMM, GMM, ML codes and notes)
Kirill Borusyak (https://sites.google.com/view/borusyak/code?authuser=0) (Shift-share IV)
Thomas Winberry (https://faculty.chicagobooth.edu/thomas.winberry/research/index.html)
Bart Hobijn (https://www.barthobijn.net/ResearchHobijn.html)
Anton Nakov (https://sites.google.com/site/antonnakov/home)
Xavier Ragot (http://xavier-ragot.fr/pages/research.html#pub)
Domenico Giannone (https://sites.uw.edu/dgiannon/domenico-giannone-s-homepage/) (Forecasting papers)
Benjamin Moll (https://benjaminmoll.com/codes/)
Florin Bilbiee (https://sites.google.com/site/florinbilbiie/home) (TANK)
Martin Floden (https://martinfloden.net/research)
Ralph Luetticke (https://sites.google.com/site/ralphluetticke/) (HANK)
Emi Nakamura (https://eml.berkeley.edu/~enakamura/papers.html)
Iskander Karibzhanov (http://www.karibzhanov.com/ and https://github.com/ikarib/HANK)
Alexis Akira Toda (https://sites.google.com/site/aatoda111/research) (Discretization)
Tao Zha (http://www.tzha.net/code) (Matlab codes for his papers)
Lutz Hendricks (https://lhendricks.org/computer_code.html)
Joseph Vavra (https://voices.uchicago.edu/vavra/research/)
Taisuke Nakata (https://sites.google.com/site/taisukenakata/)
Karen Kopecky (http://www.karenkopecky.net/#OtherStuff)
Mariano Kulish (https://sites.google.com/site/marianokulish/home/research?authuser=0)
James Morley (https://sites.google.com/site/jamescmorley/code?authuser=0)
Kenneth Judd (https://github.com/KennethJudd/CompEcon2020)
Marco Maffezzoli (http://didattica.unibocconi.eu/myigier/index.php?IdUte=49183&idr=19214&lingua=eng&comando=Apri)
Hyunseung Oh (https://sites.google.com/site/hyunseungoh/)
Ruge-Murcia (https://sites.google.com/site/frugemurcia/home/replication-files)
SeHyoun Ahn (https://sehyoun.com/codes.html) (notes are great)
Chris Edmond (http://www.chrisedmond.net/research.html)
Giorgio Primiceri (https://faculty.wcas.northwestern.edu/~gep575/research.html)
Ralph Koijen (https://www.koijen.net/code-and-data.html) (asset pricing, good lecture notes)
Callum Jones (https://callumjones.github.io/)
Martin Wolf (https://mwolfunisg.github.io/website/research.html)
Daniel Kaufmann (https://www.dankaufmann.com/publications)
Oscar Jorda (https://sites.google.com/site/oscarjorda/home/local-projections?authuser=0) (Local Projection, https://www.aeaweb.org/conference/cont-ed/2023-webcasts)
Valerie Ramey (https://econweb.ucsd.edu/~vramey/research.html)
Luigi Bocola (https://lbocola.people.stanford.edu/research)
Daniel Greenwald (http://www.dlgreenwald.com/)
Dongho Song (http://www.donghosong.com/)
Guido Lorenzoni (https://sites.northwestern.edu/guidolor/)
Mathias Trabandt (https://sites.google.com/site/mathiastrabandt/home/research)
Kerk Phillips (https://sites.google.com/site/kerkphillips/programs-and-data)
Elisabeth Proehl (https://github.com/zschorli/Proehl_SolvingHeterogAgentModels)
Erick Sager (https://www.ericksager.com/research.html)
Jordan Roulleau (https://sites.google.com/site/jordanroulleau/research)
Alex Clymo (http://www.alexclymo.com/research/)
Regis Barnichon (https://sites.google.com/site/regisbarnichon/data)
David Neumark (http://www.socsci.uci.edu/~dneumark/datasets.html, Wage data)
Loukas Karabarbounis (https://sites.google.com/site/loukaskarabarbounis/research)
Sebastian Graves (https://github.com/sebgraves) (Reiter (2009) code available)
Jirka Slacalek (http://www.slacalek.com/index.html)
Aeimit Lakdawala (https://aeimit.weebly.com/research.html) (MP empirics)
Marek Jarocinski (https://marekjarocinski.github.io/) (Novel MP shocks series, conventional/unconventional)
Enrique Martinez Garcia (https://sites.google.com/view/emgeconomics/research/monetary-policy?authuser=0)
Ludwig Straub (https://scholar.harvard.edu/straub/publications)
ECB (https://www.ecb.europa.eu/pub/research/working-papers/html/bear-toolbox.en.html) (BEAR Toolbox)
Global VAR (https://sites.google.com/site/gvarmodelling/home)
HUMP, Bonn Uni (http://www.erc-hump-uni-bonn.net/code-and-data/)
MMB (https://www.macromodelbase.com/) (Dynare codes are available for more than 150 important papers)
Heer and Maussner Book (2008) (https://www.wiwi.uni-augsburg.de/vwl/maussner/dge_buch/dge_book_2ed/downloads_2nd/) (Gauss code, easy to convert to Matlab)
Krusell-Smith (1998), Reiter (2009), Den Haan (2010), Algan et al. (2014), Bayer and Luetticke (2018), Winberry (2018), Fernández-Villaverde et al. (2020).
Lecture Notes for (Macro)economists
M. Brunnermeier: Macro, Money, and Finance: https://markus.scholar.princeton.edu/MacroMoneyFinance
B. Moll: Advanced Macro: https://benjaminmoll.com/lectures/
Mark Gertler: Advanced Macro: https://wp.nyu.edu/markgertler/macro-theory-2-slides/
International Macro and Finance: https://www.globalcapitalallocation.com/phd-course (Matteo Maggiori)
Applied Micro and Econometrics:
Michal Kolesar (https://github.com/kolesarm/539b?tab=readme-ov-file)
Chris Conlon (https://chrisconlon.github.io/metrics.html)
Information Theory and Learning: https://www.anniehliang.com/lecture-notes (Annie Liang)
Important Data Sources for Macroeconomists
Robert Shiller: http://www.econ.yale.edu/~shiller/data.htm (historical data - long term stock, bond, interest rate and consumption, available at monthly freq.)
Oscar Jorda: https://www.macrohistory.net/database/ (historical return data)
EWN (external wealth of nations): https://www.brookings.edu/articles/the-external-wealth-of-nations-database/ (FDI, portfolio investment, cross-country data)
US: FRED, BEA, BLS, JOLTS, CPS, CEX, CES, QWI
Euro Area: Eurostat (https://ec.europa.eu/eurostat/data/database), ECB Data Portal (https://data.ecb.europa.eu/data/datasets)
World Industrial Production Index: Baumeister - https://sites.google.com/site/cjsbaumeister/datasets?authuser=0 (used as a proxy for aggregate demand)
US Treasury Yield Curve: https://www.federalreserve.gov/pubs/feds/2006/200628/200628abs.html (1961-present)
TIPS Yield Curve: https://www.federalreserve.gov/pubs/feds/2008/200805/200805abs.html (1999-present)
EM sovereign bonds (BIS): https://www.bis.org/publ/work1075.htm (2005- present)
Credit-to-GDP (BIS): https://data.bis.org/topics/CREDIT_GAPS
Macroprudential Policy (https://www.eugeniocerutti.com/datasets) (cross-country data)
Trade Elasticity Data: https://www.columbia.edu/~dew35/TradeElasticities/TradeElasticities.html (Broda and Weinstein (2006) paper)
Shock Series
MP shocks: Bauer-Swanson (2022), Gertler-Karadi (2015), Romer-Romer (2004), Nakamura-Steinsson (2018), Agrippino-Ricco (2021), Jarocinski-Karadi (2020), Altavilla et al. (2019)
Oil shocks: Kanzig (2023), Baumeister-Hamilton (2019), Kilian (2009)
Technology shocks and Fiscal shocks (govt spending, tax, military spending): See Ramey (2016) (https://econweb.ucsd.edu/~vramey/research.html)
Excess Bond Premium: Gilchrist-Zakrajsek (2012), regularly updated (https://www.federalreserve.gov/econres/notes/feds-notes/updating-the-recession-risk-and-the-excess-bond-premium-20161006.html)
Uncertainty Index: Nick Bloom - EPU - https://www.policyuncertainty.com/all_country_data.html
List of Puzzles and Paradoxes in Economics
Equity-premium puzzle (high return on risky assets)
Dividend puzzle (paying dividend -> higher valuation)
Forward Premium puzzle (Fama puzzle)
Price puzzle (price increases after MP tightening)
Paradox of toil (see Eggertson)
Paradox of thrift
Forward Guidance puzzle (strong response to future interest rate changes)
Meese-Rogoff puzzle (unpredictability of exchange rates)
Backus-Smith puzzle (cyclicality of exchange rates)
Backus-Kehoe-Kydland puzzle (correlation of consumption across countries)
Real exchange rate puzzle (high volatility of real exchange rates, disconnect from PPP)
Shimer puzzle (standard labor market matching cannot capture unemployment cyclicality)
Home-bias in trade
Home-bias in portfolio
Merger paradox (decline in profit post-merger)
see the link for more: https://github.com/OpenSourceEconomics/macro-puzzles?tab=readme-ov-file#monetary-economics
Non-academic Resources for Macroeconomists
David Beckworth's podcast - Macromusings: https://macromusings.libsyn.com/
Klaus Adam's podcast: https://www.klaus-adam.com/podcasts/
Cochrane: https://johnhcochrane.blogspot.com/
David Andolfatto: https://andolfatto.blogspot.com/
Alfonso Peccatiello's podcast - Macro Trading Floor: https://themacrocompass.org/the-macro-trading-floor-podcast/