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)

• 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

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/