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dsge_mod

A collection of Dynare models

dynamic_quantile_panel

econmodel_dynamicmodels

『動学マクロ経済学へのいざない』プログラム

econometric-measures-of-systemic-risk

An econometric measure of systemic risk in banking sector

econometrics-research-project

economic-monitoring

High Frequency Economic Datasets for Monitoring the Swiss Economy

emdfm

R package for Dynamic Factor Models estimation and forecast evaluation, using the Expectation Maximization algorithm

fair

Matlab code for"Functional Approximation of Impulse Responses" with Regis Barnichon, Journal of Monetary Economics, forthcoming

ffr_rate_changes

The main focus of this project is to replicate the results of the Romer and Romer 04 paper and then use their monetary policy shock series for other research projects.

financial_inclusion_africa

Analysis of the dataset "Financial Inclusion in Africa"

financialcycle

Code for Power Cohesion and for deriving the different financial cycle measures. (Financial cycles: Characterisation and real-time measurement with Paul Hiebert and Tuomas Peltonen, JIMF, 100, 102082, 2020)

fixed_effects_model

This repository introduces how to run fixed effects models and do some hypothesis testing in Stata.

fvarseg

High-dimensional time series segmentation via factor-adjusted VAR modelling

fx_forecasting_model

Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"

garchmodels

The Tidymodels Extension for GARCH models

global-growth-accounting

Global Growth Accounting

gmvarkit

R package for Gaussian and Student's t mixture vector autoregression analysis (also available through CRAN)

gmwm

Generalized Method of Wavelet Moments (GMWM) is an estimation technique for the parameters of time series models. It uses the wavelet variance in a moment matching approach that makes it particularly suitable for the estimation of certain state-space models.

gravity_unescap-gravity-2020

ARTNeT Advanced Workshop on Analysing Trade and Trade Policy with the Structural Gravity Model

growth_at_risk

Conditional Density Projection via Quantile Regressions, Resampling and Multifit Models

heavy_model_volatilityforecast

An application of Shephard & Sheppard (2010) via highfrequency package of R

het_agents_bayes

Estimation of heterogeneous agent models using both macro and micro data

identifying-indicators-of-systemic-risk

Replications files to Identifying Indicators of Systemic Risk by Benny Hartwig, Christoph Meinerding and Yves Schüler

ivar_model_w_selected_moderators

IVAR model (interacted vector autoregression) with selected moderators applied with oil price shocks and GDP growth

japaneseeconforecast

Replication material for "Forecasting Japanese Macroeconomy Using High Dimensional Data"

localvolatilitymodelling

R Code for local volatility modelling paper

lp_var_simul

Simulation study of Local Projections, VARs, and related estimators

ltvar

R code for Bayesian Estimation of Latent Threshold VAR

matching

This repository includes Stata coding for matching estimations, especially propensity score matching.

memochange

An R package for identifying structural changes in time series.