Quantitative Macroeconomics & Real Business Cycles

For technical questions regarding this series, please contact (Christian Zimmermann)
Series handle: repec:dge:qmrbcd

• Matlab code for "Solving the incomplete markets model with aggregate uncertainty using the Krusell-Smith algorithm"
  by Lilia Maliar & Fernando Valli & Seguei Maliar [Downloadable!]

• Excel files and MATLAB programs for growth in monetary economies
  by Alfonso Novales & Esther Fernandez & Jesus Ruiz [Downloadable!]
• Excel files and MATLAB programs for endogenous growth models
  by Alfonso Novales & Esther Fernandez & Jesus Ruiz [Downloadable!]
• Excel files and MATLAB programs for numerical soultion methods
  by Alfonso Novales & Esther Fernandez & Jesus Ruiz [Downloadable!]
• Excel files and MATLAB programs for optimal growth
  by Alfonso Novales & Esther Fernandez & Jesus Ruiz [Downloadable!]
• Excel files and MATLAB programs for neoclassical growth model
  by Alfonso Novales & Esther Fernandez & Jesus Ruiz [Downloadable!]
• Excel files for dynamics responses and simple simulations
  by Alfonso Novales & Esther Fernandez & Jesus Ruiz [Downloadable!]
• GAUSS program for 'Steady state wealth and saving rates based on ECM-type consumption function'
  by Gabor Vadas [Downloadable!]
• Matlab Code for Solving Linear Rational Expectation Models with Lagged Expectations Quickly and Easily
  by Alexander Meyer-Gohde [Downloadable!]
• Matlab code to replicate the Beaudry-Portier news shock model
  by Kengo Nutahara [Downloadable!]
• GAUSS code for the Uzawa-Lucas Model
  by Cheuk-Yin Ho [Downloadable!]

• HP-Filter DLL executable
  by Kurt Annen [Downloadable!]
• HP-Filter Excel Add-In
  by Kurt Annen [Downloadable!]
• Expectation Shock Simulation with DYNARE
  by Ippei Fujiwara & Heedon Kang [Downloadable!]
• Business cycle extraction based on constrained multivariate HP filter
  by Gabor Vadas [Downloadable!]
• Mathematica Notebook for the HP-Filter
  by William Polley [Downloadable!]
• LREM SOLVE: Matlab Solver for Linear Rational Expectation Models
  by Pawel Kowal [Downloadable!]
• Fortran Code For Implementing the Particle Filter
  by David DeJong & Chetan Dave [Downloadable!]
• Gauss Code For Implementing the Particle Filter
  by David DeJong & Chetan Dave [Downloadable!]
• Solve Stochastic Optimal Growth Model Given Delta-Rho=1 (GAUSS)
  by David DeJong & Chetan Dave [Downloadable!]
• Solve Stochastic Optimal Growth Model Using Log-Linearization (GAUSS)
  by David DeJong & Chetan Dave [Downloadable!]
• Solve Stochastic Optimal Growth Model Using Orthogonal Collocation, Log-Normal Process for a (GAUSS)
  by David DeJong & Chetan Dave [Downloadable!]
• Solve Stochastic Optimal Growth Model Using Orthogonal Collocation, Markov Process for a (GAUSS)
  by David DeJong & Chetan Dave [Downloadable!]
• Solve Deterministic Optimal Growth Model Using Projection Algorithm (GAUSS)
  by David DeJong & Chetan Dave [Downloadable!]

• Matlab code for Hansen-Imrohoroglu (1992) JPE article
  by Fabio Kanczuk [Downloadable!]
• Code for "The Japanese Saving Rate"
  by Kaiji Chen & Ayse Imrohoroglu & Selahattin Imrohoroglu [Downloadable!]
• Matlab for "Parameterized Expectations Algorithm: How to Solve for Labor Easily"
  by Lilia Maliar & Serguei Maliar [Downloadable!]
• Matlab code for "Solving Nonlinear Dynamic Stochastic Models: An Algorithm Computing Value Function by Simulations"
  by Lilia Maliar & Serguei Maliar [Downloadable!]
• Tools Useful to Solve Dynamic General Equilibrium Models (GAUSS)
  by Alfred Maussner [Downloadable!]
• Projection Methods (GAUSS)
  by Alfred Maussner [Downloadable!]
• Parametrized Expectations (GAUSS)
  by Alfred Maussner [Downloadable!]
• Linear Quadratic and Linear Approximation Methods (GAUSS)
  by Alfred Maussner [Downloadable!]
• Solving the Ramsey model (GAUSS)
  by Alfred Maussner [Downloadable!]
• Band Pass Filter code (Perl)
  by Christian Zimmermann [Downloadable!]
• Band-Pass Filter (web interface)
  by Christian Zimmermann [Downloadable!]
• HP-Filter code (Perl)
  by Christian Zimmermann [Downloadable!]
• HP-Filter (web interface)
  by Christian Zimmermann [Downloadable!]

• HP-filter for Java
  by Kurt Annen [Downloadable!]
• Matlab functions for HP-filter
  by Kurt Annen [Downloadable!]
• Band-Pass Filter Excel Add-in
  by Kurt Annen [Downloadable!]
• Overlapping Generations Models (GAUSS)
  by Burkhard Heer [Downloadable!]
• Code for "Solving Rational Expectations Models Using Excel"
  by Holger Strulik [Downloadable!]
• Code for "A Simple and Intuitive Method to Solve Small Rational Expectation Models"
  by Martin Brunner & Holger Strulik [Downloadable!]
• SimulEditor: Java code to create Matlab code for Uhlig toolkit
  by Kolver Hernandez [Downloadable!]
• Asset prices in real business cycle models rbcfull.m (which calls rbcfull_go.m file and the rbcfull_sim.m file). This program uses Harald Uhlig's Toolkit
  by Matteo Iacoviello [Downloadable!]
• Sticky information model
  by Matteo Iacoviello [Downloadable!]
• Dynamic new-Keynesian model with lags
  by Matteo Iacoviello [Downloadable!]
• Full dynamic new-Keynesian model
  by Matteo Iacoviello [Downloadable!]
• Reduced form dynamic new-Keynesian model
  by Matteo Iacoviello [Downloadable!]
• Credit cycle model
  by Matteo Iacoviello [Downloadable!]
• Model of interaction between monetary and fiscal policy
  by Matteo Iacoviello [Downloadable!]
• Optimal interest rate rule model
  by Matteo Iacoviello [Downloadable!]
• Cash in advance model
  by Matteo Iacoviello [Downloadable!]
• Sidrauski money in utility function model
  by Matteo Iacoviello [Downloadable!]

• Code for "Unemployment Insurance and Capital Accumulation"
  by Eric Young [Downloadable!]
• Matlab codes for various monetary models
  by Carl Walsh [Downloadable!]
• Parametrized Expectations (Fortran)
  by Alfred Maussner [Downloadable!]
• Value Function Iteration
  by S. Boragan Aruoba & Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez [Downloadable!]
• Perturbation (2nd and 5th order)
  by S. Boragan Aruoba & Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez [Downloadable!]
• Chebyshev Polynomials
  by S. Boragan Aruoba & Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez [Downloadable!]
• Finite Elements Method
  by S. Boragan Aruoba & Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez [Downloadable!]
• Linear and Log-Linear Approximation
  by S. Boragan Aruoba & Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez [Downloadable!]
• Matlab code for Sbordone's estimation for a sticky price model
  by Ryo Kato [Downloadable!]
• Matlab code for the Phelan-Trejos model
  by Ryo Kato [Downloadable!]
• Matlab code for Kiyotaki-Moore credit cycles
  by Ryo Kato [Downloadable!]
• Matlab code for a standard New IS-LM model with interest rate shocks
  by Ryo Kato [Downloadable!]
• Mathematica Notebook for Some Results on the Solution of the Neoclassical Growth Model
  by Juan F. Rubio-Ramirez [Downloadable!]
• Matlab code for Solving a Neoclassical Growh Model with a Parametrized Expectations Algorithm and Moving Bounds
  by Lilia Maliar & Serguei Maliar [Downloadable!]
• Matlab code for Solving Dynamic General Equilibrium Models Using a Second-Order Approximation to the Policy Function
  by Stephanie Schmitt-Grohe & Martin Uribe [Downloadable!]
• RATS code for Macroeconomic Expectations Of Households And Professional Forecasters
  by Christopher Carroll [Downloadable!]

• Code for "Approximate Aggregation"
  by Eric Young [Downloadable!]
• Solving the Ramsey Model (Fortran)
  by Alfred Maussner [Downloadable!]
• Matlab code for a sticky wage/price model
  by Ryo Kato & Takayuki Tsuruga [Downloadable!]
• Matlab code for the Carlstrom-Fuerst AER (1997) model
  by Ryo Kato [Downloadable!]
• Matlab code for a standard RBC model
  by Ryo Kato [Downloadable!]
• Code for "Solution of Perfect Foresight Sattlepoint Problems: A Simple Method and Applications"
  by Martin Brunner & Holger Strulik [Downloadable!]
• Auerbach-Kotlikoff Model
  by Alan Auerbach & Laurence Kotlikoff [Downloadable!]
• Matlab codes for escape dynamics
  by Andrea Gerali & Francesco Lippi [Downloadable!]
• Matlab code for Public saving and policy coordination in aging economies
  by Martin Floden [Downloadable!]
• Matlab code for Technology Shocks in the New Keynesian Model
  by Peter Ireland [Downloadable!]
• Solution of a system of linear difference equations (FORTRAN90)
  by Paul Klein [Downloadable!]

• Fortran code for Hansen-Imrohoroglu (1992) JPE article
  by Aysegul Sahin [Downloadable!]
• Software for RE Analysis
  by Bennett McCallum [Downloadable!]
• Matlab code for the McCallum/Nelson model
  by Ryo Kato [Downloadable!]
• GAUSS code for the HP-filter reformulated as a constrained minimization problem
  by Albert Marcet & Morten Ravn [Downloadable!]
• Gauss programs for On Measuring the Welfare Costs of Business Cycles
  by Christopher Otrok [Downloadable!]
• Matlab code for On the Fiscal Implications of Twin Crises
  by Craig Burnside & Martin Eichenbaum & Sergio Rebelo [Downloadable!]
• FORTRAN code for Shocks and Institutions
  by Wouter Denhaan [Downloadable!]
• Matlab code for The Labor-Supply Elasticity and Borrowing Constraints: Why Estimates are Biased
  by David Domeij & Martin Floden [Downloadable!]
• Matlab code for Closing Small Open Economy Models
  by Stephanie Schmitt-Grohe & Martin Uribe [Downloadable!]
• Matlab code for "Endogenous Money or Sticky Prices?"
  by Peter Ireland [Downloadable!]
• Mathematica code for Precautionary Saving and the Marginal Propensity to Consume out of Permanent Income
  by Christopher D. Carroll [Downloadable!]
• Mathematica code for Death to the Log-Linearized Consumption Euler Equation!
  by Christopher D. Carroll [Downloadable!]
• Codes for A Theory of the Consumption Function, With and Without Liquidity Constraints
  by Christopher D. Carroll [Downloadable!]
• Matlab code for the robustness in forward looking models, oligopoly example
  by Thomas Sargent & Stijn Van Nieuwerburgh [Downloadable!]
• Matlab Code for Solving Linear Rational Expectations Models
  by Christopher Sims [Downloadable!]

• Matlab code for Real Business Cycle Models: Linear Approximation and GMM Estimation
  by Craig Burnside [Downloadable!]
• MATLAB Comovement Programs
  by Steve Sumner [Downloadable!]
• Matlab code for Money's Role in the Monetary Business Cycle
  by Peter Ireland [Downloadable!]
• Mathematica code for 'Saving and Growth with Habit Formation' and 'Comparison Utility in a Growth Model'
  by Christopher D. Carroll & Jody Overland & David N. Weil [Downloadable!]
• STATA code for Portfolios of the Rich
  by Christopher D. Carroll [Downloadable!]
• Mathematica code for Requiem for the Representative Consumer?
  by Christopher D. Carroll [Downloadable!]
• Matlab code for policy iteration algorithm
  by Thomas Sargent [Downloadable!]
• Solution of a system of linear difference equations (Matlab)
  by Paul Klein [Downloadable!]
• Solution of a system of linear difference equations (GAUSS)
  by Paul Klein [Downloadable!]
• Matlab Code for Second Order Accurate Solution of Discrete Time Dynamic Equilibrium Models
  by Christopher Sims [Downloadable!]

• Matlab code for Discrete State-Space Methods for the Study of Dynamic Economies
  by Craig Burnside [Downloadable!]
• Matlab code for A Method for Decomposing Time Series into Trend and Cycle Components
  by Julio Rotemberg [Downloadable!]
• Projections Parameterized Expectations Algorithms (Fortran)
  by Christian Haefke [Downloadable!]
• FORTRAN code for Liquidity Flows and Fragility of Business Enterprises
  by Wouter Denhaan & Garey Ramey & Joel Watson [Downloadable!]
• Mathematica code for Solving Representative Agent Dynamic Stochastic Optimization Problems
  by Christopher D. Carroll [Downloadable!]
• Mathematica code for Solving Microeconomic Dynamic Stochastic Optimization Problems
  by Christopher D. Carroll [Downloadable!]
• Matlab code for A Method for Taking Models to the Data
  by Peter Ireland [Downloadable!]
• Matlab code for Neal's model of career choice
  by Thomas Sargent [Downloadable!]
• Matlab code for the Bewley model with production
  by Lars Ljungqvist & Thomas Sargent [Downloadable!]
• Matlab code for Hopenhayn-Nicolini's optimal unemployment insurance model
  by Lars Ljungqvist & Thomas Sargent [Downloadable!]
• GAUSS codes for solving linear expectational difference equations
  by John Jones [Downloadable!]
• Matlab Optimization Software
  by Christopher Sims [Downloadable!]

• Computing Models of Social Security
  by Ayse Imrohoroglu & Selahattin Imrohoroglu & Douglas H. Joines [Downloadable!]
• Optimal Fiscal Policy in a Linear Stochastic Economy
  by Thomas J. Sargent & Francois R. Velde [Downloadable!]
• Finite-Difference Methods for Continuous-Time Dynamic Programming
  by Graham V. Candler [Downloadable!]
• The Parameterized Expectations Approach: Some Practical Issues
  by Albert Marcet & Guido Lorenzoni [Downloadable!]
• Application of Weighted Residual Methods to Dynamic Economic Models, Spectral Methods
  by Ellen McGrattan [Downloadable!]
• Application of Weighted Residual Methods to Dynamic Economic Models, Finite Element Methods
  by Ellen McGrattan [Downloadable!]
• Discrete State-Space Methods for the Study of Dynamic Economies
  by Craig Burnside [Downloadable!]
• Solving Non-linear Rational Expectations Models By Eigenvalue-Eigenvector Decompositions
  by Alfonso Novales & Emilio Dominguez & Javier J. Perez & Jesus Ruiz [Downloadable!]
• A Toolkit for Analysing Nonlinear Dynamic Stochastic Models Easily
  by Harald Uhlig [Downloadable!]
• Value Function and Optimal Decision Rules of a Linear-quadratic Approximation
  by Jorge Duran [Downloadable!]
• Projections Parameterized Expectations Algorithms (Matlab)
  by Christian Haefke [Downloadable!]
• Projections Parameterized Expectations Algorithms (Gauss)
  by Christian Haefke [Downloadable!]
• Matlab code for Does the Time-Consistency Problem Explain the Behavior of Inflation in the United States?
  by Peter Ireland [Downloadable!]

• GAUSS and Matlab codes for Multivariate Linear Rational Expectations Models: Characterization of the Nature of the Solutions and Their Fully Recursive Computation
  by Michael Binder & M. Hashem Pesaran [Downloadable!]
• GAUSS and Matlab codes for Solution of Finite-Horizon Multivariate Linear Rational Expectations Models and Sparse Linear Systems
  by Michael Binder & M. Hashem Pesaran [Downloadable!]
• FORTRAN code for Job Destruction and Propagation of Shocks
  by Wouter Denhaan & Garey Ramey & Joel Watson [Downloadable!]
• FORTRAN code for Solving Dynamic Models with Aggregate Shocks and Heterogeneous Agents
  by Wouter Denhaan [Downloadable!]
• Mathematica code for Unemployment Expectations, Jumping (S,s) Triggers, and Household Balance Sheets
  by Christopher D. Carroll & Wendy Dunn [Downloadable!]

• VARHAC Covariance Matrix Estimator (RATS)
  by Wouter Denhaan & Andrew T. Levin [Downloadable!]
• VARHAC Covariance Matrix Estimator (GAUSS)
  by Wouter Denhaan & Andrew T. Levin [Downloadable!]
• VARHAC Covariance Matrix Estimator (FORTRAN)
  by Wouter Denhaan & Andrew T. Levin [Downloadable!]
• FORTRAN code for Heterogeinity, Aggregate Uncertainty and the Short-Term Interest Rate
  by Wouter Denhaan [Downloadable!]

• RATS code for Business Cycles Statistics and their Standard Errors
  by Wouter Denhaan & Andrew T. Levin [Downloadable!]
• Matlab code for robustifying Muth Filter
  by Lars Peter Hansen & Thomas Sargent [Downloadable!]
• Matlab code for robust Muth decision filter
  by Lars Peter Hansen & Thomas Sargent [Downloadable!]
• Matlab code for ordered real generalized Schur decomposition
  by Evan Anderson [Downloadable!]

• GAUSS code for solving for the decision rules using a Ricatti Equation approach
  by Morten Ravn [Downloadable!]
• GAUSS and Matlab codes for Multivariate Rational Expectations Models and Macroeconometric Modelling: A Review and Some New Results
  by Michael Binder & M. Hashem Pesaran [Downloadable!]
• RATS code for Does Consumer Sentiment Forecast Household Spending? If So, Why?
  by Christopher D. Carroll & Jeffery C. Fuhrer & David W. Wilcox [Downloadable!]

• SoWhat for Windows 1.6
  by Holger Strulik [Downloadable!]
• Web interface for "Dynamics of the Trade Balance and the Terms of Trade: The J-Curve?"
  by David Backus & Patrick Kehoe & Finn E. Kydland [Downloadable!]
• DOS executable for "Dynamics of the Trade Balance and the Terms of Trade: The J-Curve?"
  by David Backus & Patrick Kehoe & Finn E. Kydland [Downloadable!]

• FORTRAN code for Simulation Parameterized Expecations Algorithm
  by Wouter Denhaan & Albert Marcet [Downloadable!]

• GAUSS code for the Hodrick-Prescott filter
  by Ken Matheny & Simon van Norden & Robert Vigfusson [Downloadable!]

• Web interface for "Time to Build and Aggregate Fluctuations"
  by Finn E. Kydland & Edward C. Prescott [Downloadable!]
• Executable program for "Time to Build and Aggregate Fluctuations"
  by Finn E. Kydland & Edward C. Prescott [Downloadable!]
• FORTRAN code for the Hodrick-Prescott filter
  by Edward C. Prescott [Downloadable!]

• Projection Methods (Fortran)
  by Alfred Maussner [Downloadable!]
• Dynamics of the Distribution Function in Heterogeneous-Agent Models (GAUSS)
  by Burkhard Heer [Downloadable!]
• A Heterogenous-Agent Extension of the Ramsey Model (GAUSS)
  by Burkhard Heer [Downloadable!]
• Matlab code for a standard New IS-LM model with money shocks
  by Ryo Kato & Shinichi Nishiyama [Downloadable!]
• GAUSS code for Mehra-Prescott
  by Morten Ravn [Downloadable!]
• GAUSS code for Backus-Kehoe-Kydland
  by Morten Ravn [Downloadable!]
• King-Plosser-Rebelo GAUSS programmes
  by Morten Ravn [Downloadable!]
• Alternate GAUSS program for the Hodrick-Prescott Filter
  by Morten Ravn [Downloadable!]
• GAUSS program for Hodrick-Prescott filter
  by Morten Ravn [Downloadable!]
• Matlab code for robust Ramsey tax policies
  by Thomas Sargent [Downloadable!]
• Matlab code for the spectrum of a stochastic process
  by Thomas Sargent [Downloadable!]
• Matlab code for limit of a Nash linear quadratic two-player dynamic game
  by Thomas Sargent [Downloadable!]
• Matlab code for a Laffer curve equilibrium
  by Thomas Sargent [Downloadable!]
• Matlab code for Nash feedback equilibrium of a linear quadratic dynamic game
  by Thomas Sargent [Downloadable!]
• Matlab code for Jovanovic's matching model
  by Thomas Sargent [Downloadable!]
• Matlab code for the frequency response of a digital filter
  by Thomas Sargent [Downloadable!]
• Matlab code for the solution to Riccati matrix difference equations associated with the Kalman filter
  by Thomas Sargent [Downloadable!]
• Matlab code for the Riccati solution to linear quadratic model
  by Thomas Sargent [Downloadable!]
• Matlab code for the Kalman filter
  by Thomas Sargent [Downloadable!]
• Hansen-Janagathan bounds computation
  by Lars Ljungqvist & Thomas Sargent [Downloadable!]
• Johansen-Juselius procedure of cointegration analysis
  by Christian Dreger [Downloadable!]
• GAUSS code for the Imrohoroglu (1989) model without aggregate uncertainty
  by Gary D. Hansen [Downloadable!]
• GAUSS code for an overlapping generations model with inelastic labor supply
  by Gary D. Hansen [Downloadable!]
• GAUSS code for a basic model with money, cash-in-advance constraint
  by Gary D. Hansen [Downloadable!]
• GAUSS code for the basic Hansen (1985) model
  by Gary D. Hansen [Downloadable!]
• GAUSS code useful for many RBC models
  by Gary D. Hansen [Downloadable!]
• MATLAB code for the Hodrick-Prescott filter
  by Ivailo Izvorski [Downloadable!]

Did you know? You can include your works in the database easily by uploading them on the Munich Personal RePEc Archive (MPRA) if you do not have access to an institutional RePEc archive.

This page was last updated on 2009-11-8.