Quantitative Macroeconomics & Real Business Cycles

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

• 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!]

• 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!]
• 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!]

• 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 "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!]

• 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!]
• 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!]

• 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!]
• Fortran code for Hansen-Imrohoroglu (1992) JPE article
  by Aysegul Sahin [Downloadable!]
• Software for RE Analysis
  by Bennett McCallum [Downloadable!]
• Matlab Code for Solving Linear Rational Expectations Models
  by Christopher Sims [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!]

• 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!]

• 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!]
• 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!]

• 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 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!]
• GAUSS code for solving for the decision rules using a Ricatti Equation approach
  by Morten Ravn [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!]
• SoWhat for Windows 1.6
  by Holger Strulik [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!]

• 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 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!]
• 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!]
• GAUSS code for the Imrohoroglu (1989) model without aggregate uncertainty
  by Gary D. Hansen [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!]
• GAUSS code for an overlapping generations model with inelastic labor supply
  by Gary D. Hansen [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!]
• GAUSS code for a basic model with money, cash-in-advance constraint
  by Gary D. Hansen [Downloadable!]
• MATLAB code for the Hodrick-Prescott filter
  by Ivailo Izvorski [Downloadable!]

Did you know? Want to help out with this project? Look for volunteer opportunities.

This page was last updated on 2008-4-27.