Course on Quantitative Macroeconomics (Master/PhD level)

Vector autoregressive model in Julia

This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," American Economic Review, vol. 99(3), pages 1053-1069, June. Specifically: Cholesky Decomposition, Structural Impulse Response, Historical Evolution of the Structural Shock, His…

Package and test files for SVARIV. Used for Masters thesis, "Oil Price and the Stock Market: A Structural VAR Model Identified with an External Instrument"

Code to reproduce paper Adrian, Duarte and Iyer (2023), “The Market Price of Risk and Macro-Financial Dynamics”

The aim of this code is to show the preliminary results of the forecast for the term structure (with different maturities) of the Mexican government bonds using different types of models.

Code, data, and additional materials for our chapter in the Handbook of Energy Economics

replication code for „Shadow-Rate VARs“ by Carriero, Clark, Marcellino and Mertens

Helper functions for `vars` and `lpirfs` packages

SVAR in R programming language.

The folder contains examples and codes developed in the Willy Mutchler lecture's at the Tübingen University . The course deals with estimation of SVAR and DSGE models