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- Caldara, Dario, and Matteo Iacoviello (2022), "Measuring
Geopolitical Risk," American Economic Review, April, 112(4), pp.1194–1225.
Geopolitical Risk Webpage contains additional material and updated data.
- Gabriel, Stuart, Matteo Iacoviello, and Chandler
Lutz (2021), "A
Crisis of Missed Opportunities? Foreclosure Costs
and Mortgage Modification During the Great
Recession," Review of Financial Studies, 34, pp.864-906.
- De Michelis, Andrea, Matteo Iacoviello, and Thiago Ferreira (2020), "Oil
Prices and Consumption across Countries and U.S.
States," International Journal of Central Banking, March, 16(2), pp.3-43.
- Caldara, Dario, Matteo Iacoviello, Patrick Molligo, Andrea Prestipino, and Andrea Raffo (2020), "The Economic Effects of Trade Policy Uncertainty,"
Journal of Monetary Economics, 109, pp.38-59.
Trade Policy Uncertainty Webpage contains the model Replication Codes as well as additional material, including updated monthly time-series data on Trade Policy Uncertainty going back to 1960.
- Iacoviello, Matteo, Pablo Cuba-Borda, Luca Guerrieri, and Molin Zhong (2019), "Likelihood Evaluation of Models with Occasionally Binding Constraints,"
Journal of Applied Econometrics, September, pp.1-13.
- Guerrieri, Luca, Matteo Iacoviello, Francisco Covas, John C. Driscoll, Mohammad Jahan-Parvar, Michael Kiley, Albert Queralto and Jae Sim (2019), "Macroeconomic Effects of Banking Sector Losses across Structural Models," International Journal of Central Banking, September, pp.137-204.
- Iacoviello, Matteo, and Gaston Navarro (2019), "Foreign
Effects of Higher U.S. Interest Rates," Journal
of International Money and Finance, vol.95, July, pp.232-250.
- Caldara, Dario, Michele Cavallo, and Matteo
Iacoviello (2019), "Oil
Price Elasticities and Oil Price Fluctuations," Journal of Monetary Economics, vol.103, May, pp.1-20.
Replication Codes for IV regressions and oil supply shocks data in Figure 4
Replication Codes for VAR and other Figures
- Guerrieri, Luca, and Matteo Iacoviello (2017), "Collateral Constraints and Macroeconomic Asymmetries," Journal
of Monetary Economics, vol. 90, October,
Codes for reproducing some
of the key results (basic model, impulse responses,
estimation and filtering of shocks) are here.
- De Michelis, Andrea, and Matteo Iacoviello (2016),
an Inflation Target: The Japanese Experience with
Abenomics," European Economic Review,
vol. 88, September, pp. 67-87.
Replication Codes for the models in the paper
- Guerrieri, Luca, and Matteo Iacoviello (2015), "OccBin:
A Toolkit to Solve Models with Occasionally
Binding Constraints Easily," Journal of
Monetary Economics, vol. 70, March, pp. 22-38.
Dynare Codes (occbin_20140630.zip, updated
June 30, 2014),
Code to reproduce Figure C in Technical
Some Simple Codes written in 2018 for Filtering and Estimation
- Iacoviello, Matteo (2015), "Financial
Business Cycles," Review of Economic
Dynamics, vol 18(1), pp.140-163.
Technical Appendix with some of the
FBC Replication Files
- Iacoviello, Matteo, and Marina Pavan (2013), "Housing
and Debt over the Life Cycle and over the Business
Cycle," Journal of Monetary Economics,
March, vol. 60(2), pages 221-238.
Appendix is available
here, Replication Codes are
- Guerrieri, Luca, Matteo Iacoviello, and Raoul
Minetti (2013), "Banks,
Sovereign Debt and the International Transmission
of Business Cycles," NBER International
Seminar on Macroeconomics, University of Chicago
Press, vol. 9, pages 181-213, 2013.
Replication Codes here.
Appendix with steady state derivations here.
- Iacoviello, Matteo (2012), "Housing
Wealth and Consumption," International
Encyclopedia of Housing and Home, pp. 673-678,
- Iacoviello, Matteo, Fabio Schiantarelli and Scott
Schuh (2011), "Input
and Output Inventories in General Equilibrium,"
International Economic Review, November, pp.
Technical Appendix is available
- Iacoviello, Matteo (2010), "Housing
in DSGE Models: Findings and New Directions,"
in Bandt, O. de; Knetsch, Th.; Penalosa, J.;
Zollino, F. (Eds.), Housing Markets in Europe: A
Macroeconomic Perspective, Berlin, Hidelberg:
Springer-Verlag, pp. 3-16.
- Iacoviello, Matteo, and Stefano Neri (2010), "Housing
Market Spillovers: Evidence from an Estimated DSGE
Model," American Economic Journal:
Macroeconomics, 2 (April): pp. 125-164.
Appendix C (Estimation Details),
Appendix D (Robustness Analysis),
Appendix E (Mathematical Derivations),
- Iacoviello, Matteo (2008), "Household
Debt and Income Inequality, 1963-2003," Journal
of Money, Credit and Banking, Vol. 40, No. 5
(August), pp. 929-965.
- Iacoviello, Matteo, and Raoul Minetti (2008), "The
Credit Channel of Monetary Policy: Evidence from
the Housing Market," Journal of
Macroeconomics, Vol. 30, No. 1 (March), pp.
- Iacoviello, Matteo, and Marina Pavan (2007), "An
Equilibrium Model of Lumpy Housing Investment,"
Rivista di Politica Economica, Vol. II,
- Iacoviello, Matteo, and Raoul Minetti (2006), "International
Business Cycles with Domestic and Foreign Lenders,"
Journal of Monetary Economics, Vol. 53, No. 8
(November), pp. 2267-2282.
working paper version with additional
- Iacoviello, Matteo (2005), "House
Prices, Borrowing Constraints and Monetary Policy
in the Business Cycle," American Economic
Review, Vol. 95, No. 3 (June), pp. 739-764.
Replication Codes (including technical
Dynare_3 Code to replicate impulse responses.
- Iacoviello, Matteo (2004), "Consumption,
House Prices and Collateral Constraints: a
Structural Econometric Analysis," Journal
of Housing Economics, Vol 13, No. 4, pp.
- Iacoviello, Matteo and Francois Ortalo-Magne
Housing Risk in London," The Journal of
Real Estate Finance and Economics, Vol 27,
No.2, pp. 191-209
- Iacoviello, Matteo and Raoul Minetti (2003), "Financial
Liberalisation and the Sensitivity of House Prices
to Monetary Policy: Theory and Evidence," The
Manchester School, Vol 71, No. 1, pp. 20-34.