Publications:
- Caldara, Dario, Francesco Ferrante, Matteo Iacoviello, Andrea Prestipino, and Albert Queralto (2024),
"The International Spillovers of Synchronous Monetary Tightening," Journal of Monetary Economics, 141, January, pp.127-152.
Appendix
Presentation (August 2023)
Replication Files, Data
Replication Files, Model
- Ferrante, Francesco, Sebastian Graves, and Matteo Iacoviello (2023),
"The Inflationary Effects of Sectoral Reallocation," Journal of Monetary Economics, 140, November, pp.S64-S81.
Appendix
Presentation (July 2023)
Replication Files
- Caldara, Dario, and Matteo Iacoviello (2022),
"Measuring Geopolitical Risk," American Economic Review, April, 112(4), pp.1194–1225.
Online Appendix here.
The Geopolitical Risk Webpage contains additional material and updated data.
Earlier version (December 2019) of the paper here
- 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.
Code to reproduce Figure 7 and 8 (country panel VAR)
here.
- 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.
Technical Appendix
here.
Replication Codes for the Model
here.
Replication Codes for the stochastic volatility measure of tariff uncertainty in Figure 4
here.
The
Trade Policy Uncertainty Webpage contains 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.
Replication Codes
here.
- 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.
Technical Appendix
here.
- 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.
Replication Codes
here.
Vulnerability Data
here.
- 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.
Technical Appendix
here.
Replication Codes for IV regressions and oil supply shocks data in Figure 4
here.
Replication Codes for VAR and other Figures
here.
- Guerrieri, Luca, and Matteo Iacoviello (2017), "Collateral Constraints and Macroeconomic Asymmetries," Journal
of Monetary Economics, vol. 90, October,
pp.28-49.
Codes for reproducing some
of the key results (basic model, impulse responses,
estimation and filtering of shocks) are here.
Replication Codes for Empirical Analysis
here.
- De Michelis, Andrea, and Matteo Iacoviello (2016),
"Raising
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
here.
- 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.
Technical Appendix.
Updated Presentation.
Dynare Codes to implement OccBin in Dynare (occbin_20140630.zip, updated June 30, 2014).
Code to reproduce Figure C in Technical Appendix.
Code to solve the NK Model in Technical Appendix.
Some Simple Codes written in 2018 for Filtering and Estimation
here.
- Iacoviello, Matteo (2015), "Financial
Business Cycles," Review of Economic
Dynamics, vol 18(1), pp.140-163.
Technical Appendix with some of the
derivations,
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
here.
- 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 here.
Appendix with steady state derivations here.
- Iacoviello, Matteo (2012), "Housing
Wealth and Consumption," International
Encyclopedia of Housing and Home, pp. 673-678,
Elsevier.
- Iacoviello, Matteo, Fabio Schiantarelli and Scott
Schuh (2011), "Input
and Output Inventories in General Equilibrium,"
International Economic Review, November, pp.
1179-1214.
Technical Appendix is available
here.
- 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),
Replication Codes.
- Iacoviello, Matteo (2008), "Household
Debt and Income Inequality, 1963-2003," Journal
of Money, Credit and Banking, Vol. 40, No. 5
(August), pp. 929-965.
Replication Codes
here.
- 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.
69-96.
- Iacoviello, Matteo, and Marina Pavan (2007), "An
Equilibrium Model of Lumpy Housing Investment,"
Rivista di Politica Economica, Vol. II,
March-April.
- 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.
Technical appendix,
working paper version with additional
empirical results,
Replication Codes.
- 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.
Appendix C,
Technical Appendix,
Replication Codes (including technical
appendix),
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.
305-321.
- Iacoviello, Matteo and Francois Ortalo-Magne
(2003), "Hedging
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.
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