Publications:
- 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.
- 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.
Technical Appendix
here.
The
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.
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.
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.
- 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 Slides,
Dynare Codes (occbin_20140630.zip, updated
June 30, 2014),
Code to reproduce Figure C 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.
Back to Top
|