Bianchi and Melosi "Escaping the Great Recession" (2017, American Economic Review) and
Sims and Zha "Were There Regime Switches in US Monetary Policy?" (2006, American Economic Review)
Replication of the Markov Switching Vector Autoregression (VAR) model used in Bianchi and Melosi 2017. "Escaping the Great Recession", American Economic Review 107(4): 1030-1058. The Matlab code reproduces the MS VAR model and the impulse responses. Their work builds on the Markov Switching VAR introduced by Sims and Zha 2006. "Were There Regime Switches in US Monetary Policy?", American Economic Review 96(1): 54-81. Therefore, for clarity the Sims and Zha 2006 model has also been replicated.
Gandy and Veraart "A Bayesian Methodology for Systemic Risk Assessments in Financial Networks" (2017, Management Science)
Replication of the Bayesian Financial Network model used in Gandy and Veraart 2017. "A Bayesian Methodology for Systemic Risk Assesments in Financial Networks", Management Science 63(12): 4428-4446. The Matlab code reproduces the Bayesian Network and the Gibbs sampler.