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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. 

[Bianchi and Melosi 2017]  [Sims and Zha 2006]  [Replication Codes

Gofman "Efficiency and Stability of a Financial Architecture with Too-Interconnected-To-Fail Institutions"

(2017, Journal of Financial Economics)

Replication of the over-the-counter interbank network model used in Gofman 2017. "Efficiency and Stability of a Financial Architecture with Too-Interconnected-To-Fail Institutions", Journal of Financial Economics 124(1): 113-146. The Matlab code reproduces the interbank network model and the simulations conclude to a similar result of the non-monotonic effect. 

[Gofman 2017]  [Replication Codes]

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.  

[Gandy and Veraart 2017]  [Replication Codes

Jarociński and Karadi "Deconstructing Monetary Policy Surprises - The Role of Information Shocks"

(2020, American Economic Journal: Macroeconomics)

Replication of the Bayesian Structural Vector Autoregression (VAR) model used in Jarociński and Karadi 2020. "Deconstructing Monetary Policy Surprises - The Role of Information Shocks", American Economic Journal: Macroeconomics 12(2): 1-43. The Matlab code reproduces the Bayesian Structural Vector Autoregression (VAR) model. Note that due to data limitations the data used in the replication is different.  

[Jarociński and Karadi 2020]  [Replication Codes

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