svar

Course on Quantitative Macroeconomics (Master/PhD level)

High-performance time series econometrics: Rust core, Python-first API — validated estimators, a 15-chapter guide, and honest inference by default

Vector autoregressive model in Julia

This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," American Economic Review, vol. 99(3), pages 1053-1069, June. Specifically: Cholesky Decomposition, Structural Impulse Response, Historical Evolution of the Structural Shock, His…

Package and test files for SVARIV. Used for Masters thesis, "Oil Price and the Stock Market: A Structural VAR Model Identified with an External Instrument"

replication code for „Forecasting with Shadow-Rate VARs“ by Carriero, Clark, Marcellino and Mertens

Code to reproduce paper Adrian, Duarte and Iyer (2023), “The Market Price of Risk and Macro-Financial Dynamics”

Code, data, and additional materials for our chapter in the Handbook of Energy Economics

Companion code repository for the textbook Macroeconometrics by Alessia Paccagnini, with Python, R, MATLAB and Dynare examples

The aim of this code is to show the preliminary results of the forecast for the term structure (with different maturities) of the Mexican government bonds using different types of models.

Helper functions for `vars` and `lpirfs` packages

Unofficial Python replication of Ambrogio Cesa-Bianchi's MATLAB VAR Toolbox (github.com/ambropo/VAR-Toolbox). GPL-3.0 derivative work; not affiliated with or endorsed by the original author.

Efecto Spillover de las Remesas sobre la Rentabilidad del Sistema Bancario Nicaragüense (2019-2025)

The folder contains examples and codes developed in the Willy Mutchler lecture's at the Tübingen University . The course deals with estimation of SVAR and DSGE models

To Learn Without the Possibility of Undoing is not Intelligence, It's a Surrender to Emergence.

VAR·SVAR 기반 거시경제 전망 및 정책금리 시나리오 분석 | Macro forecasting and rate-decision analysis

What if Ukraine had used the euro? A reproducible, multi-method counterfactual-inflation exercise (FTD 2025-26) - exploratory, not peer-reviewed, not policy advice.

中美利率决定机制差异的量化研究：Taylor Rule / ECM / 协整 / SVAR 四维度对比 | China–US Interest-Rate Determination: A Quantitative Study (Efund Topic 5)

SVAR monétaire à la Christiano-Eichenbaum-Evans et SVAR budgétaire à la Blanchard-Perotti sur données américaines : le travail ECO8086 de 2021 (UQAM) porté de R vers Python, données reconstruites depuis FRED.