Public Codes

In this section I share simple replication codes for papers that I have worked on using Julia. These implementations are meant to help others understand and reproduce the key results from these papers. All code is available in my GitHub repository.

Note: These implementations are the result of my own learning process and may not perfectly replicate the original papers. While the codes might be incomplete or contain simplifications, they may still be useful for understanding the models and methods.

Replication Codes

• "Uninsured Idiosyncratic Risk and Aggregate Saving" - Aiyagari (1994)
  • Discrete time
  • Continuous time
• "Risk Management: Coordinating Corporate Investment and Financing Policies" - Froot, Scharfstein and Stein (1993) [code]
• "The GARCH Option Pricing Model" - Duan (1995) [code]
• "Default Risk and Income Fluctuations in Emerging Economies" - Arellano (2008) [code]
• "Collateral, Risk Management, and the Distribution of Debt Capacity" - Rampini and Viswanathan (2010) [code]
• "Overborrowing and Systemic Externalities in the Business Cycle" - Bianchi (2011) [code]
• "Finite-State Approximation Of VAR Processes: A Simulation Approach" - Schmitt-Grohé and Uribe (2014) [code]
• "A Macroprudential Theory of Foreign Reserve Accumulation" - Arce, Bengui and Bianchi (2022) [code]