Solving Stochastic OLG Models Using Chebyshev Parameterized Expectations, with Murat Ozbilgin, 2024, New Zealand Treasury Working Paper 24/03.
Impacts of Monetary Policy Shocks on Inflation and Output in New Zealand, with Huong vu Ngoc, 2024, Economic Record (prepub, code, appendix)
Included estimating Nelson-Siegel yield-curve coefficients for NZ, 2012-2021 (made available here).
Computing Quantiles of Functions of the Agent Distribution Using t-Digests, 2024, Computational Economics. (code)
Quantitative Macroeconomics: Lessons Learned from Fourteen Replications, 2023, Computational Economics (prepub, short slides, long slides)
I recommend the prepub version as it contains many hyperlinks removed from final article.
Are Housing Wealth Effects Asymmetric in Booms and Busts? Evidence from New Zealand, with Mairead de Roiste, Apostolos Fasianos & Fang Yao, 2021, The Journal of Real Estate Finance and Economics. (prepub, dataset is confidential)
Included creation of Saiz-index (measure of geographical constraints) of Housing Supply for New Zealand. (Description, data as xlsx, csv)
Bewley-Huggett-Aiyagari Models: Computation, Simulation, and Uniqueness of General Equilibrium, 2019, Macroeconomic Dynamics (prepub, codes)
Cryptocurrencies and Digital Fiat Currencies, 2018, Australian Economic Review (prepub, code for graphs, slides)
House Prices and Macroprudential Policy in an Estimated DSGE Model of New Zealand with Michael Funke and Petar (prepub, appendix, codes)
Business Cycle Accounting for New Zealand with Thakshila Gunaratna, 2018, New Zealand Economic Papers (prepub, codes)
A Toolkit for Value Function Iteration, 2017, Computational Economics (prepub, slides, codes)
Convergence of Discretized Value Function Iteration, 2017, Computational Economics (prepub)
Accounting for Uncertainty in Public Debt Targets with Martin Fukac, 2017, Australian Economic Review (prepub)
Managing and Communicating Risk and Uncertainty in Macroeconomic Policymaking with Martin Fukac, 2016, Policy Quarterly
Work in Progress:
Discretizing Earnings Dynamics: A Life-Cycle AR(1) Process with Gaussian-Mixture Shocks
(Codes for many discretization/quadrature methods.)
Classical (not Simulated!) Method of Moments Estimation of Life-Cycle Models (codes, note on separable moments)
Machine Learning the Consumption Function (slides; email for paper/codes)
Permanently Retired Working Papers:
Inflation and the Growth Rate of Money in the Long Run and in the Short Run with Javier Díaz-Giménez (VUW-SEF Working Paper #5047, slides, outdated) (previous title: How to Model Money? Racing Monetary Frameworks against the Quantity Theory of Money)
Transition paths for Bewley-Huggett-Aiyagari models: Comparison of some solution algorithms (VUW-SEF Working Paper 1-2017)
Tax-based Fiscal Multipliers: Monetary Policy Matters (slides)
Other:
Elsewhere: