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

Market-implied default risk and CDS intuition from corporate bond spreads using FRED data.

High-frequency identification of monetary policy surprises and their effects on the yield curve and macroeconomic outcomes.

Open reproducible research product on Treasury bill-versus-coupon composition, public duration supply, term premia, and market plumbing. Sourced from FiscalData, FRED, QRA documents, and SEC EDGAR.

Technical notebook and figures accompanying the Substack article “When the Curve Speaks.”

Macro-finance regime study: classify U.S. rate/inflation regimes from FRED data and compare equity/bill behavior across regimes (R). Reproducible scripts with tables/figures.

Non-linear state-space model and particle filtering framework for detecting latent liquidity stress and modeling systemic risk transitions in global financial markets.

Tokenized Gold / RWA / Digital Gold Standard / Macro Finance / Tokenomics

Empirical macro-finance project on FOMC statement entropy and post-meeting VIX reactions

World Embedding: a daily 64-dim representation of the aggregate economic state (1985-2021). Drop-in state vector for asset pricing, macro forecasting, regime detection, and event studies.