JEM184 - New Keynesian DSGE modeling

Course Content

1. Introduction

1.1 Loglinearization: Katrin's lecture notes on log-linearization, Uhlig log-linearization

1.2 Introduction: slides,

1.3 Function Approximation: slides, approx.m, classpolinomials.m

1.4 Classical Monetary Model: slides, dynare code, hand solution code

2. Basic New Keynesian Model

(based on Gali Chapter 3&4)

2.1 Basic New Keynesian Model:

it may be helpful to read lecture notes by Christiano (slide 33)

2.2 Closing the basic NK model

uniqueness of equilibrium, this is the .m file you should get familiar with, it calls:

a) basic NK model augmented by Y, M, N

b) looping over sigma

c) looping over sigma and Frish elasticity

d) alternative way how to search over the grid of param

2.3 Additional reading:

- really nice lecture notes by Iacovielo for a bit simple simpler model than we did

- Chapter by CTW

- more on perturbation again by Christiano

- if you are interested more in the numerical methods "behind the scene" read Fabrice Collard

- replication of several papers in dynare by J. Pfeifer

- more dynare code for example here

3. Extended New Keynesian Model

(based on Smets & Wouters (2007) and Brzoza-Brzezina et al. (2011))

3.1 Sticky Wages

Lecture notes

3.2 Introduction of capital

Lecture notes, Steady states, Matlab code

3.3 Real rigidities

Lecture notes, Steady states, Matlab code

3.4 Small open economy

Lecture notes, Steady states, Matlab code

3.5 Bayesian estimation

Lecture notes, Steady states

Matlab code: Estimation, Smoother, Var decomposition, Computations

Excel files: DataTransformations, HP deviations, HP deviations 2