macro2017fall

Course Content

1. Introduction

1.1 Lecture: course motivation, outline, requirements, literature, short history of business cycles

1.2 Seminar:

2. Stylized facts

2.1 Lecture:

2.2 Seminar:

matlab code for class exercise
matlab code to reproduce the class material: hpfilter.m, bandpass.m, stylizedfacts.m
US data set, Guide to NIPA tables
Problem set 2, due 14.10.2016
Example of PS2 solution, code, slides, data

Please fill the questionnaire after the second class.

3. Real Business Cycle Model

3.1 Lecture:

code for the first model we did in the class: optimal growth model,
code for the growth model with labor: optimal growth model with labor leisure choice,
stochastic growth model,
RBC model with balanced growth path,
important reading King and Rebelo (2000): "Resuscitating Real Business Cycles",
King Plosser Rebelo (2001): ".Production, Growth and Business Cycles: Technical Appendix"
Methods for solving rational expectations models: slides, Undetermined coefficients (Uhlig 1997), Perturbation Methods by SGU, QZ decomposition (Klein 1999, JEDC)

3.2 Seminar:

Introduction to dynare, stochastic growth model log-linearized by dynare, log-lin model in dynare, model in levels
code for RBC model with balanced growth path
Calibration - updated slides, paper by Cooley 1997, Calibrated Models
model evaluation + observation equation based on Pfeifer lecture notes
code to solve basic growth model by diagonalization
Paul Klein solab function implementing QZ decomposition, application to our stochastic growth model
Problem set 3, due 11.11.2016
Problem set 3 solution:
slides
code to solve the King Rebelo 1999 by:
method of undetermined coefficients
QZ decomposition
dynare in levels
dynare log-lin solution

Problem sets results can be find here.

Please fill the questionnaire after you solve the third problem set.

Reveal your preferences on our Christmas Macro III diner here.

4. RBC extensions

4.1 Lecture: Fiscal policy, Investment theory

4.2 Seminar:

Model evaluation in my slides, underlying paper for the discussion is here, lecture by Chris Sims see here
see critique by Galí (1999) of RBC models
for summary on what we know about shocks driving the cycle see Ramey 2016
Problem set 4, due 25.11.2016
Problem set 4 solution
clean dynare output function
this code shows how to use Kalman filter to extract shocks from the observable series (watch Kalman filter explained in an extremely intuitive way, see Pfeifer lecture notes on how to link observables with your model variables), and it also demonstrates one way how to run loops in dynare, you will also need this .mod file, this is the code for King Rebelo 99 when frish elasticity is different from one

5. Classical Monetary Model

4.1 Lecture: dynare code, hand solution code

4.2 Seminar: Model evaluations

6. Basic New Keynesian model

6.1 Basic New Keynesian Model:

7. NK model extensions

4.1 Lecture: Habit formation, price indexation, Calvo vs. Rotemberg adjustment costs

4.2 Seminar: Model evaluations

8. Small Open Economy

4.1 Lecture: outlining the model, policy implications

4.2 Seminar: playing with the code

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