macro2017fall

Course Content

1. Introduction

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

(slides) , underlying paper, policy analysis with macro models

1.2 Seminar:

• matlab basics: slides, code, Winistörfer P. and Canova F., 2006,''Introduction to Matlab'', Matlab cheat sheet, nice youtube lecture, source of some other materials

• Function approximation: slides, approx.m, classpolinomials.m

• Log-linearization: Katrin's lecture notes on log-linearization, Uhlig log-linearization, yet another lecture notes, very nice material on the story behind Lagrange Multipliers

• Problem set 1, due 30.9.2016

• Problem set 1 solution

2. Stylized facts

2.1 Lecture:

• Introduction to macro data, (slides),

• recommended reading Stock and Watson (1998): "Business Cycle Fluctuations in U.S. Macroeconomic Time Series",

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

• slides

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

• Problem set 5, due 16.12.2016

6. Basic New Keynesian model

6.1 Basic New Keynesian Model:

Gali book, slides, recap on Dixit Stiglitz, some more here

• code allowing you to compare MP, productivity and cost push shocks

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

• Problem set 6, due 18.1.2017