These lecture notes are based on my classes on formulation, simulation, and estimation of dynamic general equilibrium models . This work is still in progress and hence I will welcome comments to cgarcia@uahurtado.cl . I am grateful for the superb research assistance of Felipe Barraza and Andrés Durán.
Lecture notes and extra material
Notes and programs in quantitative methods
programs: cake problem (deterministic , stochastic, and explanation) , Ramsey (deterministic and stochastic), MIT shocks (deterministic and Chebyshev).
Perturbation ; programs BK and Sims
New Notes in Macroeconomics
Lecture 1 Introduction
Lecture Note 2 Ramsey Optimal Growth Model
Lecture Notes 3 Perturbation Method Blanchard- Khan
Lecture Notes 5 Technology shocks
Extra material: Simple three-period model
Lecture Notes 6 The Consumption Euler Equation
Lecture Notes 7 Restricted Consumers
Lecture Notes 8 Alternative Utility Functions
Lecture Notes 9 The Bellman Equation and Optimal Investment
Lecture Notes 10 Endogenous Capital Utilization
Lecture Notes 11 Bayesian Estimation and Kalman Filter (example)
Extra material 1: Lecture Notes Markov Chain Monte Carlo and Gibbs Sampling B. Walsh 2004
Extra material 2: Choosing between two models Kass and Rafery Bayes Factors
Extra material 3: Brooks and Gelman General Methods for Monitoring Convergence of Iterative Simulations.
Lecture Notes 13 Model with Imperfections I (Extra Material : Monopolistic Competition and Optimum Product Diversity )
Lecture Notes 14 Model with Imperfections II
Lecture Notes 15 Flexible vs Sticky Prices
Lecture Notes 16 Sticky Price Model
Lecture Notes 17 Phillips Curve
Extra material 1: Simple Three-period Model
Extra material 2: Rotemberg Model
Extra material 3: Gorodnichenko Y., Weber M, Are Sticky Prices Costly? Evidence from the Stock Market, AER, 2016.
Extra material 4:Incomplete Information in Macroeconomics: Accommodating Frictions in Coordination, 2016, Angeletos, M., Lian Chen, NBER WP 22297
Extra material 5: Are state and time dependent models really different?, 2016, Fernando E. Alvarez, FrancescoLippi and Juan Passadore, 2016, NBER Working Paper Series 22361.
Lecture Notes 18 Unemployment and Sticky Wages
Lecture Notes 19 Optimal Monetary Policy
Lecture Notes 20 Financial Frictions
Notes and programs in open macroeconomics
Part 1 Basic Model Basic Model 0 Basic Model 1 Basic model 2 Basic model 3 Basic model 4 Basic Model 5 Example Homework Tip 3 Programa
Programs basic model (dynamic programming); (dynare, for download only): basic model; TOT model; Ramsey model; Non tradable goods;
Non tradables + labor; Non tradable + labor+ sticky wage; Money; Flexible price model.