Classes
Two lectures per week on Tuesdays and Thursday from 11:50 a.m. to 1:20 p.m. in Leacock 520.
Office Hours
Wednesdays from 1 p.m. to 3 p.m. in Leacock 522 or by appointment.
Grading
Mid-term exam: 30%
Problem sets: 30%
Final take-home exam: 40%
Homework
Each homework is due before class on the date indicated below.
Homework #1 (due on Thursday, January 30). Matlab code to solve the first-order perturbation: BK
Homework #2 (due on Thursday, February 20). Matlab codes to solve the second-order perturbation: SGU.zip
Homework #3 (due on Thursday, March 27).
Homework #4 (due on Thursday, April 3).
Course outline
Content
The material for this course is drawn from various textbooks and papers published in academic journals.
The textbooks are:
Monetary Theory and Policy, by C. Walsh, MIT Press, Third edition, 2010.
Open Economic Macroeconomics, by M. Uribe and S. Schmitt-Grohe, Princeton University Press, 2017. Supplementary materials can be found in the book website http://www.columbia.edu/~mu2166/book/
Foundations of International Macroeconomics, by M. Obstfeld and K. Rogoff, MIT Press, 1996.
International Macroeconomics: A Modern Approach, by M. Uribe, S. Schmitt-Grohe, and M. Woodford, Princeton University Press, 2022. This is an undergraduate textbook but it will be useful for you to review basic concepts.
The papers, organized by topic, are:
First-order perturbation methods
Blanchard, O. J. and C. M. Kahn, 1980, The Solution of Linear Difference Models under Rational Expectations, Econometrica, Vol. 48, pp. 1305-1311.
King, R. and M. W. Watson, 1998, The Solution of Singular Linear Difference Systems under Rational Expectations, International Economic Review, Vol. 39, pp. 1015-1026.
Klein, P., 2000, Using the Generalized Schur Form to Solve a Multivariate Linear Rational Expectations Model, Journal of Economic Dynamics and Control, Vol. 24, pp. 1405-1423.
Second-order perturbation methods
Jin, H. and K. L. Judd, 2002, Perturbation Methods for General Dynamic Stochastic Models, Stanford University, Mimeo.
Schmitt-Grohe, S. and M. Uribe, 2004, Solving Dynamic General Equilibrium Models Using a Second-order Approximation to the Policy Function, Journal of Economic Dynamics and Control, Vol. 28, pp. 755-775.
Replication codes (adapted from codes in Open Economic Macroeconomics, by M. Uribe and S. Schmitt-Grohe, Princeton University Press, 2017)
Matlab code to solve MIU model and compute impulse responses: Miu.m
Matlab code to solve sticky-price model and compute impulse responses: Sticky.m
Matlab code open-economy real business cycle model (TBA).
Matlab code to replication MX model (TBA)