PI 2082 'Quantitative Macroeconomics: Methods and Applications' Course website, Fall Term 2017/18,
Vienna University of Economics and Business
Instructor: Katrin Rabitsch
Office Hours: by appointment (katrin.rabitsch@wu.ac.at).
Lecture dates and classroom locations:
Problem sets:
Problem set 1 (due: Nov 27, 2017, 16:00), hpfilter.m, solutions
Problem set 2 (due: Jan 29, 2018, 16:00)
Voluntary practise exercises:
Problem set 1 of the 2015 course, hpfilter.m, solutions
Course material:
Block 1:
Slides Block 1
Background reading to refresh you math skills: LectureNotesMath2010CEU, I recommend reading sections 1.1, 2 and 3 from the notes from week 1, sections 1 and 2 from the notes from week 2, and (optionally) the section 2 of the notes of week 4 on dynamic optimization
introduction to Matlab: quick cheat sheet, documentation from Mathworks: Getting started, Matlab function reference
optimal growth model: solving by method of undetermined coefficients, by simple matrix algebra, studying transition dynamics; Matlab file: growth.m
stochastic growth model: solving by the method of undetermined coefficients, by using generalized Schur decomposition (using solab.m file by Paul Klein, link to paper); Matlab file: stochasticgrowth.m; mapping the stochastic growth model into the Klein format: stochasticgrowth_Klein.m
Block 2:
Slides Block 2
Matlab Codes for First- and Second-Order Accurate Solutions to DSGE Models (paper and files by Schmitt-Grohe and Uribe), background reading: lecture notes on pertubation methods by Stephanie Schmitt-Grohe
All model files from class on stochastic growth model plus extensions (that include defining lagged and lead variables): stochasticgrowth_SGU_files.zip
Stochastic growth model files as solved with Dynare: stochasticgrowth_ levels.mod, stochasticgrowth_ loglin.mod, stochasticgrowth_ loglin2.mod, stochasticgrowth_ loglin3.mod
passing steady state (computed in m-file) to Dynare: StochasticGrowth_loglin2_steadystate.m
Download Dynare programs and documentation files from here; background reading: chapters 1-3 and 7 of the Dynare User Guide, Dynare manual, Dynare tutorial
'Practising Dynare' paper and files by A. Bhandari, F. Barillas, R. Colacito, S. Kitao, C. Matthes, T. Sargent and Y. Shin
link to Wouter den Haan's additional software for Dynare program
read article: King, Robert G., and Sergio T. Rebelo (1999): “Resuscitating Real Business Cycles”, in J.B. Taylor and M. Woodford, eds., Handbook of Macroeconomics, volume 1B, 928-1002; or, better yet: read the longer Working Paper version, that includes a useful technical appendix with derivations, link to paper)
Block 3:
Slides Block 3
The basic New Keynesian model: read Chapters 1 and 3 of Galí, Jordi (2008): "Monetary Policy, Inflation, and the Business Cycle", Princeton University Press
additional reading: Christiano, Eichenbaum, Evans (1998): "Monetary policy shocks: What have we learned and to what end?", Handbook of Macroeconomics, volume 1, chapter 2, link to paper
Dynare code of the basic New Keynesian model: NKmodel_loglin.mod
Block 4:
Slides Block 4
solving (systems of) nonlinear equations numerically: example_fsolve.m, neoclassical_stst_fsolve.m, and neoclassical_stst_csolve.m, Chris Sims' csolve.m
read article: Kiyotaki, Nobuhiro, and John Moore (1995): "Credit Cycles”, Journal of Political Economy, vol.105(2), April 1997, pp.211-248. link to paper
read article: Bernanke, Ben S., and Mark Gertler, and Simon Gilchrist (1999): "The financial accelerator in a quantitative business cycle framework," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 21, pages 1341-1393, link to paper
to a useful Mini-Course on the Macroeconomics of Financial Frictions, we will draw from lectures 1 and 2
Block 5:
slides by Stéphane Adjemian on Bayesian estimation
read chapters 5 and 8 (and 6) of the Dynare User Guide
'Practising Dynare' paper and files by A. Bhandari, F. Barillas, R. Colacito, S. Kitao, C. Matthes, T. Sargent and Y. Shin
online resources of Frank Schorfheide's book: Bayesian Estimation of DSGE models (particularly look into slides on chapter 1 & 2 and DSGE Estimation.zip)