Quantitative Macroeconomics

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).

Syllabus

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: