QuantMacro2012

Course website for “Methods and Applications in Quantitative Macroeconomics”, Fall 2012 (MA 2^nd year/ PhD course) ,Central European University

Instructors: Alessia Campolmi, Katrin Rabitsch

Office Hours: by appointment (CampolmiA@ceu.hu, katrin.rabitsch@gmail.com), Office: 409.

Syllabus

Link to CEU Course Schedule in Google Calendar

Problem sets:

Problem set 1 (due Oct. 10, 2012),

Problem set 2 (due Nov. 2, 2012),

Problem Set 3 - Due data November 16

Problem Set 4 - Due data December 7

Course material:

Week 1:

• Slides Week 1

• Introduction to Matlab: quick cheat sheet (and another one), some tutorials with example files, 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

Week 2:

• Slides Week 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

• Download Dynare programs and documentation files from here; background reading: chapters 1-3 and 7 of the Dynare User Guide, Dynare manual, Dynare tutorial

• link to Wouter den Haan's additional software for Dynare programs

Week 3 + 4:

• Slides Week 3

• Matlab codes (and documentation) to Two-Country Two-Sector model of Stockman and Tesar (1995, AER), link to paper: AER version, Cleveland Fed WP version

• solving (systems of) nonlinear equations numerically: example_fsolve.m, neoclassical_stst_fsolve.m, and neoclassical_stst_csolve.m, Chris Sims' csolve.m

• passing steady state (computed in m-file) to Dynare: StochasticGrowth_loglin2_steadystate.m

Bayesian estimation:

• link to An and Schorfheide (2007) paper (and their Matlab codes: these are not in Dynare, you will also need these: distribution_files.zip)

• Dynare files to An and Schorfheide (2007): dynare_nkmp.zip ; read chapters 5 and 8 (and 6) of the Dynare User Guide

• Further examples of models estimated with Dynare: paper and files, Lubik and Schorfheide (2005): paper and files

• 'Practising Dynare' paper and files by A. Bhandari, F. Barillas, R. Colacito, S. Kitao, C. Matthes, T. Sargent and Y. Shin

• Further references: lecture notes by Frank Schorfheide, introductionary book by Gary Koop (2003): Bayesian Econometrics

Week 5:

• Download Uhlig’s toolkit (version 4.1) from here.

• You will also need the jacob.m file to run the programs.

• Add all downloaded files to the Matlab Path.

• Basic New Keynesian Model plus Extensions: NK_basic.zip

• Slides

Week 6:

• Value Function Iteration: Matlab files for deterministic growth model and stochastic growth model; you will also need markov.m and autocor.m

• Discretizations of AR(1) processes: Floden (2007): paper and codes, Kopecky and Suen (2010): paper, code and notes

• Parameterized Expectations Algorithm: articles by Marcet and den Haan (1990), Marcet and Lorenzoni (1998), Christiano and Fisher (2000), link to lecture notes and codes on the PEA by Fabrice Collard, link to paper and codes on simulation PEA on by Maliar and Maliar (2003)

• Policy function iteration: lecture notes on solving the consumption-savings model by policy function iteration: by Fabrizio Perri, by Gianluca Violante, Matlab files for consumption-saving model with borrowing constaint: a) on exogenous grid: ConsSav_PolicyIterationExogGrid.m, ConsSav_equations.m, you will also need these: csolve.m, tauch_hussAR1.m; b) with the endogenous gridpoint method: ConSav_PolicyIterationEndogGrid.m

• Endogenous Gridpoint Method: paper and codes of Christopher Carroll’s endogenous gridpoint method

Week 7 + 8

• Files to solve the Small Open Economy: SOE.zip

• Slides

Week 9

• Files for second order approximation of basic NK model + welfare: NKrecursive.zip

• Paper and codes from Schmitt-Grohe and Uribe for a more general case can be found here.

Week 10

• Fiscal Policy: FiscalPolicy12.pdf