quantmacro2013univie

040057 UK 'Quantitative Macroeconomics: Methods and Applications' Course website, Winter Term 2013/14,

University of Vienna

Instructor: Katrin Rabitsch

Office Hours: by appointment (katrin.rabitsch@univie.ac.at).

Syllabus

Lecture dates and classroom locations:

First Lecture: 04.10.2013

Fridays, 04.10.2013 to 31.01.2014 12.00-14.00, classroom: Hörsaal 10 Oskar-Morgenstern-Platz 1 2.Stock,

Mondays, 07.10.2013 to 27.01.2014 08.00-10.00, classroom: Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock.

Problem sets:

Problem set 1 (due Sun, Nov. 17, 2013, 20:00), solutions

Problem set 2 (due Fri, Jan. 10, 2013, 20:00), 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

• 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)

• 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

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

Block 3:

• Slides Block 3

• The basic New Keynesian model: read Chapters 1 and 3 of Galí (2008): Monetary Policy, Inflation, and the Business Cycle

• Dynare code of the basic New Keynesian model: NKmodel_loglin.mod

Block 4:

• Slides Block 4

• Small open economy model of Mendoza (1991) and Schmitt-Grohé and Uribe (2003), Matlab codes

• Two country one good model of Backus, Kehoe and Kydland (1992)

• Two country two good model of Backus, Kehoe and Kydland (1995) and Heathcote and Perri (2002), Matlab codes

• Two country two sector model of Stockman and Tesar (1995), Matlab codes

Block 5

• Slides Block 5

• 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

• codes for RBC model with search and matching