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