quantmacrowu2013

Course website for “PI 5900: Quantitative Macroeconomics: Methods and Applications”, Summer Term 2013 (Doctoral/ PhD course) , Vienna University of Economics and Business (WU Wien)

Instructor: Katrin Rabitsch

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

Syllabus

Lecture dates and classroom locations:

Problem sets:

Problem set 1 (due April 3, 2013)

Problem set 2 (due May 20, 2013)

Course material:

Week 1:

• Slides Week 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

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

• '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 programs

Week 3 + 4:

• Slides Week 3 and 4

• 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

• 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

Week 4 + 5:

• Slides Week 4 and 5

• codes for RBC model with search and matching

• link to course syllabus/ extensive reading list on Macro-Labor

• link to paper, documentation, and Dynare codes to Gertler, Mark and Peter Karadi, "A Model of Unconventional Monetary Policy", Journal of Monetary Economics, 58(1): 17-34.

• link to Gertler's slides to the paper, and to a useful Mini-Course on the Macroeconomics of Financial Frictions

• reading list of a "Financial Frictions Reading Group" at CEU (last updated in 2011, but still, an indicative list of references)