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).
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)