(A) Dynamic Stochastic Optimization: A Review (References: (a) Lecture Note 1.)
(B) Money and Business Cycle
(i) In Flexible Environments (References: (a) Lecture Notes 2 and 3; (b) Lecture Notes (MIU and CIA) of Matteo Iacoviello (c) Chapters 1, 2, and 3 of Monetary Theory and Policy by Carl E. Walsh; (d) Money and the Business Cycle, by Thomas F. Cooley and Gary D. Hansen, in Thomas F. Cooley edited, Frontiers of Business Cycle Research, Chapter-3.)
(ii) With Nominal Rigidities (References: (a) Lecture Note of Matteo Iacoviello; (b) Chapter 5 of Monetary Theory and Policy by Carl E. Walsh.)
(iii) Limited Participation Models (References: (a) Lecture Note 4; (b) Chapter 5, Section 5.2.2, Monetary Theory and Policy, by Carl E. Walsh.)
Journal Articles: Money and Business Cycle
(a) Vector Autoregressions (James H. Stock and Mark W. Watson)
(b) Monetary Policy Shocks: What have we Learned and to what End? (Lawrence Christiano, Martin Eichembaum, and Charles Evans)
(c) The Inflation Tax in a Real Business Cycle Model (Thomas Cooley and Gary D. Hansen)
(d) Modeling the Liquidity Effects of a Money Shock (Lawrence J. Christiano)
(e) Liquidity Effects, Monetary Policy, and the Business Cycle (Lawrence J. Christiano and Martin Eichenbaum)
(f) Liquidity Effects and the Monetary Transmission Mechanism (Lawrence J. Christiano and Martin Eichenbaum)
(g) Sticky Price and Limited Participation Models of Money: A Comparison (Lawrence J. Christiano, Martin Eichenbaum and Charles L. Evans)
(h) The Demand and Liquidity Effects of Monetary Shocks (James P. Dow, Jr.)
(C) A Job Search Model (References: (a) Lecture Note 5; (b) Sections 2.6 to 2.8, Dynamic Macroeconomic Theory by Thomas J. Sargent.)
Practice Assignment I: [Exercises 2.1, 2.2, 2.3, 2.7 and 2.8 Page #s 85-88, Dynamic Macroeconomic Theory by Thomas J. Sargent]
(D) Asset Pricing: Lucas' Tree Model (References: (a) Lecture Note 6; (b) Sections 3.1 to 3.3, Dynamic Macroeconomic Theory by Thomas J. Sargent.)
Practice Assignment II: [Exercise 3.1, 3.3, 3.4 and 3.6 Page #s 123-125, Dynamic Macroeconomic Theory by Thomas J. Sargent]
Journal Articles: Asset Pricing
(a) Asset Prices in an Exchange Economy (Robert E. Lucas, Jr.)
(b) Risk Aversion and the Martingale Property of Stock Prices (Stephen F. LeRoy)
Contact Details:
Room 2-04, Tukkiewerf Building, Department of Economics,
University of Pretoria,
Pretoria 0002, South Africa.
Tel: +27 12 420 3460, E-mail: Rangan dot Gupta () up () ac () za.