(A) A Job Search Model (Reference(s): (a) Sections 2.6 to 2.8, Dynamic Macroeconomic Theory by Thomas J. Sargent.)
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] [Due Date: 16/08/2016]
(B(i)) Asset Pricing: Lucas' Tree Model (Reference(s): (a) Sections 3.1 to 3.5, Dynamic Macroeconomic Theory by Thomas J. Sargent.)
Assignment II: [Exercise 3.1, 3.3, 3.4 and 3.6 Page #s 123-125, Dynamic Macroeconomic Theory by Thomas J. Sargent] [Due Date: 30/08/2016].
Journal Articles: Asset Pricing
(i) Asset Prices in an Exchange Economy (Robert E. Lucas, Jr.)
(ii) Risk Aversion and the Martingale Property of Stock Prices (Stephen F. LeRoy)
(B(ii)) Asset Pricing: The Equity Premium Puzzle (Reference(s): (a) Chapter 10, Section The Equity Premium Puzzle, Recursive Macroeconomic Theory by Lars Ljungqvist and Thomas J. Sargent; (b) The Equity Premium: A Puzzle, by Rajnish Mehra and Edward C. Prescott, Journal of Monetary Economics, vol. 15(2), 145-162, 1985.)
Journal Articles: Equity Premium Puzzle
(i) Where is the Market Going? Uncertain Facts and Novel Theories (John H. Cochrane)
(ii) Explaining Financial Market Facts: The Importance of Incomplete Markets and Transaction Costs (S. Rao Aiyagari)
(iii) The Equity Premium: It's Still a Puzzle (Narayana R. Kocherlakota)
(C) Limited Participation Models (Reference: (a) Chapter 5, Section 5.2.2, Monetary Theory and Policy, by Carl E. Walsh.)
Journal Article(s): Limited Participation Models
(i) Modeling the Liquidity Effects of a Money Shock (Lawrence J. Christiano)
(ii) Liquidity Effects, Monetary Policy, and the Business Cycle (Lawrence J. Christiano and Martin Eichenbaum)
(iii) Liquidity Effects and the Monetary Transmission Mechanism (Lawrence J. Christiano and Martin Eichenbaum)
(iv) Sticky Price and Limited Participation Models of Money: A Comparison (Lawrence J. Christiano, Martin Eichenbaum and Charles L. Evans)
(v) The Demand and Liquidity Effects of Monetary Shocks (James P. Dow, Jr.)
(D) The Basics of Dynamic Stochastic General Equilibrium Model of a Small Open Economy (Reference(s): (a) Do Central Banks Respond to Exchange Rate Movements? A Structural Investigation by Thomas A Lubik and Frank Schorfheide; (b) Monetary Policy and Exchange Rate Volatility in a Small Open Economy by Jordi Gali and Tommaso Monacelli; (c) Do Central Banks Respond to Exchange Rate Movements? Some New Evidence from Structural Estimation by Wei Dong (d) DSGE Model Evaluation and Hybrid Models: A Comparison by Alessia Paccagnini; (e) Forecasting with DSGE Models: The Role of Nonlinearities by Paul Pichler.)
(E) Modern Econometrics
(i) (Bayesian) Constant and Time-Varying Models (Reference(s): (a) Forecasting with Bayesian Vector Autoregressions-Five Years of Experience by Robert B Litterman; (b) Large Bayesian VARs by Marta Banbura, Domenico Giannone and Lucrezia Rechlin; (c) Bayesian Multivariate Time Series Methods for Empirical Macroeconomics by Gary Koop and Dimitris Korobilis; (d) Large Time-Varying VARs by Gary Koop and Dimitris Korobilis); (e) Assessing the Transmission of Monetary Policy using Time-Varying Parameter Dynamic Factor Models by Dimitris Korobilis); (f) Forecasting Inflation using Dynamic Model Averaging by Gary Koop and Dimitris Korobilis; (g) Quantile Forecasts of Inflation under Model Uncertainty by Dimitris Korobilis)
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.