Modle page. Course syllabus, information, and all materials can be viewed and downloaded on the Sapienza e-learning site [link].
Disclaimer. Web page materials are not self-contained, do not always constitute original material, and contain some “cut and paste” pieces from various sources that might not always explicitly refer to (although I am trying to cite my sources as much as possible). Therefore, they are not intended to be used outside the course or distributed. Thank you for catching typos and mistakes.
References for Class 1-3
Walsh, C. E. (2010), "Monetary theory and policy," MIT Press, Cambridge, 3rd ed: Chapter 1.
Additional materials: Introduction to Matlab (slides); Handout on the VAR Approach; Exercise.
Reference for Class 4
Kiyotaki N. and R. Wright (1993), "A Search-Theoretic Approach to Monetary Economics," American Economic Review, Vol. 83, No. 1, pp. 63-77.
Gu C., H. Han, and R. Wright (2019), "New Monetarist Economics," Oxford Research Encyclopedia of Economics and Finance.
Reference for Class 5
Paul A. Samuelson (1958), "An Exact Consumption-Loan Model of Interest with or without the Social Contrivance of Money," Journal of Political Economy, Vol. 66, No. 6, pp. 467-482
Class 6 - The Textbook Model
Handout: The Great Depression Interpreted through the IS/LM Lens
Original references
Hicks J., Mr. Keynes and the “Classic”: A Suggested Interpretation, Econometrica, 1937
Modigliani F., Liquidity Preference and the Theory of Interest and Money, Econometrica, 1944
Homework No. 3 / Solution HW 3.1 (IS-LM). Type go_all to run / Solution HW 3.2 (IS-LM) to test the liquidity effect just type: corr(oo_.endo_simul(2,101:end)', oo_.endo_simul(4,101:end)') / Solution HW 3.3
Class 8 - The Cagan Model
Note that Phillip Cagan was a student of Milton Friedman, and the expectation scheme used in his work was based on adaptive expectations (differently from the slides). The RE version is due to Tom Sargent
Class handout: The Cagan's model
References for Class 8
Cagan, P., The Monetary Dynamics of Hyperinflation, in Milton Friedman (ed.), Studies in the Quantity Theory of Money, Chicago: University of Chicago Press, 1956
Sargent T. J., The Demand for Money during Hyperinflations under Rational Expectations: I, International Economic Review, 1977 (Sargent's codes: ML and Bayesian estimation of Cagan's model with RE)
References for Class 9 and 11
Gali, J., Monetary Policy, Inflation and the Business Cycle: An Introduction to the New Keynesian Framework, Princeton University Press, 2015, 2nd ed. Chapter 2
Additional material: Difference equations handout
Reading
Romer D., Keynesian Macroeconomics without the LM Curve, Journal of Economic Perspectives, 2000
Homework 4 [Help: in answering to (1.b), you can ignore Cagan's eq. (11) [just compute current expectations by using all values of past inflation]] / HW 4.1 Solution (Cagan) / HW 4.2 Solution (MIU)
Class 14 - Taylor Rule and US Monetary Policy (1979-2005) (From the conquest of the American inflation to the Great Moderation)
Dynare codes Replicate the figures from Gali's book (Chapter 3)
Reference for Class 12 and 15
Gali, J., Monetary Policy, Inflation and the Business Cycle: An Introduction to the New Keynesian Framework, Princeton University Press, 2015, 2nd ed. Chapters 3 and 4
Readings
Blanchard O. J. and N. Kiyotaki, Monopolistic Competition and the Effects of Aggregate Demand, American Economic Review, 77: 647-666, 1987
Bernanke B. S. / Blinder A. S. / McCallum B. T. [Panel Discussion], What Have We Learned Since October 1979?, Federal Reserve Bank of St. Louis Review, March/April 2005, 87(2, Part 2): 277-282
Details on computations, Handout on CGG (1999)
References for Class 16-18
Gali, J., Monetary Policy, Inflation and the Business Cycle: An Introduction to the New Keynesian Framework, Princeton University Press, 2015, 2nd ed. Chapter 5
Clarida R., Galí J., and Gertler M. (1999), The Science of Monetary Policy, Journal of Economic Literature, 37: 1661-1707
References for Class 19
Benigno P., Canofari P., Di Bartolomeo G., Messori M., Theory, evidence, and risks of the ECB’s Asset Purchase Programme, prepared for the European Parliament’s Committee on Economic and Monetary Affairs (ECON) as an input to the Monetary Dialogue of 28 September 2020 between ECON and the President of the European Central Bank, 2020.
Rostagno, M., Altavilla, C., Carboni, G., Lemke, W., Motto, R., Guilhem, A. S., Yiangou, J., A tale of two decades: the ECB’s monetary policy at 20, ECB Working Paper No. 2346, 2020.
Neri, S., Siviero, S., The non-standard monetary policy measures of the ECB: Motivations, effectiveness and risks, Credit and Capital Markets, Credit and Capital Markets, 51: 513-560, 2020.