macro III - mae / phd, uc3m

the first part of the macro III for the 2nd year of the master in economic analysis @ uc3m

we will study fast and accurate solution methods for DSGE models and recent extensions based on the perturbation method

we study estimation of dsge models

we study classical real business cycle and New-Keynesian models and asset pricing

computational implementation: matlab and julia

syllabus (21hs + ta sessions)

Homework 1: Log-linearization and intro to computing in Julia

Homework 2: 

Homework 3: 

midterm:

approximation methods for dsge models

topic 1 (linearization / log-linearization) - class 1

topic 2 (LREM and non-linear perturbation) - class 2 and 3 (SGU codes and package)

bayesian estimation of dsge models

intro

filters and samplers

mh + kf

topics in dsge modeling: workhorse models

real business cycle models and macro-finance foundations 

new-keynesian models

some resources @ aulaglobal

online resources

companion webpage for Aruoba, Fernandez-Villaverde and Rubio-Ramirez (2006): https://www.sas.upenn.edu/~jesusfv/companion.htm 

dynare: www.dynare.org

companion webpage for Schmitt-Grohe and Uribe (2004): http://www.columbia.edu/~mu2166/2nd_order.htm 

gensys: http://sims.princeton.edu/yftp/gensys/ 

julia: https://quantecon.org/

companion webpage for Salazar-Perez and Seoane (2023): https://github.com/HernanSeo/JuliaPerturbation

references:

• Aldrich, Eric M., and Howard Kung. "Computational methods for production-based asset pricing models with recursive utility." Economic Research Initiatives at Duke (ERID) Working Paper 87 (2017). 

• Altug, Sumru, and Pamela Labadie. Asset pricing for dynamic economies. Cambridge University Press, 2008. 

• Aruoba, S. Borağan, Jesus Fernandez-Villaverde, and Juan F. Rubio-Ramirez. "Comparing solution methods for dynamic equilibrium economies." Journal of Economic dynamics and Control 30.12 (2006): 2477-2508. 

• Croce, Mariano Massimiliano. "Long-run productivity risk: A new hope for production-based asset pricing?." Journal of Monetary Economics 66 (2014): 13-31.

• Heijdra, Ben J. Foundations of modern macroeconomics. Oxford university press, 2017. 

• Jermann, Urban J. "Asset pricing in production economies." Journal of monetary Economics 41.2 (1998): 257-275. 

• Klein, Paul. "Using the generalized Schur form to solve a multivariate linear rational expectations model." Journal of economic dynamics and control 24.10 (2000): 1405-1423. 

• Lubik, Thomas A., and Frank Schorfheide. "Computing sunspot equilibria in linear rational expectations models." Journal of Economic dynamics and control 28.2 (2003): 273-285. 

• Mehra, Rajnish, and Edward C. Prescott. "The equity premium: A puzzle." Journal of monetary Economics 15.2 (1985): 145-161.  

• Sargent, Thomas J., and Lars Ljungqvist. "Recursive macroeconomic theory." (2012).

• Schmitt-Grohé, Stephanie, and Martın Uribe. "Solving dynamic general equilibrium models using a second-order approximation to the policy function." Journal of economic dynamics and control 28.4 (2004): 755-775. 

• Sims, Christopher A. "Solving linear rational expectations models." Computational economics 20.1 (2002): 1-20. 

• Uhlig, Harald. "A toolkit for analyzing nonlinear dynamic stochastic models easily." (1995). 

• Sargent and Ljunqvist 2010

• Leeper and Leith (2016) Handbook

• Clarida, Gali and Gertler (1999)

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