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 classical real business cycle models and asset pricing
we study monetary macro with a focus on monetary and fiscal policy interaction
computational implementation: matlab and julia
syllabus (21hs + ta sessions)
Homework 1: Log-linearization and intro to computing in Julia
Homework 2: NK model with twists
Homework 3: Fiscal/Monetary interaction
midterm: October 31st in class
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)