topics in quantitative macro

syllabus (10hs)

methods for dsge models

linearization / log-linearization

perturbation method

linear rational expectation models

topics in dsge modeling

real business cycle models

macro-finance

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/

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).

project

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