Monetary Economics
Lecture Theatre / Seminar Room E (Practicals)
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TOPICS COVERED
The Monetary Transmission Mechanism and Empirical Monetary Economics
Central Bank Communication and the tools to study it
RBC and Financial Frictions
The New Keynesian Model
Heterogeneous Agent New Keynesian Model
COURSE DETAILS
COURSE DETAILS
The summer school in Monetary Economics will run from 8th - 12th September in the morning. Each day will feature a two-hour lecture followed by a one-hour interactive session, which will include hands-on examples, class discussion, and presentations.
The first half of the course will analyse the key issues in empirical monetary economics right now. Starting with traditional approaches to analysing the effects of interest rate changes, we will then explore the challenges and opportunities to analyse central bank communication. The second part will focus on more theoretical monetary economics with some discussion on the New Keynesian model and on a simple Heterogeneous Agent New Keynesian model.
MATLAB free trial can be downloaded here.
For the tutorials, please bring your own laptop to all the sessions.
READING SUGGESTIONS
READING SUGGESTIONS
1. EMPIRICAL MONETARY ECONOMICS• Bernanke, Ben S., Jean Boivin and Piotr Eliasz, “Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach,” Quarterly Journal of Economics, Volume 120, Issue 1, 2002, Pp. 387-422.• Christiano, Lawrence J, Martin Eichenbaum, Charles L. Evans, “Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy,” Journal of Political Economy, Vol. 113, No. 1, February 2005.• Gertler, Mark and Peter Karadi, “Monetary Policy Surprises, Credit Costs, and Economic Activity,” American Economic Journal: Macroeconomics, 7(1) (January 2015) 44–76.• Gürkaynak, Refet, Brian Sack and Eric T Swanson, "Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements," International Journal of Central Banking, May 2005.• Jarociński, Marek and Peter Karadi, "Deconstructing monetary policy surprises—the role of information shocks," American Economic Journal: Macroeconomics 12 (2), 1-43, 2020. • Jordà, Òscar. "Estimation and Inference of Impulse Responses by Local Projections," American Economic Review, Vol. 95, No. 1, March, pp.161-182, 2005.• Ramey, Valerie. "Macroeconomic shocks and their propagation", Handbook of macroeconomics 2, 71-162, 2016.2. MONETARY POLICY COMMUNICATION AND THE TOOLS OF TEXTUAL ANALYSIS• Ash, Elliot and Stephen Hansen, “Text algorithms in economics”, Annual Review of Economics (forthcoming).• Bholat, David, Stephen Hansen, Pedro Santos and Cheryl Schonhardt-Bailey. "Text mining for central banks", CCBS Handbook, 2015.• Blinder, Alan S., Michael Ehrmann, Marcel Fratzscher, Jakob de Haan, and David-Jan Jansen. "Central bank communication and monetary policy: A survey of theory and evidence," Journal of Economic Literature, 46(4): 910-945, 2008.• Brookes, James and Tim Munday. "Mark my Words: Central Bank Communication via the Print Media" - Bank of England Working Paper.• Gentzkow, Matthew, Bryan Kelly, and Matt Taddy, "Text as Data," Journal of Economic Literature, Vol. 57, No. 3, pp. 535-74, September 2019.• Grimmer, J. and Stewart, B., 2013, Text as Data: The Promise and Pitfalls of Automatic Content Analysis Methods for Political Texts, Political Analysis, vol. 21, n. 3, pp. 267-297. • Hansen, Stephen, Michael McMahon and Matthew Tong, "The long-run information effect of central bank communication," Journal of Monetary Economics, Volume 108, Pages 185-202, 2019.• Hansen, Stephen, Michael McMahon and Andrea Prat. "Transparency and Deliberation Within the FOMC: A Computational Linguistics Approach", The Quarterly Journal of Economics, Volume 133, Issue 2, May 2018, Pages 801–870, 2017.3. RBC, FINANCIAL FRICTIONS AND CREDIT• Bernanke, Gertler and Gilchrist (1999): “Financial Accelerator in a Quantitative Business Cycle Framework” in Taylor and Woodford (eds), Handbook of Macroeconomics, (Elsevier Science B.V.).• Brunnermeier, Eisenbach and Sannikov (2013): “Macroeconomics with Financial Frictions: A Survey”. Available at: http://www.princeton.edu/~sannikov/survey_macrofinance.pdf• Butt, Nick, Rohan Churm, Michael McMahon, Arpad Morotz, and Jochen Schanz (2014). “QE and the Bank Lending Channel in the UK”. Mimeo.• Del Negro, Marco, Gauti Eggertsson, Andrea Ferrero and Nobuhiro Kiyotaki "The Great Escape? A Quantitative Evaluation of the Fed's Liquidity Facilities," American Economic Review 107, March, pp. 824-857, 2017. • Kashyap & Stein (1995): “The impact of monetary policy on bank balance sheets”, Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 42(1), pages 151-195, June.• Kiyotaki (1998): “Credit and Business Cycles”. Japanese Economic Review, March 1998, vol. 49: 18-35.• Kiyotaki and Moore (1997): “Credit Cycles”, Journal of Political Economy, April 1997, Vol. 105: 211-248.• Kiyotaki and Moore (2012): “Liquidity, Business Cycles, and Monetary Policy”. Available at: http://www.princeton.edu/~kiyotaki/papers/km6-120215.pdf• Kocherlakota (2000): “Creating Business Cycles Through Credit Constraints”, Federal Reserve Bank of Minneapolis Quarterly Review, Summer 2000.4. THE NEW KEYNESIAN MODEL • Gal, J. (2009). Monetary Policy, inflation, and the Business Cycle: An introduction to the new Keynesian Framework. Princeton University Press. Chapter 3
• Gali, J. (1999). "Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations?". American Economic Review.
5. A SIMPLE HETEROGENOUS NEW KEYNESIAN MODEL • Auclert, Adrien. "Monetary policy and the redistribution channel." American Economic Review 109.6 (2019): 2333-67.• Bayer, Christian, Benjamin Born, and Ralph Luetticke. "Shocks, frictions, and inequality in US business cycles." (2020).• Broer, Tobias, et al. "The New Keynesian transmission mechanism: A heterogeneous-agent perspective." The Review of Economic Studies 87.1 (2020): 77-101.• Debortoli, Davide, and Jordi Galí. "Monetary policy with heterogeneous agents: Insights from TANK models." (2017).• Gornemann, Nils, Keith Kuester, and Makoto Nakajima. "Doves for the rich, hawks for the poor? Distributional consequences of monetary policy." (2021).• Kaplan, Greg, Benjamin Moll, and Giovanni L. Violante. "Monetary policy according to HANK." American Economic Review 108.3 (2018): 697-743.• Ravn, Morten O., and Vincent Sterk. "Macroeconomic fluctuations with HANK & SAM: An analytical approach." Journal of the European Economic Association 19.2 (2021): 1162-1202.SCHEDULE
SCHEDULE
COURSE MATERIAL
COURSE MATERIAL
Monday 8th September
Monday 8th September
09:00 - 11:00 - Lecture 1
11:00 - 11:30 - Coffee Break
11:30 - 12:30 - Tutorial 1 [Link: Material for tutorial]
12:30 - 14:00 - Lunch Break
18:00 - 19:00 - Welcome Drinks at Lady Margaret Hall
McMahon - M1.pdfTuesday 9th September
Tuesday 9th September
09:00 - 11:00 - Lecture 2
11:00 - 11:30 - Coffee Break
11:30 - 12:30 - Tutorial 2 [Link: Material for tutorial]
12:30 - 14:00 - Lunch Break
McMahon - M2.pdf Wednesday 10th September
Wednesday 10th September
09:00 - 11:00 - Lecture 3
11:00 - 11:30 - Coffee Break
11:30 - 12:30 - Tutorial 3 / Research Discussions
12:30 - 14:00 - Lunch Break
McMahon - M3.pdfDay_1_NK.pdf Thursday 11th September
Thursday 11th September
09:00 - 11:00 - Lecture 4
11:00 - 11:30 - Coffee Break
11:30 - 12:30 - Tutorial 4 [Link: Material for tutorial]
12:30 - 14:00 - Lunch Break
19:00 - Drinks Reception at Lincoln College
19:30 - Formal Dinner at Lincoln College
Friday 12th September
Friday 12th September
09:00 - 11:00 - Lecture 5
11:00 - 11:30 - Coffee Break
11:30 - 12:30 - Tutorial 5 [Link: Material for tutorial]
12:30 - 14:00 - Lunch Break
DAy 2 SHANK.pdfPage updated
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