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Instructors: Dr. Thanh Son Pham
Event type:
Interactive class
Displayed in timetable as:
22-3.e88
Hours per week:
3
Credits:
6,0
Language of instruction:
English
Min. | Max. participants:
- | 45
Comments/contents:
This course is aimed at students with some knowledge of Real Business Cycle (RBC) or Dynamic Stochastic General Equilibrium (DSGE) macroeconomic models, it also provides some experience of Matlab and Dynare. The course covers the underlying theory proceeding in steps from the Real Business Cycle Model through to a medium-sized New Keynesian Model. It also covers the theoretical basis for Bayesian Estimation. This is a hands-on course based on available facilities in the software platform Dynare. Model software is provided consisting of models set-up in Dynare in a manner suitable for simulation, calibration, estimation and policy analysis.
Contents
1 Building New Keynesian Models
-. A Simple Model with Microeconomic Foundations (Households, Firms, The Government, Monetary Policy, Log-linearized System of Equations, Model Dynamics)
2. Medium-Scale Models for Policy Analysis (Capital and Investment, Habit Formation in Consumption, Price Indexation, Sticky Wages, Model Dynamics)
3. Methods for Model Solution and Estimation (Solving New Keynesian Models ( Linear Approximation, Solving a System of Linear Difference Equations, Perturbation Methods for Higher-Order Approximations), Estimating New Keynesian Models ( Bayesian Methods)
4 Introduction to MATLAB AND DYNARE(Simulation, Estimation)
5 New features of the NK (Rationality, Integrating Endogenous Growth and Business Cycles, Heterogeneous Agents and Aggregation, A Financial Sector and Financial Friction, Agent-Based Macro-Models)
6 Macroeconomic Policy(Macroeconomic Policy Design using DSGE Models, Robust Policy Across Contrasting Models)
Learning objectives:
1. Understand the structure of a standard Dynamic Stochastic General Equilibrium (DSGE) macroeconomic model.
2. Able to solve the model and match it with the data.
3. Perform macroeconomic policy analysis with DSGE-class models.
4. Current state of DSGE modeling development, new features to be added to the DSGE to answer for certain type of research questions.
Literature:
1. Jodi Gali’, Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework and Its Applications, Princeton University Press, 9 Jun 2015.
2. Micheal Woodford, INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY, 2005.
3. Additional references to be added during the semester.
Additional examination information:
There will be lecture and exercise sessions. During the exercise sessions, the problem sets given to students in advance will be solved. The written exams will be similar to the exercises in the problem sets. The MATLAB and DYNARE codes for simulation and estimation exercises will also be provided.
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