This is the class website for University College Dublin module MA Advanced Macroeconomics (ECON 41620) taught by Prof. Karl Whelan.

The focus in this course will be on the methods that modern macroeconomics uses to model and understand time series fluctuations in the major macroeconomic variables. The first part of the course focuses on Vector Autoregression studies and Dynamic Stochastic General Equilibrium models. Later lectures focus on modelling the interactions between the financial sector and the macroeconomy.

Assessment

Here is a handout describing the assessment for the class, the syllabus and a full reading list.

The final exam takes place on Thursday May 16 at 6PM at RDS Simmonscourt. This handout describes the format for the final exam and provides some sample questions. (Updated: April 24).  Here is last year’s final exam.

Lecture Notes

1. Introduction: Time Series and Macroeconomics

2. Vector Autoregressions

3. VARs with Long-Run Restrictions

4. Solving Models with Rational Expectations

5. The Real Business Cycle Model

6. Consumption Euler Equations

7. The Phillips Curve

8. The Modern New-Keyesian Model (Technical background notes).

9. Default Risk and Credit Rationing

10. Banks and Banking Crises

11. Banking Regulation

12. Evidence on Bank Equity and Leverage

Readings and Useful Links

John Cochrane (2005). Time Series for Macroeconomics and Finance (Chapters 2, 3, 5 and 7).

Charles Bean (2009). The Great Moderation, the Great Panic and the Great Contraction.

Christopher Sims (1980). Macroeconomics and Reality.

Marta Bańbura, Domenico Giannone, and Lucrezia Reichlin (2008). Large Bayesian VARs.

Kilian, Lutz (2009). Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market. (Working paper)

James Stock and Mark Watson (2001). Vector Autoregressions.

Olivier Blanchard and Roberto Perotti (2002). An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output (JSTOR).

Olivier Blanchard and Danny Quah (1989). The Dynamic Effects of Aggregate Demand and Supply Disturbances (JSTOR).

Jordi Gali (1999). Technology, Employment and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations? (JSTOR).

Karl Whelan (2009). Technology Shocks and Hours Worked: Checking for Robust Conclusions.

Robert Lucas (1976). Econometric Policy Evaluation: A Critique.

Harald Uhlig (1995). A Toolkit for Analyzing Nonlinear Dynamic Stochastic Models Easily.

Timothy Cogley and James Nason (1995). Output Dynamics in Real-Business-Cycle Models.

Narayana Kocherlakota (1996). The Equity Premium: It’s Still a Puzzle.

Milton Friedman: The Role of Monetary Policy.

Robert J. Gordon: The History of the Phillips Curve: Consensus and Bifurcation

John M. Roberts. New Keynesian Economics and the Phillips Curve (JSTOR).

Richard Clarida, Jordi Gali, and Mark Gertler (1999). The Science of Monetary Policy: A New Keynesian Perspective.

Jordi Gali and Mark Gertler (1999). Inflation Dynamics: A Structural Econometric Analysis

Jeremy Rudd and Karl Whelan (2005). Modelling Inflation Dynamics: A Critical Review of Recent Research

Frank Smets and Rafael Wouters (1997). Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach.

Joseph Stiglitz and Andrew Weiss (1981). Credit Rationing in Markets with Imperfect Information.

Charles Goodhart (1998): Two Concepts of Money

Ben Bernanke (1983): Nonmonetary Effects of the Financial Crisis in the Propagation of the Great Depression (JSTOR. Not available outside UCD. Go through UCD Connect and the Library Page.)

Piergiorgio Alessandri and Andrew Haldane (Bank of England): Banking on the State

Simon Johnson: Economic Recovery And The Coming Financial Crisis.

Douglas Diamond and Raghuram Rajan: The Credit Crisis: Conjectures about Causes and Remedies

Documentation for the Basle 2 Internal Ratings Based model.

Philipp Hildebrand: Is Basel II Enough? The Benefits of a Leverage Ratio

New York Times: Risk Mismangement

Patrick Honohan: Bank Failures: The Limits of Risk Modelling

Andrew Haldane and Vasileios Madouros. The Dog and the Frisbee.

Tobias Adrian and Hyun Song Shin (2008). Liquidity and Leverage.

Ben Bernanke: Implications of the Financial Crisis for Economics

Andrew Crockett: Marrying the Micro- and Macro-Prudential Dimensions of Financial Stability

Samuel Hanson, Anil Kashyap and Jeremy Stein: A Macroprudential Approach to Financial Regulation

Basle 3 Agreement

Andrew Haldane: The Bank and the banks.

Karl Whelan: Containing Systemic Risk

Bank of England (2009). RAMSI Model Working Paper.

Olivier Blanchard, Giovanni Dell’Ariccia, and Paolo Mauro (2010): Rethinking Macroeconomic Policy

Olivier Blanchard, Giovanni Dell’Ariccia, and Paolo Mauro (2013): Rethinking Macroeconomic Policy II: Getting Granular.

Olivier Blanchard: Five Lessons for Economists from the Financial Crisis

Ricardo Cabellero: Macroeconomics after the Crisis (2010): Time to Deal with the Pretense-of-Knowledge Syndrome

This is the class website for University College Dublin module Macroeconomics 2 (ECON 30120) taught by Prof. Karl Whelan.

Here is a handout describing how the module will work.  This material will be covered in the opening lecture (slides here).

Assessment Information

The final exam will take place on May 11 at 3PM in the RDS Simmonscourt.

Here are my final set of exam guidelines including sample questions for Sections 1 and 2 of the exam. Here is the final version of the separate handout with sample questions for Section 3.

Lecture Notes and Slides

1. Introducing the IS-MP-PC Model. Slides here.

2. Analysing the IS-MP-PC Model. Slides here.

3. The Taylor Principle. Slides here.

4. The Zero Lower Bound and the Liquidity Trap. Slides here.

5. Rational Expectations and Asset Prices. Slides here.

6. Rational Expectations and Consumption. Slides here.

7. Exchange Rates, Interest Rates and Expectations. Slides here.

8. Growth Accounting. Slides here.

9. The Solow Model. Slides here.

10. Determinants of Total Factor Productivity. Slides here.

11. Institutions and Efficiency. Slides here.

12. Before Growth: The Malthusian Model. Slides here.

13. Population & Resources: Malthus and the Environment. Slides here.

Readings

Carl Walsh: Teaching Inflation Targeting: An Analysis for Intermediate Macro

Peter Bofinger, Eric Mayer, and Timo Wollmershauser: The BMW Model: A New Framework for Teaching Monetary Economics

Milton Friedman: The Role of Monetary Policy.

John Taylor: Discretion Versus Policy Rules in Practice

Bank of England: State of the Art of Inflation Targeting

Richard Clarida, Jordi Gali and Mark Gertler: Monetary Policy Rules
and Macroeconomic Stability: Evidence and Some Theory

Ben Bernanke:  Some Thoughts on Monetary Policy in Japan

Paul Krugman: Earth to Ben Bernanke. Chairman Bernanke Should Listen to Professor Bernanke

Robert Shiller: Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?

John Campbell and Robert Shiller. Valuation Ratios and the Long-Run Stock Market Outlook: An Update.

NBER Workshop on Behavioural Finance.

Robert Lucas. Econometric Policy Evaluation: A Critique.

Robert Hall. Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence.

Robert Solow: Technical Change and the Aggregate Production Function.

Bureau of Labor Statistics MFP Trends up to 2011

Karl Whelan: Is the U.S. Set for an Era of Slow Growth?

Alwyn Young: A Tale of Two Cities: Factor Accumulation and Technical Change
in Hong Kong and Singapore

Edward Miguel and Gerard Roland: The Long Run Impact of Bombing Vietnam

Paul Krugman: The Myth of Asia’s Miracle.

Paul Romer: Endogenous Technological Change.

Robert Gordon: Is U.S. Economic Growth Over? Faltering Innovation Confronts the Six Headwinds

Robert E. Hall and Charles I. Jones. Why Do Some Countries Produce So Much More Output per Worker than Others?

Douglass North. Institutional Change: A Framework of Analysis.

Daron Acemoglu, Simon Johnson and James Robinson. The Colonial Origins of Comparative Development: An Empirical Investigation.

Dani Rodrik, Arvind Subramanian, and Francesco Trebbi. Institutions Rule: The Primacy of Institutions over Geography and Integration in Economic Development.

Robert Gillanders and Karl Whelan. Open For Business? Institutions, Business Environment and Economic Development.

Gregory Clark (2007). A Farewell to Alms. Chapter One: The Sixteen Page Economic History of the World.

Gregory Clark (2007). A Farewell to Alms. Chapter Two: The Logic of the Malthusian Economy.

Thomas Malthus (1798). An Essay on the Principle of Population.

Gapminder: Wonderful animated graphs on health, incomes and other things.

James Brander and M. Scott Taylor (1998). The Simple Economics of Easter Island: A Ricardo-Malthus Model of Renewable Resource Use.