MA Macroeconomics

This is the class website for University College Dublin module MA Macroeconomics (ECON 41990) in  Autumn 2014.

Information and Assessment

A syllabus for the course (including details of the assessment) is available here.  The School of Economic gradescale is here.

Here is a handout with guidelines on the final exam and sample questions for the first section of the exam.  (Final edition).

Here are sample questions for the second part of the final exam as well as some guidelines for answering the questions. (Final edition).

 Lecture Notes

1. The IS-LM Model. (From MIT Open Courseware)

2. The AS-AD Model. (From MIT Open Courseware)

My summary of IS-LM and AS-AD

Click on the name of the topics below to obtain the lecture notes. Note these are longer and more detailed than the slides.

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

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

5. The Taylor Principle. Slides here.

6. The Zero Lower Bound and the Liquidity TrapSlides here.

7. Rational Expectations and Asset Prices. Slides here.

8. Rational Expectations, Consumption and Asset Pricing. Slides here.

9. Sticky Prices and the Phillips Curve. Slides here.

10. Growth Accounting. Slides here.

11. The Solow Model. Slides here.

12. Endogenous Technological Change: The Romer Model.  Slides here.

13. Cross-Country Technology Di ffusion.  Slides here.

14. Institutions and Efficiency.  Slides here.

Readings

John Hicks (1937). Mr. Keynes and the Classics: A Suggested Interpretation

Mark Bils and Peter Klenow (2004). Some Evidence on the Importance of Sticky Prices

Alvarez et al (2005). Sticky Prices in the Euro Area

Carl Walsh (2002): Teaching Inflation Targeting: An Analysis for Intermediate Macro

Milton Friedman (1968): The Role of Monetary Policy.

John Taylor (1993): Discretion Versus Policy Rules in Practice

Bank of England (2012): State of the Art of Inflation Targeting

Richard Clarida, Jordi Gali and Mark Gertler (2000): Monetary Policy Rules
and Macroeconomic Stability: Evidence and Some Theory

Athanasios Orphanides (2001). Monetary Policy Rules, Macroeconomic Stability and Inflation: A View from the Trenches

Ben Bernanke (2003):  Some Thoughts on Monetary Policy in Japan

Lars Svensson (2003). Escaping from a Liquidity Trap and Deflation: The Foolproof Way and Others

Paul Krugman (2012): Earth to Ben Bernanke. Chairman Bernanke Should Listen to Professor Bernanke

Eugene Fama (1970): Efficient Capital Markets: A Review of Theory and Empirical Work

Eugene Fama (1991): Efficient Capital Markets II

Robert Shiller (1981): Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?

John Campbell and Robert Shiller (2001). Valuation Ratios and the Long-Run Stock Market Outlook: An Update.

Gavyn Davies: The Nobel  Laureates on Equity Bubbles

NBER Workshop on Behavioural Finance.

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

Robert Hall (1978). Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence.

John Campbell and Gregory Mankiw (1990). Permanent Income, Current Income, and Consumption

Robert Barro (1974). Are Government Bonds Net Wealth?

Jonathan Parker, Nicholas Souleles, David Johnson and Robert McClelland (2011). Consumer Spending and the Economic Stimulus Payments of 2008.

Jonathan Parker (1999). The Reaction of Household Consumption to Predictable Changes in Social Security Taxes.

Chang-Tai Hsieh (2003). Do Consumers React to Anticipated Income Changes? Evidence from the Alaska Permanent Fund

Bureau of Labor Statistics MFP Trends up to 2013

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

Kieran McQuinn and Karl Whelan (2014): Presentation on Demographics, Structural Reform and the Growth Outlook for Europe.

Alwyn Young (1992): A Tale of Two Cities: Factor Accumulation and Technical Change in Hong Kong and Singapore

Edward Miguel and Gerard Roland (2009): The Long Run Impact of Bombing Vietnam

Paul Krugman (1994): The Myth of Asia’s Miracle

Paul Romer (1990) : Endogenous Technological Change.

Robert Gordon (2012): Is U.S. Economic Growth Over? Faltering Innovation Confronts the Six Headwinds

Robert Gordon (2014): The Demise of U.S. Growth: Restatement, Rebuttal and Reflections

Joel Mokyr (2013): Is Technological Progress a Thing of the Past?

Robert E. Hall and Charles I. Jones (1999). Why Do Some Countries Produce So Much More Output per Worker than Others?

Douglass North (1999). Institutional Change: A Framework of Analysis.

Daron Acemoglu, Simon Johnson and James Robinson (2001). The Colonial Origins of Comparative Development: An Empirical Investigation.

Dani Rodrik, Arvind Subramanian, and Francesco Trebbi (2002). Institutions Rule: The Primacy of Institutions over Geography and Integration in Economic Development.

Robert Gillanders and Karl Whelan (2014). Open For Business? Institutions, Business Environment and Economic Development.

MA Advanced Macroeconomics

This is the class website for University College Dublin module MA Advanced Macroeconomics (ECON 41620) taught by Prof. Karl Whelan in the Spring term of 2014.

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.

Information and Assessment

Here is a handout with a syllabus and a full reading list.

 

Lecture Notes

1. Introduction: Time Series and Macroeconomics

2. Vector Autoregressions

3. Examples of VAR Studies

 

Programmes and Data

RATS programme generating charts for the first lecture. (Data set and required HP-filter programme.)

Two RATS programmes for Monetary Policy VARs: Identification One and Identification Two (Data Set).

 

Readings and Useful Links

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

Christopher Sims (1980). Macroeconomics and Reality. (JSTOR).

Lutz Kilian (1998). Small-Sample Confidence Intervals for Impulse Response Functions.

Simon Jackman (2000). Estimation and Inference via Bayesian Simulation: An Introduction to Markov Chain Monte Carlo.

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

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

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

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

Glenn Rudebusch (1998). Do Measures of Monetary Policy in a Var Make Sense? (JSTOR).

Christopher Sims (1998). Comment on Glenn Rudebusch’s Do Measures of Monetary Policy in a Var Make Sense? (JSTOR).

Christina Romer and David Romer (2004). A New Measure of Monetary Shocks: Derivation and Implications

Olivier Coibion (2011). Are the Eff ects of Monetary Policy Shocks Big or Small?”

Advanced Macroeconomics (ECON30120)

This is the class website for University College Dublin module Advanced Macroeconomics (ECON 30120) being taught by Professor Karl Whelan in Spring 2015.

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

Note: If you are in the final year of your degree, please ensure that you know the rules about degree compliance and that you are taking the right selection of courses to ensure that you can graduate. See here.

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.

 

Readings

Carl Walsh (2002): Teaching Inflation Targeting: An Analysis for Intermediate Macro

Milton Friedman (1968): The Role of Monetary Policy.

John Taylor (1993): Discretion Versus Policy Rules in Practice

Bank of England (2012): State of the Art of Inflation Targeting

Richard Clarida, Jordi Gali and Mark Gertler (2000): Monetary Policy Rules
and Macroeconomic Stability: Evidence and Some Theory

Ben Bernanke (2003):  Some Thoughts on Monetary Policy in Japan

Lars Svensson (2003). Escaping from a Liquidity Trap and Deflation: The Foolproof Way and Others

Paul Krugman (2012): Earth to Ben Bernanke. Chairman Bernanke Should Listen to Professor Bernanke

Links to Macro and Development Data

Presentation on macro data sources.

StatBank: The CSO’s main database.

Irish Housing Statistics from the Dept. of the Environment.

National Account Data for EU Countries: AMECO Database.

Cross-country and and cross-sector data for Europe: The EU KLEMS Project.

US National Accounts data from the Bureau of Economic Analysis.

US macro and financial data (and some international data) from the St. Louis Fed’s FRED. Good for charts.

IMF World Economic Outlook database

Cross-Country PPP-comparable data from the Penn World Table.

US financial data from the Federal Reserve Board.

The ECB’s Statistical Data Warehouse.

US stock market data from Robert Shiller.

Ken French‘s data on returns for various types of stock portfolios.

Data from the World Bank on health, development, finance and other things.

Data from the World Bank Project: Doing Business.

Development data from Markus Eberhardt

Data Sources and Websites for International Money and Banking

Data Sources

Asset and Liabilities of US Banks. From the Federal Reserve.

Statistical Data Warehouse. From the ECB.

FRED. The St. Louis Fed. Very good for charts.

The EONIA rate (European Overnight Interest Average)

Volume of overnight unsecured lending in the Euro area.

The ECB’s Balance Sheet.

The Fed’s Balance Sheet (Factors Supplying Funds is Assets, Factors Absorbing Funds is Liabilities)

Selected Interest Rates from the Federal Reserve.

 

Economics Blogs That Sometimes Cover Issues Related to this Course

My blog.

FT Alphaville.  Detailed coverage of financial news stories.

Bruegel. Think-tank covering European economic policy issues.

Economist’s View. Academic Mark Thoma from Oregon offers views and links to articles on the US economy.

Calculated Risk. An excellent site for US economic news, with a particular focus on housing.

Paul Krugman. Thoughts on macro from a Nobel prize winner. Best accessed via Twitter or you’ll run into the New York Times’s 10 articles per month limit.

Econbrowser. US macroeconomic commentary from academics Menzie Chinn and Jim Hamilton.

Mainly Macro. A thoughtful UK-oriented blog from Simon-Wren Lewis of Oxford

Monetary Dialogue with the ECB. Not a blog but lots of papers by leading European economists on monetary policy issues.

International Money and Banking

This is the class website for University College Dublin module International Money and Banking (ECON 30150) being taught by Professor Karl Whelan in Spring 2015.

Here is a handout describing the structure of the module, assessment and other details.

Note: If you are in the final year of your degree, please ensure that you know the rules about degree compliance and that you are taking the right selection of courses to ensure that you can graduate. See here.

Lecture Notes

0. Introduction

1. Money as a Medium of Exchange

2. Banks and Financial Intermediation

3. Liquidity and Solvency

4. Central Banks

5. The Money Supply

6. Money and Inflation

 

Readings and Useful Links

Links to Data Sources and Economics Websites

A Comparative Chronology of Money. Website based on A History of Money from Ancient Times to the Present Day by Glyn Davies.

Jevons on Barter

Milton Friedman: The Island of Stone Money

R. A. Radford:  The Economic Organisation of a P.O.W. Camp

Charles Goodhart: Two Concepts of Money

A History of Money: From AD 800 by John F. Chown. Google Books version. Chapter 5 is “The Great Debasement of Henry VIII’s Reign”

Cleveland Fed: The Tale of Gresham’s Law

Bank of England: A Brief History of Bank Notes

Major Developments in the History of the Bank of England

Karl Whelan: How Is Bitcoin Different From The Dollar?

Karl Whelan: So What’s So Special About Bitcoin?

Bank of Ireland’s Interim Report with June 2014 results.

Cleveland Fed: Bank Capital Requirements: A Conversation with the Experts

Patrick Honohan’s Report: The Irish Banking Crisis Regulatory and Financial Stability Policy 2003-2008.

Bank of England: Understanding the fair value of banks’ loans

Bad Journalism on Bank Capital Example One: London Review of Books

Bad Journalism on Bank Capital Example Two: Fortune

Bad Journalism on Bank Capital Example Three: New York Times

Federal Reserve: Recent Balance Sheet Trends

The weekly consolidated balance sheet of the Eurosystem from the ECB.

Karl Whelan:  Is the ECB Risking Insolvency? Does it Matter?

Karl Whelan: Should Monetary Policy be Separated From Banking Supervision?

Information on Payments Systems: TARGET2 and Fedwire.

Karl Whelan: An ECB QEsplainer

ECB: The demand for currency in the euro area and the impact of the euro cash changeover

Guy Debelle: On Europe’s Effects on Australian Financial Markets

Todd Keister and James McAndrews Why Are Banks Holding So Many Excess Reserves?

Paul De Grauwe and Magdalena Polan: Is Inflation Always and Everywhere a Monetary Phenomenon?

Steve H. Hanke and Nicholas Krus: World Hyperinflations

Top Five Hyperinflations