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.

The midterm exam will last for one hour and will take place on Thursday March 5 at 2PM in Theatre Q. Here is a list of the topics that may be covered.

Here is a description of the final exam (to be updated) and here is last year’s final exam.

Lecture Notes

1. Introduction: Time Series and Macroeconomics

2. Vector Autoregressions

3. Examples of VAR Studies

4. VARs With Long-Run Restrictions

5. Latent Variables: The Kalman Filter

6. Solving Models with Rational Expectations

7. The Real Business Cycle Model

 

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).

RATS replication files for the Laubach-Williams paper.

 

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)

St. Louis Fed: Oil Prices: Is Supply or Demand behind the Slump?

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?”

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.

Thomas Laubach and John C. Williams (2001). Measuring the Natural Rate of Interest. Updated estimates from the Laubach-Williams model from the San Francisco Fed.

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

Nicholas Higham and Hyun-Min Him (2002). Numerical Analysis of a Quadratic Matrix Equation.

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.

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).

Assessment

The midterm exam will take place on Thursday March 5 at 6PM in the Blackrock Exam Centre. Sample questions for the midterm can be found here (Updated: February 21). Logistical details for the exam are here.

Here are guidelines for the final exam including sample questions for Sections 1 and 2 of the exam (Updated: February 21). Here is the handout with sample questions for Section 3. (Updated: February 21). Both handouts will be updated as the term goes on.

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.

 

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

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.

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