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.
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.
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.
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
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