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