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 2015.
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.
RATS Programmes and Data
RATS replication files for the Laubach-Williams paper.
RATS programme that produces RBC graphs in Part 7 (using Binder-Pesaran)
A large number of macroeconomic models from academic papers have been coded up in Dynare and made freely available, most notably at Volker Wieland’s Macro Model Database. See below for a number of papers and corresponding Dynare programmes.
Programme for the RBC model in Part 7
Dynare can also estimate DSGE models using Bayesian techniques. Here is a link to a working example, including data, by Joao Madeira from the University of York.
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?”
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.
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.
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
Julio Rotemberg and Michael Woodford (1997). An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy.
Alistair Hall, Atsushi Inoue, James Nason and Barbara Rossi (2010). Information Criteria for Impulse Response Function Matching Estimation of DSGE Models.
Peter Ireland (2004). A Method for Taking Models to the Data.
Francisco Ruge-Murcia (2007). Methods to Estimate Dynamic Stochastic General Equilibrium Models.
Jesus Fernández-Villaverde (2009). The Econometrics of DGSE Models.
Frank Smets and Rafael Wouters (2007). Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach. (ECB working paper version here; appendix with full model here).