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.
Programmes and Data
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.
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?”