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.

 

Lecture Notes

1. Introduction: Time Series and Macroeconomics

2. Vector Autoregressions

3. Examples of VAR Studies

 

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).

 

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)

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?”