Methods and Applications in Quantitative Macro
Level:
Doctoral Course Status:
Elective CEU code:
ECON 5505 - Methods and Applications in Quantitative Macro CEU credits:
4 ECTS credits:
8 Term:
2nd Academic year:
2009/2010 Academic year:
2010/2011 Academic year:
2011/2012 Semester:
Fall Host Unit:
Department of Economics Academic Program:
CEU Instructor(s):
Katrin Rabitsch CEU Instructor(s):
Alessia Campolmi Additional information:
1. Methods
a. Matlab introduction
b. Revision of basic RBC model and log‐linearization techniques
c. Use of different packages for first and second order approximation: Uhlig,
Schmitt‐Grohe&Uribe, Dynare,…
d. Simple examples of value function iteration
e. Simple examples of parametrized expectation
f. Simple examples of policy function iteration
2. Applications
a. Closed and open economy standard RBC model
b. Two country models: Endowment economies,
c. Backus Kehoe and Kydland (1995) model,
d. Stockman and Tesar (1995) model
e. Credit Cycles model a la Kiyotaki and Moore
f. Simple applications with borrowing constraints
g. Basic New Keynesian model in closed
h. Small open and two‐country extension of NK
i. Welfare approximation and optimal policy
j. Optimal simple rules
k. Applications to models with labour markets frictions Learning Outcomes:
i) understanding of the general framework used to study
macro issues in modern macro ii) development of technical skills that enable students to critically
evaluate core papers in the field, iii) development of skills that enable students to apply what they
have learned to everyday macro issue they can find in economic newspapers. Assessment :
Grading will be based on term paper/exam + home works. Full description:
The course is aimed at providing students with the knowledge of basic quantitative techniques need in modern macroeconomics. Teach students how to set up, solve and simulate macro models with quantitative methods i.e., how to use matlab packages to log linearize and solve dynamic models, obtain second or higher order approximations, use selective non linear methods. Students will learn how the replicate state of the art published papers in the field of business cycle, international macro, monetary.
