MA Advanced
Macroeconomics, 2012
This is the website
for MA Advanced Macroeconomics (ECON 41620) taught by Prof.
Karl Whelan (University College Dublin). The focus in this course will be on
how modern macroeconomists attempt to use theory to model and understand time
series fluctuations in the major macroeconomic variables. Later lectures focus
on modelling the interactions between the financial sector and the
macroeconomy.
Here is a syllabus and
reading list for the module.
This
handout describes the format for the final exam and
provides some sample questions. Here is last year’s final
exam.
Final Exam: This will take place on Saturday May 12 at 3PM at
the RDS Simmonscourt and will last for two hours.
Lecture Notes
1. Introduction: Time Series and
Macroeconomics
3. VARs with Long-Run Restrictions
4. Solving
Models with Rational Expectations
5. The
Real Business Cycle Model
7. The
Modern New-Keynesian Model (Technical Notes)
9. Systematic
Risk and Macroprudential Regulation
10. Credit
Rationing
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).
Charles Bean (2009). The Great Moderation, the Great Panic and the Great Contraction.
Marta
Bańbura, Domenico Giannone, and Lucrezia Reichlin (2008). Large
Bayesian VARs.
Kilian, Lutz (2009). Not All Oil
Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil
Market. (Working
paper)
James
Stock and Mark Watson (2001). Vector Autoregressions.
Olivier
Blanchard and Roberto Perotti (2002). An Empirical Characterization of the Dynamic Effects of Changes in
Government Spending and Taxes on Output (JSTOR).
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.
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 (Not
available outside UCD. Go through UCD Connect and the Library Page.)
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
Documentation for the Basle 2 Internal Ratings Based model.
Patrick
Honohan (2008): Bank Failures:
The Limits of Risk Modelling
Philipp
Hildebrand (2008): Is
Basel II Enough? The Benefits of a Leverage Ratio
New York
Times: Risk
Mismanagement
Karl
Whelan (2009): Containing
Systemic Risk (Paper submitted to European Parliament.)
Ben
Bernanke: Implications
of the Financial Crisis for Economics
Joshua Coval and Erik Stafford (2007). Asset
Fire Sales (and Purchases) in Equity Markets.
Tobias
Adrian and Hyun Song Shin (2008). Liquidity and Leverage.
Andrew
Crockett (2000): Marrying
the Micro- and Macro-Prudential Dimensions of Financial Stability
Douglas
Diamond and Raghuram Rajan
(2010): The
Credit Crisis: Conjectures about Causes and Remedies
Samuel
Hanson, Anil Kashyap and Jeremy Stein: A Macroprudential Approach to Financial Regulation
Basle 3 Agreement
Bank of
England (2009). RAMSI
Model Working
Paper.
Joseph Stiglitz and Andrew Weiss (1981). Credit Rationing in Markets with Imperfect Information.
Olivier
Blanchard, Giovanni Dell’Ariccia, and Paolo Mauro
(2010): Rethinking
Macroeconomic Policy
Ricardo Cabellero: Macroeconomics after the Crisis (2010): Time to Deal with the
Pretense-of-Knowledge Syndrome