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Dynamic Macroeconomic Models (Aut 22)

  • Enseignant(s):   A.Eyquem  
  • Titre en français: Modèles de macroéconomie dynamique - (Aut 22)
  • Cours donné en: anglais
  • Crédits ECTS: 6 crédits
  • Horaire: Semestre d'automne 2022-2023, 4.0h. de cours (moyenne hebdomadaire)
  •  séances
  • site web du cours site web du cours
  • Formation concernée: Maîtrise universitaire ès Sciences en économie politique
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Objectifs

This course offers an introduction to the concepts and techniques of quantitative macroeconomic modelling that are used in academics and in many institutions (central banks, IMF, etc.). The approach followed is that of building blocks: starting with small-scale dynamic models and then extending them to tackle additional issues such as optimal fiscal and monetary policy, unemployment dynamics or financial frictions. Along the way, students learn how to solve, estimate, and simulate various models using Dynare (running on Matlab), and acquire technical skills to study macroeconomic problems and gain insights into state-of-the-art macroeconomic research.

Please check the course website on Moodle for potential organizational updates prior to the first meeting.

Contenus

  1. Introduction and business cycle facts
  2. A refresher on the RBC model
  3. Lab session: solving a simple RBC model with Dynare
  4. Issues with the RBC model: labor markets, asset prices and shocks
  5. Introducing search and matching frictions
  6. Lab session: The RBC model augmented with frictions
  7. Introducing the government: spending and investment
  8. Optimal Fiscal Policy
  9. Money, Nominal Rigidities and the New Keynesian Model
  10. Monetary Policy in the New Keynesian Model
  11. Lab session: A small-scale DSGE model
  12. Estimating General Equilibrium Models
  13. Lab session: Bayesian estimation of a simple DSGE model with sticky prices
  14. Introducing financial frictions: the Gertler-Karadi model and application to the 2008 crisis*

*: If time permits

Références

No single textbook covers the contents of this course. Lectures will be based on slides that will be made available online for each lecture. However, some textbooks may be useful such as:

  • Gali, “Monetary Policy, Inflation and the Business Cycle”, Princeton University Press, 2nd edition
  • Ljungqvist and Sargent, “Recursive Macroeconomic Theory” , MIT Press, 4th edition
  • Miao, “Economic Dynamics: Discrete Time”, MIT Press
  • Wickens, “Macroeconomic Theory”, Princeton University Press, 2nd edition

Evaluation

1ère tentative

Examen:
Sans examen (cf. modalités)  
Evaluation:

No written exam. Students are expected to choose a research article and replicate all its results (the article should have no online existing replication package). Students will return a report showing all mathematical derivations and explaining/commenting the results, as well as a computing replication package. Expected due date: mid-january 2023.

Evaluation: Report + replication package (100%)

Rattrapage

Examen:
Sans examen (cf. modalités)  
Evaluation:

No written exam. Students are expected to choose a research article and replicate all its results (the article should have no online existing replication package). Students will return a report showing all mathematical derivations and explaining/commenting the results, as well as a computing replication package. Expected due date: to be defined.

Evaluation: Report + replication package (100%)



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