Welcome to the 2020 Class on Advanced Macroeconomics. This will be an exciting semester as we will look at the modern macroeconomic tools used nowadays in most central banks and policy institutions. We will do all our estimations and calibrations using Matlab. This is a powerful software used, among others, for econometrics.
The first part of the module will focus on macroeconomic methods. We will look at Structural Vector Autoregressive (VAR) Models and Bayesian Econometrics. For the latter we will focus on Bayesian VARs. The second part will focus on DSGE modelling. We will start with the Real Business Cycle Model (RBC) as a benchmark then we will relax some of the assumptions to build a New Keynesian Model (NKM). Later on, we will allow for some frictions to the NKM.
DSGE Models require the learners to be conversant with mathematics (derivatives, integrals and differential equations). I recommend you to revise your Maths. A good book is "Chiang and Wainwright, Fundamental Methods of Mathematical Economics". We will calibrate/estimate our DSGE models using two good toolboxes: Dynare and Rise. I hope that you will enjoy it.
- Teacher: Christian Kakese Tipoy