MPE_MAMO Macroeconomic modelling

Faculty of Economics and Administration
Autumn 2017
Extent and Intensity
2/2/0. 10 credit(s). Type of Completion: zk (examination).
Teacher(s)
doc. Ing. Daniel Němec, Ph.D. (lecturer)
doc. Ing. Daniel Němec, Ph.D. (seminar tutor)
prof. Ing. Osvald Vašíček, CSc. (lecturer)
Ing. Mgr. Vlastimil Reichel, Ph.D. (seminar tutor)
Ing. Mgr. Vlastimil Reichel, Ph.D. (lecturer)
Guaranteed by
prof. Ing. Osvald Vašíček, CSc.
Department of Economics – Faculty of Economics and Administration
Contact Person: Mgr. Jarmila Šveňhová
Supplier department: Department of Economics – Faculty of Economics and Administration
Timetable of Seminar Groups
MPE_MAMO/02: Thu 16:20–17:55 VT204, D. Němec, V. Reichel
Course Enrolment Limitations
The course is also offered to the students of the fields other than those the course is directly associated with.
fields of study / plans the course is directly associated with
Course objectives
At the end of the course students should be able to:
-formulate and derive the main equations of standard DSGE (dynamic stochastic general equilibrium) models (with alternative specifications)
-log-linearize first order conditions
-calibrate, simulate and diagnose DSGE models
-prepare data sets (including appropriate transformations)
-understand idea behind the state-space form of dynamic models, Kalman filter and solutions of models with rational expectations
-identify and diagnose DSGE models
-perform sensitivity and robustness analysis
-interpret the obtained results
Syllabus
  • Lectures:
  • 1. Classical monetary model – basic equations and principles of deriving first order conditions, general equilibrium
  • 2. Basic New Keynesian monetary model I – basic blocks, optimal decision of firms and households, Calvo pricing mechanism
  • 3. Basic New Keynesian monetary model II - New Keynesian Phliips Curve and general equilibrium, monetary rule
  • 4. Model with staggered wages and prices – alternative approaches to model price and wage rigidities
  • 5. Small open economy model I – basic principles, domestic and foreign sector, tradable and non-tradable goods
  • 6. Small open economy model II – exchange rate, terms of trade, uncovered interest parity
  • 7. Money in NK models – alternative approaches to model money in NK models
  • 8. Models with labor market I – nominal and real labor market rigidities, matching function
  • 9. Models with labor market II – alternative concepts of wage bargaining
  • 10. Model with fiscal policy – Ricardian and non-Ricardian households, the role of taxes in DSGE models
  • 11. Optimal monetary policy – alternative monetary rules, discretion versus commitment
  • 12. Actual issues and problems of DSGE modelling
  • Seminars:
  • 1. Log-linearizing macroeconomic models, introduction to Dynare toolbox for Matlab.
  • 2. Model calibration, solving steady-states and model simulations.
  • 3. Diagnostics of simulated models – autocorrelation functions and simulated moments.
  • 4. State-space form of dynamic macroeconomic models and Kalman filter I
  • 5. State-space form of dynamic macroeconomic models and Kalman filter II
  • 6. Models with rational expectations and their solutions.
  • 7. Preparing data sets, data analysis, the possibilities to detrending data, stating connections between model and observed data.
  • 8. Identification (estimation) of DSGE models and basic diagnostic tests.
  • 9. Evaluating quality of identified DSGE models and analysing impulse-response function.
  • 10. Historical shock decomposition and evaluating quality of identified DSGE models.
  • 11. Sensitivity and robustness analysis.
  • 12. Model predictions.
Literature
    required literature
  • GALÍ, Jordi. Monetary policy, inflation, and the business cycle : an introduction to the new Keynesian framework. Princeton: Princeton University Press, 2008, xi, 203. ISBN 9780691133164. info
  • DEJONG, David N. and Chetan DAVE. Structural macroeconometrics. Princeton: Princeton University Press, 2007, xiv, 338. ISBN 9780691126487. info
    recommended literature
  • WICKENS, Mike. Macroeconomic theory : a dynamic general equilibrium approach. Second edition. Princeton: Princeton University Press, 2012, xvii, 596. ISBN 9780691152868. info
    not specified
  • CANOVA, Fabio. Methods for applied macroeconomic research. Princeton: Princeton University Press, 2007, xiv, 492. ISBN 9780691115047. info
Teaching methods
lectures, seminars (theoretical exercises, practical computations in Matlab software - Dynare toolbox, working with data, identifying DSGE models)
Assessment methods
Semestral project and its presentation within the oral exam (including discussion)
Language of instruction
Czech
Further comments (probably available only in Czech)
The course is taught annually.
Information on course enrolment limitations: max. 20 cizích studentů; cvičení pouze pro studenty ESF
The course is also listed under the following terms Autumn 2009, Autumn 2010, Autumn 2011, Autumn 2012, Autumn 2013, Autumn 2014, Autumn 2015, Autumn 2016, Autumn 2018, Autumn 2019, Autumn 2020, Autumn 2021, Autumn 2022, Autumn 2023, Autumn 2024.
  • Enrolment Statistics (Autumn 2017, recent)
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