MPE_MAMO Macroeconomic modelling

Faculty of Economics and Administration
Autumn 2023
Extent and Intensity
2/2/0. 10 credit(s). Type of Completion: zk (examination).
Teacher(s)
doc. Ing. Daniel Němec, Ph.D. (lecturer)
Ing. Mgr. Vlastimil Reichel, Ph.D. (seminar tutor)
Ing. Mgr. Vlastimil Reichel, Ph.D. (lecturer)
Mgr. Jakub Chalmovianský, Ph.D. (lecturer)
Mgr. Jakub Chalmovianský, Ph.D. (seminar tutor)
Guaranteed by
doc. Ing. Daniel Němec, Ph.D.
Department of Economics – Faculty of Economics and Administration
Contact Person: Mgr. Jarmila Šveňhová
Supplier department: Department of Economics – Faculty of Economics and Administration
Timetable
Thu 16:00–17:50 P106, except Thu 21. 9., except Thu 9. 11.
  • Timetable of Seminar Groups:
MPE_MAMO/01: Thu 18:00–19:50 VT204, except Thu 21. 9., except Thu 9. 11., J. Chalmovianský, 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
This course is intended to provide the students with advanced knowledge of the tools and techniques of macroeconomic modelling (including methods of model identification and interpretation of particular model building blocks), especially in the field of Dynamic Stochastic General Equilibrium models (DSGE).
Learning outcomes
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 and its applications. Second edition. Princeton: Princeton University Press, 2015, xii, 279. ISBN 9780691164786. info
  • COSTA, Celso. Understanding DSGE. Wilmington: Vernon Press, 2016, x, 269. ISBN 9781622730384. info
    recommended literature
  • DEJONG, David N. and Chetan DAVE. Structural macroeconometrics. Second edition. Princeton: Princeton University Press, 2011, xvi, 418. ISBN 9780691152875. info
  • WICKENS, Mike. Macroeconomic theory : a dynamic general equilibrium approach. Second edition. Princeton: Princeton University Press, 2012, xvii, 596. ISBN 9780691152868. info
  • 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). If a student enrolls in the course while they are abroad, there will be no alteration in the course evaluation. However, individual deadlines will be provided to the student to meet their course requirements.
Language of instruction
Czech
Further comments (probably available only in Czech)
Study Materials
The course is taught annually.
General note: Přednášky jsou dostupné online a ze záznamu.
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 2017, Autumn 2018, Autumn 2019, Autumn 2020, Autumn 2021, Autumn 2022, Autumn 2024.
  • Enrolment Statistics (Autumn 2023, recent)
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