ECON 269A
ADVANCED MACROECONOMICS
Fall 2008




Professor: Fabio Milani, fmilani@uci.edu
Office Hours: SSPA 3145, Thursday 3-5 PM

Time and Location: SSL 117, Tu-Th 11.00-12.20.
Course Webpage:www.socsci.uci.edu/~fmilani/econ263a.html




COURSE MATERIAL


 Syllabus



State of Macroeconomics/ Controversies

Gali', The New Keynesian Approach to Monetary Policy Analysis: Lessons and New Directions
Woodford, Convergence in Macroeconomics
Woodford, Revolution and Evolution in Twentieth-Century Macroeconomics
Gali' and Gertler, Macroeconomic Modeling for Monetary Policy Evaluation
Lucas, Macroeconomic Priorities
Chari, Kehoe, and McGrattan, New Keynesian Models: Not Yet Useful for Policy Analysis
Atkeson and Kehoe, On the Need for a New Approach to Analyzing Monetary Policy
Shimer, Convergence in Macroeconomics: The Labor Wedge
Modigliani, The Monetarist Controversy or, Should We Forsake Stabilization Policies?
Goodfriend and King, The New Neoclassical Synthesis and the Role of Monetary Policy

Derivation and Estimation of DSGE Models

Sticky-Price New Keynesian Models

Smets and Wouters, Shocks and frictions in US business cycles: a Bayesian DSGE approach
Christiano, Eichenbaum, and Evans, Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy
Smets and Wouters, Bayesian New Neoclassical Synthesis (NNS) Models: Modern Tools for Central Banks

Solving and Estimating DSGE Models

Sims, Solving Linear Rational Expectations Models
Bayesian Estimation:
An and Schorfheide, Bayesian Analysis of DSGE Models.
Gary Koop, Bayesian Econometrics
John Geweke, Contemporary Bayesian Econometrics and Statistics
Fabio Canova, Methods for Applied Macroeconomic Research
Schorfheide, Lecture Notes for Estimation and Evaluation of DSGE Models
Fernandez-Villaverde and Rubio-Ramirez, Methods in Macroeconomic Dynamics
Dave and DeJong, Structural Macroeconometrics
Kim and Nelson, State-Space Models with Regime-Switching

Estimation Issues

Del Negro and Schorfheide, Forming Priors for DSGE Models (And How it Affects the Assessment of Nominal Rigidities)
Del Negro and Schorfheide, On the Fit and Forecasting Performance of New Keynesian Models
Canova and Sala, Back to Square One: Identification Issues in DSGE Models
Fukac and Pagan, Issues in Adopting DSGE Models for Use in the Policy Process
Guerron-Quintana, What you match does matter: The effects of observable variables on DSGE estimation
Fernandez-Villaverde and Rubio-Ramirez, Our Research Agenda: Estimating DSGE Models
Fernandez-Villaverde, Rubio-Ramirez and Santos, Convergence Properties of the Likelihood of Computed Dynamic Models
Fernandez-Villaverde and Rubio-Ramirez, Comparing Dynamic Equilibrium Economies to Data: A Bayesian Approach
Fernandez-Villaverde and Rubio-Ramirez, Estimating Macroeconomic Models: A Likelihood Approach
Canova, Estimating DSGE Models with Unfiltered Data
Fukac, Pagan and Pavlov, Econometric Issues Arising from DSGE Models
Chib and Ramamurthy, MCMC Methods for Bayesian Estimation of DSGE Models
Schorfheide, Loss Function-based Evaluation of DSGE Models
Sims, Remarks on Bayesian methods for macro policy modeling
Beltran and Draper, Estimating the Parameters of a Small Open Economy DSGE Model: Identifiability and Inferential Validity

Examples

Lubik and Schorfheide, Testing for Indeterminacy: An Application to U.S. Monetary Policy
Lubik and Schorfheide, Do Central Banks Respond to Exchange Rates? A Structural Investigation
Lubik and Schorfheide, A Bayesian Look at New Open Economy Macroeconomics
Fernandez-Villaverde and Rubio-Ramirez, Estimating Macroeconomic Models: A Likelihood Approach
Fernandez-Villaverde and Rubio-Ramirez, How Structural Are Structural Parameter Values?
Rabanal and Rubio-Ramirez, Comparing New Keynesian Models of the Business Cycle : A Bayesian approach
Smets and Wouters, An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area
Justiniano and Primiceri, The Time Varying Volatility of Macroeconomic Fluctuations
Primiceri, Schaumburg, and Tambalotti, Intertemporal Disturbances
Justiniano and Preston, Can Structural Small Open Economy Models Account for the Influence of Foreign Shocks?
Rabanal and Tuesta, Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model: What is Important and What is Not
Adolfson et al., Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through
Gali' and Rabanal, Technology Shocks and Aggregate Fluctuations: How Well does the RBC Model Fit Postwar U.S. Data?
DeJong et al., A Bayesian approach to dynamic macroeconomics
Figures, Figures, Figures

Other approaches

RBC Models

King and Rebelo, Resuscitating Real Business Cycles
Rebelo, Real Business Cycle Models: Past, Present and Future

Open Economy Models

Justiniano and Preston, Can Structural Small Open Economy Models Account for the Influence of Foreign Shocks?
Rabanal and Tuesta, Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model: What is Important and What is Not
Adolfson et al., Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through
Lubik and Schorfheide, Do Central Banks Respond to Exchange Rates? A Structural Investigation
Lubik and Schorfheide, A Bayesian Look at New Open Economy Macroeconomics

What are the sources of Business Cycle fluctuations?

Background: VARs and SVARs

Fernández-Villaverde, Rubio-Ramírez, and Sargent, A, B, C's (and D's) for Understanding VARs.
Chari, Kehoe, and McGrattan, A Critique of Structural VARs Using Business Cycle Theory
Christiano, Eichenbaum, and Evans, Monetary Policy Shocks: What Have We Learned and to What End?
Shapiro and Watson, Sources of Business Cycle Fluctuations
Lorenzoni, A Theory of Demand Shocks
Gali', Technology, Employment and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations?
Cochrane, Shocks
Figures

'News' as Drivers of the Business Cycle

Beaudry and Portier, Stock Prices, News and Economic Fluctuations
Beaudry and Portier, Exploring Pigou's Theory of Cycles
Jaimovich and Rebelo, Behavioral Theories of the Business Cycle
Jaimovich and Rebelo, Can News about the Future Drive the Business Cycle?
Schmitt-Grohe and Uribe, What's News in Business Cycles
Fujiwara, Hirose, and Shintani, Can News Be a Major Source of Aggregate Fluctuations? A Bayesian
Barsky and E. Sims, Information Shocks, Animal Spirits, and the Meaning of Innovations in Consumer Confidence
Beaudry, P. and F. Portier, The 'News' View of Economic Fluctuations: Evidence from Aggregate Japanese Data and Sectoral U.S. Data
Jaimovich and Rebelo, News and Business Cycles in Open Economies
Kobayashi and Nutahara, Nominal Rigidities, News-Driven Business Cycles, and Monetary Policy
Lorenzoni, News Shocks and Optimal Monetary Policy
Davis, News and the Term Structure in General Equilibrium
E. Sims, Expectations Driven Business Cycles: An Empirical Evaluation

Expectations: Rational Expectations and Adaptive Learning

Evans and Honkapohja, Learning Dynamics
Evans and Honkapohja, Expectations, Learning and Monetary Policy: An Overview of Recent Research
Evans and Honkapohja, Learning and Macroeconomics
Adaptive Learning in Macroeconomics webpage
Bullard, The Learnability Criterion and Monetary Policy
Marcet and Sargent, Convergence of least squares learning mechanisms in self-referential linear stochastic models
Carceles-Poveda and Giannitsarou, Adaptive Learning in Practice
Preston, Adaptive Learning in Infinite Horizon Decision Problems
Preston, Learning About Monetary Policy Rules When Long-Horizon Expectations Matter
Orphanides and Williams, The decline of activist stabilization policy: Natural rate misperceptions, learning, and expectations
Huang, Liu, and Zha, Learning, Adaptive Expectations, and Technology Shocks
Eusepi and Preston, Expectations, Learning and Business Cycle Fluctuations
SARGENT, WILLIAMS, and ZHA, SHOCKS AND GOVERNMENT BELIEFS: THE RISE AND FALL OF AMERICAN INFLATION
Milani, Expectations, Learning and Macroeconomic Persistence
Milani, Learning and Time-Varying Macroeconomic Volatility
...

Financial Markets and the Macroeconomy

Financial Accelerator

Bernanke and Gertler, Agency Costs, Net Worth, and Business Fluctuations
Bernanke, Gertler, and Gilchrist, The financial accelerator in a quantitative business cycle framework
Carlstrom and Fuerst, Agency Costs, Net Worth, and Business Fluctuations: A Computable General Equilibrium Analysis
Christensen and Dib, The financial accelerator in an estimated New Keynesian model
Gilchrist, Gertler, and Natalucci, External Constraints on Monetary Policy and the Financial Accelerator'
Gilchrist and Saito, Expectations, Asset Prices and Monetary Policy: The Role of Learning'
Queijo von Heideken, How Important are Financial Frictions in the U.S. and the Euro Area
De Graeve, The External Finance Premium and the Macroeconomy: US Post–WWII Evidence
...
Figures

Financial Markets in Macroeconomic Models

Christiano, Motto, and Rostagno, Financial Factors in Business Cycles
Christiano, Ilut, Motto, and Rostagno, Monetary Policy and Stock Market Boom-Bust Cycles
Challe and Giannitsarou, Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach
Nistico', Monetary Policy and Stock-Price Dynamics in a DSGE Framework
Milani, Learning About the Interdependence Between the Macroeconomy and the Stock Market
Farhi and Panageas, The Real Effects of Stock Market Mispricing at the Aggregate: Theory and Empirical Evidence
...
Figures

Housing

Iacoviello, House prices, borrowing constraints and monetary policy in the business cycle
Iacoviello and Neri, Housing Market Spillovers: Evidence from an Estimated DSGE Model
Notarpietro, Credit Frictions and Household Debt in the U.S. Business Cycle: A Bayesian Evaluation...
Mendicino and Pescatori, Credit Frictions, Housing Prices, and Optimal Monetary Policy Rules

Term Structure

Diebold, Piazzesi, Rudebusch, Modeling Bond Yields in Finance and Macroeconomics
Rudebusch and Wu, A Macro-Finance Model of the Term Structure, Monetary Policy and the Economy
Rudebusch and Swanson, Examining the Bond Premium Puzzle with a DSGE Model
Dewachter and Lyrio, Learning, Macroeconomic Dynamics and the Term Structure of Interest Rates

Credit Frictions

Kiyotaki and Moore, Credit Cycles
Levin, Natalucci, and Zakrajsek, The Magnitude and Cyclical Behavior of Financial Market Frictions
Curdia and Woodford, Credit Frictions and Optimal Monetary Policy
Gerali, Neri, Sessa, Signoretti, Credit and Banking in a DSGE Model
Gilchrist, Yankov, Zakrajsek, Credit Market Shocks and Economic Fluctuations:. Evidence from Corporate Bond and Stock Markets
Adrian and Shin, Financial Intermediaries, Financial Stability and Monetary Policy
Goodfriend and McCallum, Banking and interest rates in monetary policy analysis: A quantitative exploration

The 2008 Financial Crisis

Gorton, The subprime panic
Reinhart and Rogoff, Is the 2007 U.S. Sub Prime financial Crisis so different? An international Historical Comparison
Taylor and Williams, A Black Swan in the Money Market
Tong and Wei, Real Effects of the Subprime Mortgage. Crisis: Is it a Demand or a Finance Shock?
Chari, Christiano, and Kehoe, Facts and Myths about the Financial Crisis of 2008
Greenlaw et al., Leveraged Losses:Lessons form the Mortagage Market Meltdown
IMF, Financial Stress and Deleveraging Macro-Financial Implications and Policy
Dell'Ariccia et al., The real effect of banking crises

Monetary and Fiscal Policy Interactions


Leeper, Equilibria under 'active' and 'passive' monetary and fiscal policies
Chung, Davig, and Leeper, Monetary and Fiscal Policy Switching
Favero and Monacelli, Fiscal Policy Rules and Regime (In)Stability: Evidence from the U.S
Favero and Monacelli, Monetary-Fiscal Mix and Inflation Performance: Evidence from the U.S
Evans and Honkapohja, Policy Interaction, Learning, And The Fiscal Theory Of Prices
...
Effect of Fiscal Policy Shocks

Figures

Labor Market Frictions

...




 REFEREE REPORT
Guidelines, RIE hints for referees, CJE's advice
Write a referee report on one of the following papers:
...


 TOPICS for the course paper:
I will distribute in class a list of possible research ideas. You can also work on different ideas of your choice, as long as they are connected with the course.



 Useful Links: Department of Economics




























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