Aller à : contenu haut bas recherche
 
 
EN     FR
Vous êtes ici:   UNIL > HEC Inst. > HEC App. > SYLLABUS
 
 

Dynamic Macroeconomic Models

  • Teacher(s): C.Cahn
  • Course given in: English
  • ECTS Credits: 6 credits
  • Schedule: Autumn Semester 2019-2020, 4.0h. course (weekly average)
  •  séances
  • site web du cours course website
  • Related programme: Master of Science (MSc) in Economics

[warning] This course syllabus is currently edited by the professor in charge. Please come back in a few days. --- For your information only, here is the old syllabus :

Objectives

This course is an introduction to the concepts and techniques of quantitative macro modelling that are used in academics (teaching, research) and in many institutions (central bank, FMI, OECD). The course consists of lectures in which theoretical notions are presented, followed by practical sessions in the computer lab, where models are confronted to real-world data and situations. To this end, part of the sessions will be devoted to programming (e.g., MATLAB) and to specific softwares (e.g., Dynare).

Contents

Session #1: Introduction
Session #2: Working with data
Session #3: Introduction to VAR Modelling
Session #4: Introduction to Recursive Methods
Session #5: The Canonical RBC Model
Session #6: Towards the New Keynesian Model
Session #7: Estimation
Session #8: Unemployment & Matching Models
Session #9: The Smets−Wouters Model
Session #10: Beyond the Representative Agent Model: Ayiagary−Bewley Models
Session #11: Optimal Policy and Welfare Analysis
Session #12: Models with a Banking Sector
Session #13: News Shocks and Anticipated Structural Changes
Session #14: Tips & Tricks with Macro Models

References

- Adda, J., Cooper, R., 2003. Dynamic Programming: Theory and Applications, MIT press.

- Cahn, C., 2014. Macroéconomie quantitative, Ellipses.

- Canova, F., 2007. Methods for Applied Macroeconomic Research. Princeton University Press, Princeton.

- Cooley, T., 1995. Frontiers of Business Cycle Research. Princeton University Press, Princeton.

- Galí, G., 2008. Monetary Policy, Inflation and the Business Cycle: An Introduction to the New Keynesian Framework. Princeton University Press.

- Hamilton, J., 1994. Time Series Analysis. Princeton University Press, Princeton.

- Heer, B., Maussner, T., 2009. Dynamic General Equilibrium Modeling. Springer.

- Ljungqvist, L., Sargent, T., 2004. Recursive Macroeconomic Theory. MIT Press.

- Judd, K., 1998. Numerical methods in economics, MIT Press.

- Romer, D., 2006.Advanced Macroeconomics, McGraw-Hill Publishers.

- Stokey, N., Lucas, R.E., Prescott, E., 1989. Recursive Methods in Economic Dynamics. Harvard Univ. Press.

Computer support

- Dynare support: http://www.dynare.org

- DSGE support: http://www.dsge.net/

- QuantEcon: https://quantecon.org/

- OCTAVE (alternative to MATLAB): https://www.gnu.org/software/octave/

Evaluation


 

First attempt


 
Exam:
Without exam (cf. terms)  
Evaluation:

There will be several problem sets (PSs) and a project. The PSs may require a computer program. In addition, students are required to work on a more detailed independent project, to be assigned after session #7. The possibility to be jointly completed by a group of students will be discussed at the time of assignment.

The PSs count for 60% of the grade and the project counts for 30% of the grade. Handing the PSs and doing the project is compulsory to obtain a final grade (absence => grade:0). Each student is invited to attend the class. Attendance is compulsory. The allocation of the remaining 10% of the grade will be based on participation and bonuses on PSs and project.

Problem sets and the project are graded on the basis of 100 points. The final note is an average of these works and is then converted on a grade based on 6 points. The conversion rule of the final grade:

96<=x<=100: 6

86<=x<=95: 5,5

76<=x<=85: 5

66<=x<=75: 4,5

56<=x<=65: 4

46<=x<=55: 3,5

36<=x<=45: 3

26<=x<=35: 2,5

0<=x<=25: 2


 

Retake


 
Exam:
Without exam (cf. terms)  
Evaluation:

There will be several problem sets (PSs) and a project. The PSs may require a computer program. In addition, students are required to work on a more detailed independent project, to be assigned after session #7. The possibility to be jointly completed by a group of students will be discussed at the time of assignment.

The PSs count for 60% of the grade and the project counts for 30% of the grade. Handing the PSs and doing the project is compulsory to obtain a final grade (absence => grade:0). Each student is invited to attend the class. Attendance is compulsory. The allocation of the remaining 10% of the grade will be based on participation and bonuses on PSs and project.

Problem sets and the project are graded on the basis of 100 points. The final note is an average of these works and is then converted on a grade based on 6 points. The conversion rule of the final grade:

96<=x<=100: 6

86<=x<=95: 5,5

76<=x<=85: 5

66<=x<=75: 4,5

56<=x<=65: 4

46<=x<=55: 3,5

36<=x<=45: 3

26<=x<=35: 2,5

0<=x<=25: 2



[» go back]           [» courses list]
 
Search


Internef - CH-1015 Lausanne - Suisse  -   Tél. +41 21 692 33 00  -   Fax +41 21 692 33 05
Swiss University