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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)
  •  sessions
  • site web du cours course website
  • Related programme: Master of Science (MSc) in Economics



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).


For each session, one half day is dedicated to theory and technical exposition, the following half day is for practicing on computer.

Session #1: Introduction / Introductory Course on Programming with Matlab

Session #2: Working with data

Session #3: Basics of dynamic models

Session #4: Estimation

Session #5: Around the Smets−Wouters model

Session #6: Counterfactual analysis

Session #7: Heterogeneity


- 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:

- DSGE support:

- QuantEcon:

- OCTAVE (alternative to MATLAB):


First attempt

Without exam (cf. terms)  

Evaluation will be based on short quizzes given at the end of sessions 2 to 7. The two lowest scores are dropped and final grade is an average of the 4 best grades. The average is then converted on a grade based on 6 points.


Without exam (cf. terms)  

Students will be asked to recode the modelling part of a research paper (quizzes results will NOT be included in the final grade).

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