MPE_MAMO Macroeconomic modelling

Faculty of Economics and Administration
Autumn 2014
Extent and Intensity
2/1/0. 10 credit(s). Type of Completion: zk (examination).
Teacher(s)
Ing. Miroslav Hloušek, Ph.D. (lecturer)
prof. Ing. Osvald Vašíček, CSc. (lecturer)
Guaranteed by
prof. Ing. Osvald Vašíček, CSc.
Department of Economics - Faculty of Economics and Administration
Contact Person: Lydie Pravdová
Supplier department: Department of Economics - Faculty of Economics and Administration
Timetable
Tue 14:35–16:15 P201
  • Timetable of Seminar Groups:
MPE_MAMO/01: each odd Thursday 14:35–16:15 VT204
MPE_MAMO/02: each even Thursday 14:35–16:15 VT204, M. Hloušek
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 the course is directly associated with
Course objectives
At the end of the course students should be able to:
- give overview of national accounts
- understand Solow growth model
- simulate Markov processes (compute the value of being at a given state)
- solve simple neoclassical growth model
- formulate Lagrangian
-- derive optimality conditions of households and firms and to interepret them
-- define competitive equilibrium
- formulate the model recursively
-- determine state and control variables
-- formulate Bellman equation
-- derive first order conditions
-- derive optimality conditions
- analyticaly compute steady state of the model
- numerically compute value function by method of successive iteration
- compute decision rules
- calibrate structural parameters of simple growth model
- log-linearize model equation
- calculate moments in data
- determine behavior of variables during business cycle
- simulate model economy and compare model moments with moments from data
- apply these procedures in deterministic as well as in sochastic models
- analyze model with labor supply
- understand theory of balanced growth path
- stacionarize model by detrending of variables
- analyze model of overlapping generations and compare it to Ramsey model
- understand behavior of New Keynesian model in reaction to shocks
- compare models of Real business cycle and New Keynesian models
Syllabus
  • National Accounts, Solow growth model
  • Neoclassical growth model (inter- and intratemporal choice, equilibrium and the welfare theorems)
  • Modelling of uncertainty (uncertainty and expected utility, Markov processes)
  • Neoclassical growth model and dynamic programming (sequential methods, recursive methods)
  • Stochastic neoclassical growth model (uncertainty and decision making)
  • Quantitative business cycle analysis, Calibration
  • Cost of business cycles
  • Business cycle model with divisible labor supply
  • Business cycle model with inidivisible labor supply
  • Overlapping generations model
  • New Keynesian model
Literature
    required literature
  • MCCANDLESS, George T. The ABCs of RBCs : an introduction to dynamic macroeconomic models. Cambridge, Mass.: Harvard University Press, 2008. xiv, 421. ISBN 9780674028142. info
  • Williamson, S. Notes on Macroeconomic Theory, http://www.econ.yale.edu/smith/econ510a/notes99.pdf
    recommended literature
  • Advanced macroeconomics. Edited by David Romer. 3rd ed. Boston: McGraw-Hill, 2006. xxii, 678. ISBN 0072877308. info
  • Krueger, D. Quantitative Macroeconomics, http://www.econ.upenn.edu/~dkrueger/teaching/QuantMacroBook.pdf
Teaching methods
lectures, reading of additional materials
seminars: theoretical exercises, computations in Matlab software, work with data
term paper
Assessment methods
Term paper (necessary before taking exam): group project (2 students), two parts (empirical, theoretical); every student presents solution of assignment at seminar
Examination: written, minimum is 60 %
Language of instruction
Czech
Further comments (probably available only in Czech)
Study Materials
The course is taught annually.
Information on course enrolment limitations: max. 20 cizích studentů; cvičení pouze pro studenty ESF
Information about innovation of course.
This course has been innovated under the project "Inovace studia ekonomických disciplín v souladu s požadavky znalostní ekonomiky (CZ.1.07/2.2.00/28.0227)" which is cofinanced by the European Social Fond and the national budget of the Czech Republic.

logo image
Teacher's information
http://www.econ.muni.cz/~hlousek/teaching/mamo.html
The course is also listed under the following terms Autumn 2009, Autumn 2010, Autumn 2011, Autumn 2012, Autumn 2013, Autumn 2015, Autumn 2016, Autumn 2017, Autumn 2018, Autumn 2019.
  • Enrolment Statistics (Autumn 2014, recent)
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