ESF:MPE_MAMO Macro modelling - Course Information
MPE_MAMO Macroeconomic modellingFaculty of Economics and Administration
- Extent and Intensity
- 2/2/0. 10 credit(s). Type of Completion: zk (examination).
- Ing. Daniel Němec, Ph.D. (lecturer)
Ing. Daniel Němec, Ph.D. (seminar tutor)
prof. Ing. Osvald Vašíček, CSc. (lecturer)
Ing. Mgr. Vlastimil Reichel (seminar tutor)
Ing. Mgr. Vlastimil Reichel (lecturer)
- Guaranteed by
- prof. Ing. Osvald Vašíček, CSc.
Department of Economics - Faculty of Economics and Administration
Contact Person: Mgr. Jarmila Šveňhová
Supplier department: Department of Economics - Faculty of Economics and Administration
- Timetable of Seminar Groups
- MPE_MAMO/02: Thu 16:20–17:55 VT204, D. Němec, 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 the course is directly associated with
- Course objectives
- 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
- 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
- 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.
- required literature
- GALÍ, Jordi. Monetary policy, inflation, and the business cycle : an introduction to the new Keynesian framework. Princeton: Princeton University Press, 2008. xi, 203. ISBN 9780691133164. info
- DEJONG, David N. and Chetan DAVE. Structural macroeconometrics. Princeton: Princeton University Press, 2007. xiv, 338. ISBN 9780691126487. info
- recommended literature
- WICKENS, Mike. Macroeconomic theory : a dynamic general equilibrium approach. Second edition. Princeton: Princeton University Press, 2012. xvii, 596. ISBN 9780691152868. info
- not specified
- 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)
- Language of instruction
- Further comments (probably available only in Czech)
- 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.