#
ESF:MPE_MAMO Macro modelling - Course Information

## MPE_MAMO Macroeconomic modelling

**Faculty of Economics and Administration**

Autumn 2017

**Extent and Intensity**- 2/2/0. 10 credit(s). Type of Completion: zk (examination).
**Teacher(s)**- 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**- Economics (programme ESF, M-EKT)
- Economics (programme ESF, N-EKT)
- Economics (programme ESF, N-MA)
- Mathematical and Statistical Methods in Economics (programme ESF, N-KME)
- Mathematics - Economics (programme PřF, N-AM)

**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 **Syllabus**- Lectures:
- 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
- Seminars:
- 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.

**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

*required literature*- WICKENS, Mike.
*Macroeconomic theory : a dynamic general equilibrium approach*. Second edition. Princeton: Princeton University Press, 2012. xvii, 596. ISBN 9780691152868. info

*recommended literature*- CANOVA, Fabio.
*Methods for applied macroeconomic research*. Princeton: Princeton University Press, 2007. xiv, 492. ISBN 9780691115047. info

*not specified*- GALÍ, Jordi.
**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**- Czech
**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.

- Enrolment Statistics (Autumn 2017, recent)
- Permalink: https://is.muni.cz/course/econ/autumn2017/MPE_MAMO