Macroeconomic Modeling (QEM)

Recursive approach to dynamic economic models. Global vs local solutions. Curse of dimensionality. Value function iteration. Policy function iteration. Overlapping generations models. Discretization of continuous processes. Models with uninsured idiosyncratic risk. Perturbation techniques.

The course aims to teach students how to apply a set of mathematical, econometric and statistical methods in modeling economic processes. It hence bridges the gap between theoretical analysis offered at advanced macroeconomics courses and the need to apply the models in practice. The course participants will be presented tools used in contemporaneous macroeconomic empirical analysis and given the opportunity to apply them in their own research.

Literatura podstawowa:

F. Canova (2007), Methods for Applied Macroeconomic Research, Princeton University Press; B. Heer, A. Maussner (2008), Dynamic General Equilibrium Modeling: Computational Methods and Applications. Springer: Berlin, 2 edn.; K. Judd, (1998), Numerical Methods in Economics, MIT Press; G. McCandless (2008), The ABCs of RBCs: An Introduction to Dynamic Macroeconomic Models, Harvard University Press.

Literatura uzupełniająca:

A selection of published and working papers.

Wiedza:

Knowledge of global solution methods used to solve dynamic macroeconomic models.

Knowledge of local solution methods used to solve dynamic macroeconomic models.

Knowledge of methods used to estimate dynamic stochastic general equilibrium models.

Umiejętności:

Ability to understand and replicate computations underlying contemporaneous research in macroeconomics.

Ability to estimate a simple dynamic stochastic general equilibrium model.

Ability to carry out one's own research project using dynamic macroeconomic theory.

Kompetencje społeczne:

Discuss advantages and disadvantages of numerical methods used in macroeconomics.

Advise on use of appropriate methods to solve dynamic macroeconomic problems.

ocena z ćwiczeń: 50.00%

inne: 50.00%