Modern macroeconomics conceived the economy as a general equilibrium system that reflects decisions made by rational agents on a set of variables that connect the present with the future. We will see how contemporary macroeconomics seeks to provide an integrated and coherent explanation of economic systems' long-term and short-term quantitative development. We will work with models in conjunction with data, discussing how to solve, calibrate, simulate and evaluate Dynamic Stochastic General Equilibrium (DSGE) models.
Curriculum
scheda docente
materiale didattico
economic growth and the business cycle. To derive a set of short and long-term stylised facts,
we will review essential notions about the trend-cycle decomposition of historical series, the
filtering procedures and the theory of stochastic processes.
Then, we will derive the neoclassical growth model (Solow model) and its micro-founded
version with complete and perfectly competitive markets and perfect information (RamseyCass Koopmans).
We will see that, in the long run, the trend component of the technological progress causes
the growth of the real variables, whereas, in the short run, random components in the
technological progress will trigger the cycle.
Part II: This second part of the course will focus on several extensions of the canonical RBC
model. We will keep adding more and more elements to the model to bring the results of
simulations closer to empirical evidence. The main extensions that we will see are the
indivisible labour model, habit in consumption, variable capital utilization, capital and
investment adjustment cost and preference shocks.
Part III: The third part of the course will focus on fiscal policy in the RBC models. In particular,
on the effects of increases in public spending financed by either lump-sum or distortionary
taxation and debt accumulation, emphasizing the theoretical foundations and the match with
the empirical evidence.
Part IV: The last part will focus on monetary policy issues. We will see that the introduction
of money in a Walrasian model implies results that are at odds with the empirical evidence.
Then we will focus on the New-Keynesian approach, which shares the same methodological
approach as the RBC theory. Still, the micro-foundation is based on monopolistic competitive
markets and sticky prices. These two hypotheses make money non-neutral and give the
monetary policy an active role. Furthermore, price stickiness also affects the responses to
real shocks that differ, to some extent, from those obtained in the RBC model. In this way, we
will see how it is possible to reproduce both the unconditional and the conditional evidence
to the realization of both real and nominal shocks.
There is no single assigned textbook for the course. Instead, class lectures and handouts, drawn on my typed notes, will be available online.
The teaching material is based on the following textbooks and scientific papers:
Textbooks
Gali, Jordi. Monetary Policy, Inflation, and the Business Cycle.
Romer, David. Advanced Macroeconomics
Walsh, Carl. Monetary Theory and Policy.
Marchetti, Enrico. Teorie del Ciclo Economico
Programma
Part I: The first part of the course deal with the basic concepts needed to define and measureeconomic growth and the business cycle. To derive a set of short and long-term stylised facts,
we will review essential notions about the trend-cycle decomposition of historical series, the
filtering procedures and the theory of stochastic processes.
Then, we will derive the neoclassical growth model (Solow model) and its micro-founded
version with complete and perfectly competitive markets and perfect information (RamseyCass Koopmans).
We will see that, in the long run, the trend component of the technological progress causes
the growth of the real variables, whereas, in the short run, random components in the
technological progress will trigger the cycle.
Part II: This second part of the course will focus on several extensions of the canonical RBC
model. We will keep adding more and more elements to the model to bring the results of
simulations closer to empirical evidence. The main extensions that we will see are the
indivisible labour model, habit in consumption, variable capital utilization, capital and
investment adjustment cost and preference shocks.
Part III: The third part of the course will focus on fiscal policy in the RBC models. In particular,
on the effects of increases in public spending financed by either lump-sum or distortionary
taxation and debt accumulation, emphasizing the theoretical foundations and the match with
the empirical evidence.
Part IV: The last part will focus on monetary policy issues. We will see that the introduction
of money in a Walrasian model implies results that are at odds with the empirical evidence.
Then we will focus on the New-Keynesian approach, which shares the same methodological
approach as the RBC theory. Still, the micro-foundation is based on monopolistic competitive
markets and sticky prices. These two hypotheses make money non-neutral and give the
monetary policy an active role. Furthermore, price stickiness also affects the responses to
real shocks that differ, to some extent, from those obtained in the RBC model. In this way, we
will see how it is possible to reproduce both the unconditional and the conditional evidence
to the realization of both real and nominal shocks.
Testi Adottati
Teaching material:There is no single assigned textbook for the course. Instead, class lectures and handouts, drawn on my typed notes, will be available online.
The teaching material is based on the following textbooks and scientific papers:
Textbooks
Gali, Jordi. Monetary Policy, Inflation, and the Business Cycle.
Romer, David. Advanced Macroeconomics
Walsh, Carl. Monetary Theory and Policy.
Marchetti, Enrico. Teorie del Ciclo Economico
Bibliografia Di Riferimento
Additional readings: King, Robert G. & Plosser, Charles I. & Rebelo, Sergio T., 1988. "Production, growth and business cycles I. The basic neoclassical model," Journal of Monetary Economics, Elsevier, vol. 21(2-3), pages 195-232. King, Robert G. & Rebelo, Sergio T., 1999. "Resuscitating real business cycles," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 14, pages 927-1007, Elsevier. Baxter, Marianne & King, Robert G, 1993. "Fiscal Policy in General Equilibrium," American Economic Review, American Economic Association, vol. 83(3), pages 315-334, June. Mark Gertler & Jordi Gali & Richard Clarida, 1999. "The Science of Monetary Policy: A New Keynesian Perspective," Journal of Economic Literature, American Economic Association, vol. 37(4), pages 1661-1707, December.Modalità Erogazione
Lectures and exercises The educational activities include lectures, lasting 2 hours three times a week, and problem sets intending to illustrate the application of the issues covered in the classes.Modalità Frequenza
Attendance is not mandatoryModalità Valutazione
Evaluation for the course will be based on four problem sets and a final written exam. Forty per cent of the course grade will be based on the four problem sets, consisting of the solution, linearisation, calibration and simulation of the models discussed during the lessons. The final written exams, for the remaining sixty per cent of the course grade, consist of two open questions focusing on explaining the transmission mechanisms of the main macroeconomic shocks and the role of policy interventions in the various models analysed during the lessons.
scheda docente
materiale didattico
economic growth and the business cycle. To derive a set of short and long-term stylised facts,
we will review essential notions about the trend-cycle decomposition of historical series, the
filtering procedures and the theory of stochastic processes.
Then, we will derive the neoclassical growth model (Solow model) and its micro-founded
version with complete and perfectly competitive markets and perfect information (RamseyCass Koopmans).
We will see that, in the long run, the trend component of the technological progress causes
the growth of the real variables, whereas, in the short run, random components in the
technological progress will trigger the cycle.
Part II: This second part of the course will focus on several extensions of the canonical RBC
model. We will keep adding more and more elements to the model to bring the results of
simulations closer to empirical evidence. The main extensions that we will see are the
indivisible labour model, habit in consumption, variable capital utilization, capital and
investment adjustment cost and preference shocks.
Part III: The third part of the course will focus on fiscal policy in the RBC models. In particular,
on the effects of increases in public spending financed by either lump-sum or distortionary
taxation and debt accumulation, emphasizing the theoretical foundations and the match with
the empirical evidence.
Part IV: The last part will focus on monetary policy issues. We will see that the introduction
of money in a Walrasian model implies results that are at odds with the empirical evidence.
Then we will focus on the New-Keynesian approach, which shares the same methodological
approach as the RBC theory. Still, the micro-foundation is based on monopolistic competitive
markets and sticky prices. These two hypotheses make money non-neutral and give the
monetary policy an active role. Furthermore, price stickiness also affects the responses to
real shocks that differ, to some extent, from those obtained in the RBC model. In this way, we
will see how it is possible to reproduce both the unconditional and the conditional evidence
to the realization of both real and nominal shocks.
There is no single assigned textbook for the course. Instead, class lectures and handouts, drawn on my typed notes, will be available online.
The teaching material is based on the following textbooks and scientific papers:
Textbooks
Gali, Jordi. Monetary Policy, Inflation, and the Business Cycle.
Romer, David. Advanced Macroeconomics
Walsh, Carl. Monetary Theory and Policy.
Marchetti, Enrico. Teorie del Ciclo Economico
Programma
Part I: The first part of the course deal with the basic concepts needed to define and measureeconomic growth and the business cycle. To derive a set of short and long-term stylised facts,
we will review essential notions about the trend-cycle decomposition of historical series, the
filtering procedures and the theory of stochastic processes.
Then, we will derive the neoclassical growth model (Solow model) and its micro-founded
version with complete and perfectly competitive markets and perfect information (RamseyCass Koopmans).
We will see that, in the long run, the trend component of the technological progress causes
the growth of the real variables, whereas, in the short run, random components in the
technological progress will trigger the cycle.
Part II: This second part of the course will focus on several extensions of the canonical RBC
model. We will keep adding more and more elements to the model to bring the results of
simulations closer to empirical evidence. The main extensions that we will see are the
indivisible labour model, habit in consumption, variable capital utilization, capital and
investment adjustment cost and preference shocks.
Part III: The third part of the course will focus on fiscal policy in the RBC models. In particular,
on the effects of increases in public spending financed by either lump-sum or distortionary
taxation and debt accumulation, emphasizing the theoretical foundations and the match with
the empirical evidence.
Part IV: The last part will focus on monetary policy issues. We will see that the introduction
of money in a Walrasian model implies results that are at odds with the empirical evidence.
Then we will focus on the New-Keynesian approach, which shares the same methodological
approach as the RBC theory. Still, the micro-foundation is based on monopolistic competitive
markets and sticky prices. These two hypotheses make money non-neutral and give the
monetary policy an active role. Furthermore, price stickiness also affects the responses to
real shocks that differ, to some extent, from those obtained in the RBC model. In this way, we
will see how it is possible to reproduce both the unconditional and the conditional evidence
to the realization of both real and nominal shocks.
Testi Adottati
Teaching material:There is no single assigned textbook for the course. Instead, class lectures and handouts, drawn on my typed notes, will be available online.
The teaching material is based on the following textbooks and scientific papers:
Textbooks
Gali, Jordi. Monetary Policy, Inflation, and the Business Cycle.
Romer, David. Advanced Macroeconomics
Walsh, Carl. Monetary Theory and Policy.
Marchetti, Enrico. Teorie del Ciclo Economico
Bibliografia Di Riferimento
Additional readings: King, Robert G. & Plosser, Charles I. & Rebelo, Sergio T., 1988. "Production, growth and business cycles I. The basic neoclassical model," Journal of Monetary Economics, Elsevier, vol. 21(2-3), pages 195-232. King, Robert G. & Rebelo, Sergio T., 1999. "Resuscitating real business cycles," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 14, pages 927-1007, Elsevier. Baxter, Marianne & King, Robert G, 1993. "Fiscal Policy in General Equilibrium," American Economic Review, American Economic Association, vol. 83(3), pages 315-334, June. Mark Gertler & Jordi Gali & Richard Clarida, 1999. "The Science of Monetary Policy: A New Keynesian Perspective," Journal of Economic Literature, American Economic Association, vol. 37(4), pages 1661-1707, December.Modalità Erogazione
Lectures and exercises The educational activities include lectures, lasting 2 hours three times a week, and problem sets intending to illustrate the application of the issues covered in the classes.Modalità Frequenza
Attendance is not mandatoryModalità Valutazione
Evaluation for the course will be based on four problem sets and a final written exam. Forty per cent of the course grade will be based on the four problem sets, consisting of the solution, linearisation, calibration and simulation of the models discussed during the lessons. The final written exams, for the remaining sixty per cent of the course grade, consist of two open questions focusing on explaining the transmission mechanisms of the main macroeconomic shocks and the role of policy interventions in the various models analysed during the lessons.