TrainingsMasterEconomicsCoursesMacroeconomic cycles

Master EconomicsUE Macroeconomic cycles

Content

The purpose of the course is to acquire relevant knowledge to analyze, both theoretically and numerically, discrete-time dynamic rational expectation models in economics. Applications in the field of Real Business Cycle (RBC) theory and Dynamic Stochastic General Equilibrium (DSGE) models will be presented. Computer sessions will be undertaken using Matlab software.

Course outline :

Chap 1 : Advanced Real Business Cycle theory

1. The RBC model : main results and early criticisms

2. Labor market extensions

3. Variable factor utilization

4. Capital adjustment costs and investment dynamics

5. Combining sources of uncertainty

Chap 2. Solving and estimating standard DSGE models

1. Linear rational expectation models : solution(s), uniqueness/multiplicity, stability

2. Solving standard DSGE model by first-order perturbation methods (log-linear approximation around the steady-state)

3. Estimation methods : overview

Chap 3. Computer sessions

1. Computer session 1

2. Computer session 2

Chap 4. Global methods : value function iteration and applications (optional)

Professional skills

  • Understanding Real Business Cycle models
  • Solving and estimating DSGE models
  • Applications using Matlab

Languages used

Main languages used by this course:

  • Français
  • Anglais

Bibliography

  • R. Farmer, Macroeconomics of Self-Fulfilling Prophecies, 2nd edition, MIT Press, 1999.
  • King, R. and S. Rebelo, “Resuscitating real business cycles”, Handbook of Macroeconomics, 1999, vol. 1, Part B, pp 927-1007.
  • Dejong, D. and C. Dave, Structural Macroeconometrics, 2nd edition, Princeton University Press, 2011.
  • Canova, F., Methods for applied Macroeconometric Research, Princeton University Press, 2007.

Fundamental prerequisites

Standard knowledge in economics and mathematics for students in Economics at M1 level (theory of intertemporal choices, optimization, etc.)

Recommended prerequisites

Undergraduate macroeconomics

M1 Macroeconomics courses

Structure and organisation

8 courses of 3h each, among which 2 courses are devoted to computer sessions.

Final evaluation will take the form of a written exam.

Volume of teachings

  • Lectures: 24 hours

The trainings which use this course