AØKA08207U Summerschool Theoretical and Empirical Foundations of DSGE Modeling (F)
MSc in Economics
The course is part of the Financial line symbolized by
"F".
We will focus on the construction, solution and empirical validation of dynamic stochastic general equilibrium (DSGE) macroeconomic models.
The first week of the course will be centered around the formulation and solution of DSGE models.
We will first review the baseline structure of the Real Business Cycle model and the New Keynesian model.
We will next consider some recent extensions to these baseline settings. In particular, we will study examples of DSGE models with financial frictions, where households and/or firms have limited access to credit markets, so that fluctuations in the price of their collateral, e.g. their house, affects their borrowing capacity.
There will be afternoon classes designed to acquaint participants with the numerical analysis of DSGE models. During the second week there will be lectures and classes aimed at reviewing various methods employed to validate DSGE models. Finally, a guest lecture will be provided by Jesper Pedersen (Danmarks Nationalbank), on the structure and estimation of the DSGE model of the Danish economy.
After the course the student should:
- Have knowledge of the key building blocks of dynamic stochastic general equilibrium (DSGE) models.
- Be able to formulate, solve and analyze small-scale DSGE models.
- Be able to interpret formal results obtained from the analytical and numerical analysis of DSGE models, reporting them in economic and intuitive terms.
- Be able to perform monetary policy analysis in the baseline New Keynesian model.
- Have knowledge of the main empirical methodologies used to validate DSGE models.
- Have a basic understanding of how DSGE models are implemented for both business cycle and normative analyses at modern monetary institutions.
Syllabus:
The course will cover topics taken from the following two textbooks: 1. Jordi Galí (2008): Monetary Policy, Inflation, and the Business Cycle. Princeton University Press. 2. Carl. E. Walsh (2010): Monetary Theory and Policy. Third Edition, The MIT Press. In addition, some recent research articles will be studied. Slides and these articles will be made available at the course webpage.
Formal Requirements: no formal requirements.
- Category
- Hours
- Class Exercises
- 20
- Exam
- 24
- Lectures
- 30
- Preparation
- 132
- Total
- 206
- Credit
- 7,5 ECTS
- Type of assessment
- Written assignment, 7 daysThe exam is a 7 days take-home assignment.
- Aid
- All aids allowed
- Marking scale
- 7-point grading scale
- Censorship form
- External censorship
100 % censurship
- Exam period
11.th of July from 10 AM to 18.th of July 2015 10 AM (not the 17.th as announced before)
- Re-exam
Same as ordinary. But if only a few students have registered for the re-exam, the exam might change to an oral exams with a synopsis to be handed in. This means that the examination date also will change.
Criteria for exam assesment
The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.
Course information
- Language
- English
- Course code
- AØKA08207U
- Credit
- 7,5 ECTS
- Level
- Full Degree Master
- Duration
- 1 block
- Placement
- Summer
- Schedule
- 29 June - 10 July 2015 not the weekend. 9.00-16.00
- Course capacity
- 40
- Continuing and further education
- Price
- Study board
- Department of Economics, Study Council
Contracting department
- Department of Economics
Course responsibles
- Emiliano Santoro (16-6c74707370687576357a68757b767976476c6a767535727c356b72)
- Søren Hove Ravn (15-7975786b74346e757c6b3478677c74466b69757434717b346a71)
Lecturers
Guestspeakers:
Ivan Petrella i.petrella@bbk.ac.uk
Jesper Pedersen, jpe@nationalbanken.dk