This is the page for courses in empirical macro modelling taking place at the Central Bank of Ireland in June and September 2014.
Lecture Notes
2. Solving Models with Rational Expectations
3. Introduction to DSGE: The RBC Model
4. The Three-Equation New-Keynesian Model
5. Default Risk, Collateral and the Financial Accelerator
Programmes and Data
Two RATS programmes for Monetary Policy VARs: Identification One and Identification Two (Data Set).
RATS programme implementing a Blanchard-Quah decomposition and calculating bootstrapped standard errors. (Data set).
A RATS programme solving, simulating and calculating IRFs for the RBC model.
Readings and Useful Links
Christopher Sims (1980). Macroeconomics and Reality. (JSTOR).
Lutz Kilian (1998). Small-Sample Confidence Intervals for Impulse Response Functions.
Simon Jackman (2000). Estimation and Inference via Bayesian Simulation: An Introduction to Markov Chain Monte Carlo.
Marta Bańbura, Domenico Giannone, and Lucrezia Reichlin (2008). Large Bayesian VARs.
Lutz Kilian (2009). Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market. (Working paper version)
Olivier Blanchard and Roberto Perotti (2002). An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output (JSTOR).
James Stock and Mark Watson (2001). Vector Autoregressions.
Glenn Rudebusch (1998). Do Measures of Monetary Policy in a Var Make Sense?(JSTOR).
Christopher Sims (1998). Comment on Glenn Rudebusch’s Do Measures of Monetary Policy in a Var Make Sense? (JSTOR).
Olivier Blanchard and Danny Quah (1989). The Dynamic Effects of Aggregate Demand and Supply Disturbances (JSTOR).
Jordi Gali (1999). Technology, Employment and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations? (JSTOR).
Karl Whelan (2009). Technology Shocks and Hours Worked: Checking for Robust Conclusions.
Robert Lucas (1976). Econometric Policy Evaluation: A Critique.
Harald Uhlig (1995). A Toolkit for Analyzing Nonlinear Dynamic Stochastic Models Easily.
Timothy Cogley and James Nason (1995). Output Dynamics in Real-Business-Cycle Models.
Milton Friedman: The Role of Monetary Policy.
Robert J. Gordon: The History of the Phillips Curve: Consensus and Bifurcation
John M. Roberts. New Keynesian Economics and the Phillips Curve (JSTOR).
Richard Clarida, Jordi Gali, and Mark Gertler (1999). The Science of Monetary Policy: A New Keynesian Perspective.
Jordi Gali and Mark Gertler (1999). Inflation Dynamics: A Structural Econometric Analysis
Jeremy Rudd and Karl Whelan (2005). Modelling Inflation Dynamics: A Critical Review of Recent Research
Ben Bernanke and Mark Gertler (1989). Agency Costs, Net Worth, and Business Fluctuations.
Mark Gertler’s lecture notes on financial frictions.
Julio Rotemberg and Michael Woodford (1997). An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy.
Alistair Hall, Atsushi Inoue, James Nason and Barbara Rossi (2010). Information Criteria for Impulse Response Function Matching Estimation of DSGE Models.
Peter Ireland (2004). A Method for Taking Models to the Data.
Francisco Ruge-Murcia (2007). Methods to Estimate Dynamic Stochastic General Equilibrium Models.
Jesus Fernández-Villaverde (2009). The Econometrics of DGSE Models.
Chris Sims at INET conference: How Empirical Evidence Does or Does Not Influence Economic Thinking. Video and slides.
Dynare Programmes
Dynare is software that works with Matlab to solve and simulate DSGE models. You can download it here and here is a page has a quick guide to getting started.
Here is a simple example from the Dynare manual showing how to solve and simulate an RBC model.
A large number of macroeconomic models from academic papers have been coded up in Dynare and made freely available, most notably at Volker Wieland’s Macro Model Database. See below for a number of papers and corresponding Dynare programmes.
Ben Bernanke, Mark Gertler and Simon Gilchrist (1999): The Financial Accelerator in a Quantitative Business Cycle Framework. Dynare code.
Frank Smets and Rafael Wouters (2007). Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach. (ECB working paper version here; appendix with full model here). Dynare code.
Mark Gertler and Peter Karadi (2011). A Model of Unconventional Monetary Policy. Dynare code.
Andrea Gerali, Stefano Neri, Luca Sessa and Federico Maria Signoretti (2010). Credit and Banking in a DSGE Model of the Euro Area. Dynare code.
Prakash Kannan, Pau Rabanal and Alasdair Scott (2012). Monetary and Macroprudential Policy Rules in a Model with House Price Booms. Dynare code.
Dynare can also estimate DSGE models using Bayesian techniques. Here is a link to a working example, including data, by Joao Madeira from the University of York.
