Empirical Macroeconomics Spring 2013

Francesco Franco Syllabus

ATTENTION PS2 posted

Course Aims
This course presents: 1. empirical tests of core macroeconomics model and their predictions. 2. empirical macroeconomics studies with a weaker deductive a priori.

1-4 8-4

1. Growth 2.Stata

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Date Lecture

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Schedule for EMMa, Spring 2013

Slides Growth Stata Growth Consumption data do Theorynotes2 Unemployment data do Homework 2 data do Homework 1 Codes TheoryNotes Homework's

10-4 3.Growth 22-4 4. Consumption 24-4 5. CAPM 29-4 6.Unemployment 7-5 6-5 8-5 6.Unemployment

7.Fluctuations:SVAR Fluctuations 7.Fluctuations:SVAR

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The evaluation will be based on participation, homework and a final exam. Starred items in the reading list are required readings.

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Learning and Schedule

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The final is worth 50%, the homework 50%. Participation in class can add a 10% bonus.

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Evaluation

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I will base the course 1. on the 4th edition of Advanced Macroeconomics by David Roomer (link, you can find a copy in the Library or buy it. There is a cheaper Kindle Edition), and 2. on papers.

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Text and Materials

13-5 8.Fluctuations:DFM 15-5 8.Fluctuations:DFM

Fluctuations

data do Homework 3

Course Structure
Growth
Class 1
We study the classical predictions of the Solow Model: factor accumulation, convergence, human capital and growth regressions. Understand the role of the capital share in the Solow model. Understand the role of the Solow residual.

Readings 1

(*) David Romer. Advanced MAcroeconomics, 4th Edition Chapter I and IV, Productivity Growth, Convergence, and Welfare: Comment Author(s): J. Bradford De Long Source: The American Economic Review, Vol. 78, No. 5 (Dec., 1988), pp. 1138-1154 (*)Why Do Some Countries Produce So Much More Output Per Worker Than Others? Author(s): Robert E. Hall and Charles I. Jones Source: The Quarterly Journal of Economics, Vol. 114, No. 1 (Feb., 1999), pp. 83-116

Class 2 Readings 2

Stata Turorial. Go over the slides and the paper by Jeff Sachs on natural resources. NATURAL RESOURCE ABUNDANCE AND ECONOMIC GROWTH Jeffrey D. Sachs and Andrew M. Warner Center for International Development and Harvard Institute for International Development Harvard University Cambridge MA November, 1997

Class 3
We open the black box: what determine the Solow Residual differences between countries.

Readings 3
(*)Misallocation and Manufacturing TFP in China and India Chang-Tai Hsieh and Peter J. Klenow The Quarterly Journal of Economics Vol. 124, No. 4 (Nov., 2009) (pp. 1403-1448)

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OLS Instrumental Variables

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Methods

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Learning curve

Aggregate Consumption
Class 4
(*) David Romer. Advanced MAcroeconomics, 4th Edition Chapter VIII Milton Friedman, A Theory of the Consumption Function 1957 link Modigliani, F. and R. Brumberg. 1954. "Utility Analysis and the Consumption Function: An Interpretation of Cross-Section Data," in Post Keynesian Economics Rutgers University Press pp. 338-436 Hall, Robert E. (1978): Stochastic Cycle/Permanent Income Hypothesis: Implications of the Life- Theory and Evidence, Journal of Political Economy, 96 97187. Rajnish Mehra and Edward Prescott. The equity premium puzzle. JME 15 (1985) 145-161

Fluctuations
VAR-SVAR

The Dynamic Effects of Aggregate Demand and Supply Disturbances Olivier Jean Blanchard and Danny Quah The American Economic Review , Vol. 79, No. 4 (Sep., 1989), pp. 655-673

DFM-FAVAR
(*)Dynamic Factor Models (with James H. Stock) , in Oxford Handbook of Forecasting, Michael P. Clements and David F. Hendry (eds), 2011, Oxford: Oxford University Press. Ben Bernanke & Jean Boivin & Piotr S. Eliasz, 2005. "Measuring the Effects of Monetary Policy: A Factor-augmented Vector Autoregressive (FAVAR) Approach," The Quarterly Journal of Economics, MIT Press, vol. 120(1), pages 387-422, January.

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Sims, Christopher A. 1980. Macroeconomics and Reality. pp. 1 48.

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(*) James H. Stock and Mark W. Watson, Vector Autoregressions, Journal of Economic PerspectivesVolume 15, Number 4Fall 2001Pages 101115

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Blanchard, Olivier J. and Diamond, Peter A., The Aggregate Matching Function (April 1991). NBER Working Paper No. w3175

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Robert Shimer, 2005. "The Cyclical Behavior of Equilibrium Unemployment and Vacancies," American Economic Review, American Economic Association, vol. 95(1), pages 25-49, March.

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(*) David Romer. Advanced MAcroeconomics, 4th Edition Chapter IX

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Econometrica. January, 48:1,

Unemployment

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