B7569 - EMPIRICAL METHODS FOR MACROECONOMICS

Conoscenze e abilità da conseguire

The course on Empirical Methods for Macroeconomics is designed to introduce the basic quantitative tools to explore empirically the macroeconomic propagation of shocks over time and the sources of economic fluctuations. Some of the questions we would like to address in this course are: What are the main drivers of business cycles fluctuations? How monetary policy shifts propagate to the economy? What is the role of supply shocks in explaining the recent surge in inflation? Answering these questions is not easy and it requires addressing and solving a number of conceptual and practical problems. In particular, one has to take a stand on how much economic theory she/he wants to use to structure the available data. One route, which has been taken by the macroeconomic profession, is to use (real) business cycles models to capture cyclical fluctuations and to seize the transmissions of macroeconomic shocks– this is what the literature refers to Dynamic Stochastic General Equilibrium (DSGE) models. Since their first version, the literature has added considerable realism to the popular workhorses of the 1980’s; a number of shocks and frictions have been introduced into first generation business cycle models driven by a single technological disturbance; and our understanding of the propagation mechanism of structural shocks has been considerably enhanced. Steps forward have also been made in comparing the quality of the models’ approximation to the data. The first half of the course is designed to introduce the students to these models and the techniques used to bridge these models to historical data. An alternative route considered in the profession is use less theory and employ more flexible empirical models, such as Vector Autoregressive models. While very popular for constructing predictions, we will show how to make causal inference with Structural VARs. In both cases, we will take a Bayesian approach in addressing the empirical problems in hand.

Contenuti

The course lies at the crossroad between quantitative macroeconomics and applied time-series econometrics. Therefore, elementary concepts of times series and basic knowledge of modern macroeconomic theory are required. Familiarity with MATLAB is required. The course organization more in details is as follows:

• Part 1: DSGE model

1. The Real Business Cycle model, steady state equilibrium and linearization
2. The New-Keynesian paradigm and models with real and nominal frictions;
3. Solution of DSGE models;
4. State space models and Kalman filter;
5. Bayesian estimation of DSGE models;
6. Hands on DSGE models with Dynare.

• Part 2: Structural VAR (SVAR) models:

1. The ABC and D's of SVAR;
2. Identification methods in VARs;
3. Impulse and propagation; Variance and historical decomposition;
4. Hands on SVAR models with Empirical Macro Toolbox.
   

Testi/Bibliografia

Students can mostly rely on the slides. A list of suggested text books, readings and various sources follow:
Canova, F., Methods for applied macroeconomic research, Princeton University Press, 2007.
Galì, J., Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework, Princeton University Press, 2008.
Jesus Fernandez-Villaverde webpage.
Fernandez-Villaverde, J., Rubio-Ramirez, J. & Sargent, T. J., A, B, C's (and D)'s for Understanding VARs, NBER Working Paper n.308, 2005.
Ferroni, F., Canova, F., A hitchhiker's guide to empirical macro models, permanent WP 2024.

Metodi didattici

Theoretical classes will be supported and complemented by hands-on exercises. As a consequence, the course will require the use of computers and programs; we will work with Matlab and Dynare.

Modalità di verifica e valutazione dell'apprendimento

Assessment consists of two bits: one final exam and a short document replicating/modifying the results of a paper (to be agreed with the teacher). Each bit contributes to half of the final grade.

Grading scale:

<18 failed
18-23 sufficient
24-27 good
28-30 very good
30 e lode outstanding

Strumenti a supporto della didattica

Slides, lecture notes, and readings will be available on the platform VIRTUALE: https://virtuale.unibo.it/

Orario di ricevimento

Consulta il sito web di Filippo Piermaria Ferroni