Advanced Macroeconomic Analysis II

Instructor: 
Guest Instructor: 
Alexander Kriwoluzky
Time I: 
Friday,
08:30am to 12:00pm
Time II: 
Wednesday,
08:30am to 12:00pm
Venue I: 
DIW, Mohrenstraße 58
Venue II: 
TU Berlin, main building, Straße des 17. Juni 135, lecture hall H 3003A
Description: 

Lectures by A. Kriwoluzky:
This class covers the essentials to estimate DSGE models with Bayesian methods. We start by deriving the state-space form of a DSGE model. In a next step, we introduce the Kalman Filter, a very useful tool to extract unobserved components from time series or to evaluate the likelihood of a DSGE model. The exercise classes will apply the simple New Keynesian model to extract monetary policy shocks.
Equipped with the basics, we start exploring the Bayesian way to estimate models. More precisely, we will introduce the Prior and the Posterior distribution of parameters. Students will learn how to evaluate the Posterior distribution numerically using different sampling algorithms. In the exercise class, we discuss how a Bayesian model can be employed to forecast economic variables.
The final part will see the introduction of the Dynare software package that is usually used to solve and estimate DSGE models. After the introduction of the basic setup of a Dynare file, we will put Dynare to work. Finally, we aim to consider complex models such as the Smets and Wouters model (2007, AER).

Lectures by F. Heinemann:
This part of the course covers topics such as determinacy of the price level, bubbles, equilibrium multiplicity, strategic uncertainty, and current limits of DSGE models. More information will be provided here.

Literature:
Will be announced during the lectures.

Time frame (date of first and last class):
- Lectures by A. Kriwoluzky: April 12 till May 15 on the following days: April 12, 17, 24 & May 10, 15
- Lectures by F. Heinemann: every Wednesday from May 22 to July 10 (except July 3)

Time(s):
- Lectures by A. Kriwoluzky: 8:30 – 12:00
- Lectures by F. Heinemann: 8:30 – 12:00 (with a break at 10:00)

Location(s):
- Lectures by A. Kriwoluzky: DIW Berlin, Ferdinand-Friedensburg Room (April 12) & Room 3.3.002c (remaining dates)
- Lectures by F. Heinemann: TU Berlin, Main Building, lecture hall H 3003A

Exam:
Midterm and final exam

For more information please also see the attached syllabi.

Credits: 
9.00
Program: 
Semester: 
Spring 2019
Affiliation: 
Technische Universität Berlin
End date of the whole course: 
Wednesday, May 15, 2019 - 12:00pm