Monetary
Theory I
Spring 2009
LAST UPDATED: Feb 18, 2009
Classes: Monday and Wednesday, 3 PM
Office Hours: After
class
Location: Department
Tel: 552-3689
E-mail: iacoviel@bc.edu
Web page: http://www2.bc.edu/~iacoviel/
Course Description,
Course Materials, Course
Requirements, Reading List, Additional Information
This course covers models of Money demand, recent
developments in the foundation of a role for Monetary policy in affecting the
real economy, and issues in the formulation and conduct of Monetary policy.
Recent years have seen a marked convergence on a
general framework for conducting analysis of Monetary policy. Today, most academics
and central bankers who examine Monetary issues share the same techniques and
models. Such models are generally simple, linear and forward looking: in
addition, most of these models can be vieTue as linear approximations to
general equilibrium models based on firm microfoundations.
Course
I will make copies of my lecture notes available.
Four books are recommended:
Woodford,
Michael, 2003, “Interest and Prices”, Princeton University Press
Walsh,
Carl E., 2003: Monetary Theory and Policy, Cambridge: MIT Press, Second
Edition.
DeJong, David N. and Chetan
Dave (2007), Structural Macroeconometrics, Princeton University Press
On VARs, a book worth looking at is:
Enders,
Walter, 1995, “Applied Econometric Time Series, John Wiley
The requirements of the course are that:
1.
You complete the homework assignments that I
will give you. In order to complete these assignments, you will have to learn how to simulate
dynamic general equilibrium models.
2.
You write a short paper on a topic of
my/your choice.
3.
You give a presentation on a paper from of your
choice (pertaining to Monetary economics, not necessarily from the reading
list, but still unpublished)
4.
You attend the
Total grade will be as follow:
45% homework assignments (3 ASSIGNMENTS IN TOTAL)
35% short paper
20% presentation
Due dates will appear below:
|
|
weekday |
DAY |
CLASS |
VARIOUS |
|
Mon |
19-Jan |
DSGE models |
|
|
|
2 |
Wed |
21-Jan |
DSGE models |
|
|
3 |
Mon |
26-Jan |
DSGE models |
Files to run VARS http://www2.bc.edu/~iacoviel/teach/0809/EC861_files/VARS.zip |
|
4 |
Wed |
28-Jan |
Dynare |
|
|
5 |
Mon |
2-Feb |
Dynare |
|
|
6 |
Wed |
4-Feb |
Maximum
Likelihood |
|
|
7 |
Mon |
9-Feb |
Maximum
Likelihood |
|
|
8 |
Wed |
11-Feb |
VAR |
|
|
9 |
Mon |
16-Feb |
VAR |
HOMEWORK
1 IS DUE |
|
10 |
Wed |
18-Feb |
Incomplete
Markets |
|
|
11 |
Mon |
23-Feb |
Incomplete
Markets |
|
|
12 |
Wed |
25-Feb |
Incomplete Markets |
HOMEWORK
2 IS DUE FRIDAY FEBRUARY 27th |
|
13 |
Mon |
9-Mar |
|
|
|
14 |
Wed |
11-Mar |
|
|
|
15 |
Mon |
16-Mar |
|
|
|
16 |
Wed |
18-Mar |
|
Brian: An, Chang and Kim Marketa: Campbell and Hercowitz |
|
17 |
Mon |
23-Mar |
|
Gohar: Bloom, Floetotto and Jaimovich Taesu: |
|
18 |
Wed |
25-Mar |
|
|
|
19 |
Mon |
30-Mar |
|
|
|
20 |
Wed |
1-Apr |
|
|
|
21 |
Mon |
6-Apr |
|
|
|
22 |
Wed |
8-Apr |
|
|
|
23 |
Wed |
15-Apr |
|
|
|
24 |
Wed |
22-Apr |
|
|
|
25 |
Mon |
27-Apr |
|
Legend (chuanqi): Canova-Sala James:
Schmitt-Grohe and Uribe news |
|
26 |
Wed |
29-Apr |
|
Namho: Gali-Lopez Salido and Valles Tamas: Jermann and Quadrini / Christiano and
Fisher |
|
27 |
Mon |
4-May |
|
PRESENTATIONS ON STICKY PRICE MODELS ETC… |
NOTE: A
star * denotes absolutely required readings. It refers to paper that we discussed
in class or that are strong complements/substitutes to those papers. In
addition to the lecture notes, You should plan to read all the required
papers before the comprehensive exam. Class notes will not be enough.
Papers
denoted with # are instead available for presentation in class.
In most of the papers you can find a link to the
(working paper version of the) paper. You are encouraged to find the published
version of the paper or its most recent version on the author’s website.
Topics
for the short paper
1)
Goods
versus Asset Price Inflation persistence: Some papers (e.g. Benati
QJE) have documented that CPI inflation persistence has gone down, but what has
happened to house price inflation (or inflation in the price of other assets?)
throughout the same period. There is room here for a model, or for a rigorous
econometric analysis that documents the facts
2)
Uncertainty
shocks and consumer spending: It is everywhere: the idea
these days (2009) being that when uncertainty rises, consumption goes down.
Maybe yes (in partial equilibrium), but how much? Construct a rigorous measure
of how much uncertainty has gone up (see e.g. Nick Bloom’s work). Then take any
partial equilibrium incomplete markets model and simulate an exogenous increase
in uncertainty (keeping mean income unchanged). What would happen to
consumption and savings?
3)
Uncertainty
shocks and consumer spending part 2: Same as above, but using the
perspective of a consumer/firm that can spend or invest in productive assets
4)
Asset
price shocks and spending: The last two recessions seem intimately related to
asset price shocks (both house prices in 2008 and stock prices in 2001 and
2008). In the past, this relation was not so evident. Room here for a nice VAR
study pre and post 1980s or so…
1. Linking Data and Economic Models
BACKGROUND
AND USEFUL
Stock, J. H., and
Woodford, Chapter 1.
Kydland, Nobel Lecture, AER
Prescott, Nobel Lecture, JPE
DATA
* Herr and Maussner, Chapters 1 and 2, and Section
3.3 of Chapter 4
*
De Jong and Dave, Chapters 1, 2, 3
*
Fernandez-Villaverde, J., Rubio-Ramirez, J., T.Sargent and Mark Watson (2007),
“A;B;C’S (AND D)’S OF UNDERSTANDING VARS”, American Economic Review, June 2007
*
MODELS
* Uhlig, Harald (1997) “A Toolkit
for Analyzing Nonlinear Dynamic Stochastic Models Easily''
*
* Schmitt-Grohe, Stephanie and Martin Uribe.
“Solving Dynamic General Equilibrium Models Using a Second-Order Approximation
to the Policy Function.” Journal of Economic Dynamics and Control 28 (January
2004): 755-75.
* Jermann, Urban (1998), “Asset
Pricing in Production Economies”, Journal of Monetary Economics, 41,
257-75.
2. Maximum Likelihood Estimation
*
De Jong and Dave, Chapters 4 and 9
# Canova,
Fabio and Luca Sala (2008), Back to Square One: Identification Issues in DSGE
Models, May 2005, revised September 2006, available at http://www.igier.unibocconi.it/whos.php?vedi=3337&tbn=albero&id_doc=177
*
Kocherlakota, Narayana (2006), "Model Fit and Model
Selection," Federal Reserve Bank
of
3. Vector Autoregressions
* Enders, W., “Applied Econometric Time Series,
John Wiley and Sons”, Chapter 5
* Christiano, Lawrence, Martin Eichembaum and
Charles Evans (2000), "Monetary
Policy Shocks: what have we Learned and to what End?'', in J.Taylor and
M.Woodford (eds.), Handbook of Macroeconomics
*
Christiano, Lawrence, and Joshua Davis (2006), Two
Flaws In Business Cycle Accounting
*
* Angeloni, Ignazio, Anil Kashyap and Benoît Mojon
and Daniele Terlizzese, (2002) "Monetary Transmission in the Euro
Area: Where Do We Stand?". Journal of Money, Credit and Banking
Blanchard,
O. and D.Quah (1989), "The
dynamic effects of aggregate demand and supply disturbances'', American
Economic Review, 79, 4, 655-673.
King,
R., C.Plosser, J.Stock and
Uhlig, H. (2001), "What are the Effects of
Monetary Policy on Output: Results from an Agnostic Identification Procedure'',
JME
Leeper, Eric, Christopher Sims and Tao Zha (1996),
"What Does
Monetary Policy Do?", Brookings Papers on Economic Activity
Sims, C., (1992), "Interpreting the
4. Incomplete
Markets Models
* Herr and Maussner, Chapters 5
and 6
* Huggett, Mark, 1993. "The
risk-free rate in heterogeneous-agent incomplete-insurance economies,"
Journal of Economic Dynamics and Control, Elsevier, vol. 17(5-6), pages 953-969
* Aiyagari,
* Per Krusell & Anthony A.
Smith & Jr., 1998. "Income and Wealth Heterogeneity in the
Macroeconomy," Journal of Political Economy,
* Ríos-Rull, J.-V. (1995).
Models with heterogenous agents. In Cooley, T. F., editor, Frontiers of
Business Cycle Research, chapter 4.
* Rios-Rull, V. (1999). Computation
of equilibria in heterogenous agent models. In R. Marimon and A. Scott (eds.),
“Computaional Methods for the Study of Dynamic Economies: An Introduction”
* Krusell, Per and Anthony
A.Smith (2006), “Quantitative Macroeconomic Models with Heterogeneous Agents”.
* Kiyotaki, Nobuhiro, Alex Michaelides and Kalin Nikolov
(2007) “Winners
and Losers in Housing Markets”
* Guvenen, Fatih “Learning Your Earning: Are Labor Income
Shocks Really Very Persistent?” PAPER
American Economic Review, June 2007.
* Young, Eric R. (2006), “Approximate Aggregation.”,
mimeo,
# Bloom, Nick (2007), “The Impact of Uncertainty Shocks”, forthcoming,
Econometrica
http://www.stanford.edu/~nbloom/uncertaintyshocks.pdf
# Bloom, Nick, Max
Floetotto and Nir Jaimovich (2008). “Really
Uncertain Business Cycles.”
# An, Sungbae; Chang, Yongsung, and Kim,
Sun-Bin: Can A
Representative Agent Model Represent A Heterogeneous Agent Economy?, AEJ Macro
# Mendoza, Enrique; “Sudden Stops: Sudden Stops, Financial Crises And
Leverage: A Fisherian Deflation Of Tobin's Q”
http://www.nber.org/papers/w14444.pdf
Codes to solve incomplete markets models
Code to approximate an AR(1)
process using a Markov chain (from Liungqvist-Sargent) markovappr.m
To solve Deaton-Huggett-Aiyagari model. (Save in Matlab directory all
files below)
CODE FOR THE CAKE-EATING PROBLEM: cakeeating1.m
MAIN FILE: aiyagari1.m
To simulate agents’ decision
rules, call either: aiyagari1_sim.m,
aiyagari1_sim2.m,
aiyagari1_sim3.m
(Aiyagari1_sim3 is faster than
Aiyagari_sim2 or aiyagari_sim, but they all serve the same purpose. The file llnenforce.m is also needed and called by the _sim files);
To implement Howard improvement
algorithm, you also need aiyagari1_hwd.m
Note that to find the market clearing rate you will need a simple loop
outside the m file that finds the market clearing interest rate, but this is
not implemented.
To solve a version of the Krusell-Smith model.
MAIN FILE: krusell1.m
To simulate agents’ decision
rules, call: krusell1_sim.m
(also need krusell1_hwd.m)
Note that to find the equilibrium actual law of motion you will need
to run the krusell1.m file more than once, until the regression coefficients
b0, b1 and b2 have converged.
5. Money in Flexible Price Environments
* Walsh, Carl,
* Cooley, Thomas, and Gary D. Hansen (1995), Money
and the Business Cycle, Chapter 3 in "Frontiers of Business Cycle
Research'', Thomas Cooley, editor
* Cooley, Thomas, and Gary D. Hansen (1989), "The
Inflation Tax in a Real Business Cycle Model", American Economic
Review, 79, 4, 733-748.
* Cole, Harold, and Narayana Kocherlakota (1998), “Zero Nominal Interest
Rates:Why They’re Good and How to Get Them”, Federal Reserve Bank of
Minneapolis Quarterly Review
Krugman Paul R. (1998), “It's
Baaack: Japan's Slump and the Return of the Liquidity Trap”, Brookings
Papers on Economic Activity, Vol. 1998, No. 2. (1998), pp. 137-187.
P.A. Samuelson (1958) ''An Exact Consumption-Loan
Model of Interest with or without the Social Contrivance of Money'', Journal of
Political Economy, Vol. 66 (5), p.467-82.
Sidrauski,
Tobin, J. (1965), ''
Uhlig, Harald (2004), “Macroeconomics and Asset
Markets: Some Mutual Implications”, available at http://www2.wiwi.hu-berlin.de/institute/wpol/papers/uhlig_asset_macro_v3.pdf
6. Money in Models
with Nominal Rigidities
BASIC
MODEL
*
* Rotemberg, Julio J., and
*
Yun, Tack (1996), " Nominal Price Rigidity, Money Supply Endogeneity, and Business
Cycles '', Journal of Monetary Economics, 37, 2, 345-70
* Galí, Jordi,
# Woodford, Michael (2006), Firm Specific Capital and the
New Keynesian Phillips Curve, International Journal of Central Banking
# Golosov, Michael, and Robert Lucas (2007), “Menu
Costs and Phillips Curves”, Journal of Political Economy, forthcoming
Kimball, Miles (1995), "The
Quantitative Analytics of the Basic Neomonetarist Model," (JSTOR link) Journal of Money, Credit,
and Banking, 27(4), 1995 Part 2, 1241-1277.
Rotemberg, Julio J., and Michael Woodford (1997),
"An Optimization-Based
Econometric Framework for the Evaluation of Monetary Policy'' (link to
the WP version), in NBER Macroeconomics Annual 1997,
Woodford,
# Davig,
http://econweb.tamu.edu/workshops/Macro%20and%20International%20Economics/Eric%20Leeper.pdf
6. Money in Models with Nominal Rigidities
BASIC MODEL
*
*
Rotemberg, Julio J., and
* Yun,
Tack (1996), " Nominal Price Rigidity, Money Supply Endogeneity, and
Business Cycles '', Journal of Monetary Economics, 37, 2, 345-70
* Galí,
Jordi,
# Jordi Galí & J. David
López-Salido & Javier Vallés, 2007. "Understanding
the Effects of Government Spending on Consumption," Journal of the European Economic Association, MIT Press, vol. 5(1), pages 227-270, 03.
#
Woodford, Michael (2006), Firm
Specific Capital and the New Keynesian Phillips Curve, International
Journal of Central Banking
#
Golosov, Michael, and Robert Lucas (2007), “Menu Costs and Phillips Curves”,
Journal of Political Economy, forthcoming
Kimball,
Miles (1995), "The Quantitative Analytics of the Basic
Neomonetarist Model," (JSTOR link)
Journal of Money, Credit, and Banking, 27(4), 1995 Part 2, 1241-1277.
Rotemberg,
Julio J., and Michael Woodford (1997), "An
Optimization-Based Econometric Framework for the Evaluation of Monetary
Policy'' (link to the WP version), in NBER Macroeconomics
Annual 1997,
Woodford,
# Davig,
http://econweb.tamu.edu/workshops/Macro%20and%20International%20Economics/Eric%20Leeper.pdf
BIGGER
# Smets, Frank and
Wouters, Rafael, “Shocks and Frictions in
# Christiano,
* Christiano, Lawrence, Eichembaum, Martin, and Evans (2005), Nominal Rigidities and the Dynamics Effects of a Shock to Monetary Policy, Journal of Political Economy
# Justiniano, Alejandro, and Giorgio Primiceri (2005), The time varying volatility of Macroeconomic Fluctuations
Smets, Frank, and Rafael Wouters (2003), “Monetary Policy in an
Estimated SDGE Model of the Euro Area”, Journal of European
Economic Association, September 2003, Vol 1 (5).
* Carvalho, Carlos (2006) "Heterogeneity
in Price Stickiness and the Real Effects of Monetary Shocks," Frontiers of
Macroeconomics: 2, 1, 1. Available
at: http://www.bepress.com/bejm/frontiers/vol2/iss1/art1
ESTIMATION
* Rubio-Ramirez, Juan and Pau Rabanal (2005), Comparing
New Keynesian Models of the Business Cycle : A Bayesian approach (pdf file).
Journal of Monetary Economics, 52, pp 1151-1166.
* Boivin, Jean, and
# Boivin, Jean, and Marc Giannoni (2008), “DSGE Models in a Data-Rich
Environment”, mimeo
Fuhrer,
Jeffrey, (2000), "Habit Formation in Consumption and Its Implications for
Monetary Policy" American Economic Review. (September 2000)
# Cochrane, John (2006). “Identification with
INFLATION DYNAMICS
* Galí, J, and M.Gertler (1999), “Inflation Dynamics: A Structural
Econometric Analysis”, Journal of Monetary Economics, vol. 44, nº 2,
195-222, 1999
* Benati,
Luca (2007), “Investigating Inflation Persistence Across Monetary
Regimes”, mimeo
Fuhrer, Jeffrey C. and G.R. Moore,
(1995), "Inflation
persistence"
(JSTOR), Quarterly Journal of Economics 110, 127-159.
Dotsey, Michael, (2002), “Pitfalls
in Interpreting Tests of Backward-looking Pricing in New-Keynesian Models.” Federal Reserve Bank of
Christopher J. Erceg and Andrew T.
Levin (2003), “Imperfect
credibility and inflation persistence”, Journal of Monetary Economics,
Volume 50, Issue 4, May 2003, Pages 915-944.
Bils,
Mark and Peter J.Klenow (2004), “Some Evidence on the Importance of Sticky
Prices”, Journal of Political Economy
7. Optimal Monetary Policy
*
Clarida, R., J. Galí, and
* Walsh,
Chapter 4, Section 5
*
Christopher J. Erceg, Dale W. Henderson, Andrew T. Levin (2000), Journal of
* King,
Robert and Alexander Wolman (1999), "What Should
* Chari,
V.V. and P. Kehoe (1999): ''Optimal Fiscal and
*
Schmitt-Grohe, S. and
* Schmitt-Grohe,
S. and
Lucas, R. E., and N. L. Stocky (1983): ''Optimal Fiscal and
Christopher J. Erceg, and Andrew T. Levin (2002), "Optimal monetary policy with Durable and Non-Durable
Goods Prices'', mimeo
* Clarida, Richard, Jordi Galí, and
Mark Gertler (2000): "Monetary Policy Rules and
Macroeconomic Stability: Evidence and Some Theory," Quarterly Journal of
Economics 115: 147-180
* Woodford, Monetary Theory and
Policy, Chapter 1
* Woodford, Michael, (1999), "Optimal Monetary Policy
Inertia,"
August 1999 [Also available as NBER working paper no. 7261.]
Giannoni, Marc, and Michael
Woodford (2002), "Optimal
Interest-Rate Rules: I. General Theory,", mimeo
* Giannoni, Marc, and Michael
Woodford (2002), "Optimal
Interest-Rate Rules: II. Applications," , mimeo
* Levin, Andrew, Volker Wieland,
and John C. Williams (1998): ''Robustness
of Simple Monetary Policy Rules under Model Uncertainty,'' in TAYLOR99
* Woodford, Michael (2001), "The Taylor Rule and Optimal
Monetary Policy''
January 2001 [Shorter version published in: American Economic Review 91(2):
232-237
* Walsh, Carl (2004), Robustly
Optimal Instrument Rules and Robust Control: An Equivalence Result, Journal of Money, Credit, and
Banking 36(6), December, 1105-1113.
Levin, Andrew, Volker Wieland and
John C. Williams, (2001), "The performance of forecast-based
monetary policy rules under model uncertainty", (ECB Working Paper No. 68)
Taylor, J. (1993), “Discretion
versus policy rules in practice”. Carnegie-Rochester Conference
Series on Public Policy 39
(1993), pp. 195–214.
8. Multi-sector Models
*
Iacoviello, Matteo, and
# Barsky, Robert, Christopher L. House, and Miles
Kimball (2005), “Do Flexible Durable Goods Prices Undermine Sticky
Price Models?”,
American Economic Review
Bouakez, Hafedh, Emanuela Cardia,
and Francisco Ruge-Murcia (2005), "The Transmission of Monetary Policy in
a Multi-Sector Economy," mimeo.
Davis, Morris A., and Jonathan
Heathcote (2005), "Housing and the Business Cycle," International
Economic Review, 46, 3, 751-784.
# Fisher, Jonas (2007), Why Does Household Investment Lead
Business Investment Over the Business Cycle? (REVISED January, 2006) , JPE
Horvath, Michael, (2000),
"Sectoral Shocks and Aggregate Fluctuations," Journal of Monetary
Economics, 45, 69-106
* Lawrence J. Cristiano & Terry
J. Fitzgerald, 1998. "The business cycle: it's still a puzzle,"
Economic Perspectives, Federal Reserve Bank of
*
Whelan, Karl (2003), "A
Two-Sector Approach to Modeling
* Kahn, Aubhik, and Julia Thomas
"Inventories and the Business Cycle: An Equilibrium Analysis of (S,s)
Policies," with J. K. Thomas, forthcoming American Economic Review"
9. Technology Shocks and Monetary Policy
* Galí, Jordi, and Pau Rabanal (2004), NBER Macro Annual,
and the discussion by Ellen McGratten
* Basu, Susanto, Miles Kimball, and John Fernald
(2004) “Are Technology Improvements Contractionary?”, forthcoming American
Economic Review
Chang, Yongsung, and Jay H. Hong, “On the Employment Effect of
Technology: Evidence from US Manufacturing for 1958-1996”, mimeo
Christiano, Lawrence , Martin
Eichenbaum and Vigfusson (2003), `What Happens After a Technology Shock’.
Galí, Jordi (1999). “Technology, Employment, and the
Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations? American
Economic Review, 249, 271,
Galí, Jordi, D. López Salido and J. Vallés (2003), Technology Shocks and Monetary
Policy: Assessing the Fed's Performance, Journal of Monetary Economics, vol 50, 723-743
Galí, Jordi (2004), Trends in Hours Worked and the Role of Technology in
the Business Cycle: Theory and International Evidence , mimeo
Erceg,
Chris, Guerrieri Luca and Christopher Gust (2004), “Can Long-Run Restrictions Identify Technology Shocks?”
10. The Role of Factor Specificity
* Kevin
X.D. Huang and Zheng Liu (2002), "Staggered
Price-Setting, Staggered Wage-Setting, and Business Cycle Persistence",
Journal of Monetary Economics
* Altig,
David, Christiano, Lawrence J., Martin Eichenbaum and Jesper Linde (2004),
“Firm-Specific Capital, Nominal Rigidities and the Business Cycle”
Woodford,
Chapter 3 in “Interest and Prices”
Edge, R.
(2002), "The Equivalence of Wage and Price Staggering in Monetary
Business Cycle Models", Review of Economic Dynamics
11. Interactions between Fiscal and
Monetary Policy
*
Woodford,
* Walsh,
Carl (2000),
* Leeper,
Eric M. (1991). “Equilibria Under 'Active' and 'Passive'
*
Christiano, Lawrence J., and Terry J. Fitzgerald (2000), "Understanding the Fiscal Theory of the Price Level'', Federal
Reserve Bank of
* Leeper,
Eric (2002), “Macro Policy and Inflation: An Overview”, mimeo,
*
Benigno,
Pierpaolo, and Michael Woodford, (2003), Optimal
Monetary and Fiscal Policy: A Linear-Quadratic Approach, NBER
Working Paper 9905
Cochrane,
John (2003), “Money as Stock”, mimeo,
Chicago GSB
Cochrane,
John (2001), “Long-term Debt and Optimal Policy in the Fiscal Theory of
the Price Level”, Econometrica
Carlstrom,
Charles T. and Timothy S. Fuerst, (2000). "The fiscal theory of the price level," Economic Review, 22-32 (Q I) pp. 22-32.
Federal Reserve Bank of
David B.
Gordon, Eric
Woodford,
Woodford,
12. Financial Factors and the Business Cycle
Financial frictions and the Transmission Mechanism
# Marvin Goodfriend, Bennett T. McCallum, Banking and interest rates in monetary policy analysis: A quantitative exploration, Journal of Monetary Economics, Volume 54, Issue 5, July 2007
*
Iacoviello, Matteo (2005), “House
Prices, Borrowing Constraints and Monetary Policy in the Business Cycle”,
American Economic Review, May
# Christiano,
*
Iacoviello, Matteo, and Raoul Minetti (2006), JME
*
Gilchrist, Simon, and John V. Leahy (2002), "Monetary Policy and Asset
Prices'', Journal of Monetary Economics, 49, 75-97.
#
# Urban
Jermann & Vincenzo Quadrini (2006). "Financial Innovations and
Macroeconomic Volatility," NBER Working Papers 12308, National Bureau of
Economic Research, Inc.
Bernanke,
Ben S., Mark Gertler, and Simon Gilchrist (2000), "The
Financial Accelerator in a Quantitative Business Cycle Framework'', (link
to the WP version) in Handbook of Macroeconomics, Volume 1C, edited by John
Taylor and Michael Woodford (Elsevier).
Carlstrom,
Charles T. and Timothy S. Fuerst (2001), "Monetary Policy and Asset Prices with Imperfect Credit
Markets'', Federal Reserve Bank of
Galí, J.,
Lopez-Salido D. and J.Valles (2003), “Rule-of-Thumb Consumers and the
Design of Interest Rate Rules”, mimeo, UPF and Bank of Spain
Christiano,
Lawrence, Roberto Motto, and Massimo Rostagno (2003), “The Great Depression and the Friedman-Schwartz Hypothesis”, mimeo
Monetary Policy and Asset Prices
Bernanke,
Ben S., and
Rigobon, Roberto and Brian Sack
(2003) "Measuring The Reaction of
Monetary Policy to the Stock Market'', Quarterly Journal of Economics,
2003, vol. 118, issue 2, pages 639-669
Piazzesi, Monika, and Martin
Schneider (2006), “Inflation Illusion, Credit and Asset Prices”, http://faculty.chicagogsb.edu/monika.piazzesi/research/inflationAP.pdf
Bernanke,
B., and K.Kuttner (2003), “What Explains the Stock
Market’s Reaction to Federal Reserve Policy?”, mimeo
Lettau,
Stock,
James H. and
This is a link to my webpage containing
resources on how to simulate dynamic stochastic models using Dynare
Useful References for Ph.D. students
Nick Bloom,
Monika Piazzesi,
Jesus Fernandez-Villaverde,
Dave Altig, Federal Reserve Bank of
Hamilton James and Menzie Chinn
(UCSD and