Short Macro Course

DIW, November 2017


Matteo Iacoviello

Federal Reserve Board
E-mail: iacoviel@gmail.com
Web page: https://www2.bc.edu/matteo-iacoviello/


Course Description (last update Nov. 3, 2017)

This is a short topics course in Macro. I will cover solution and estimation models with occasionally binding constraints.

My lecture notes are here. (still in progress!)

Additional stuff

 

 

 

Reading List

 

1. Solving Dynamic Equilibrium 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.

* Dynare manual

 

2. Models with Occasionally Binding Constraints

* Guerrieri, Luca, and Matteo Iacoviello (2015) Occbin: A Toolkit to Solve Models with Occasionally Binding Constraints Easily, Journal of Monetary Economics, vol. 70, March, pp. 22-38.
Technical Appendix

* Anzoategui, Diego, Diego Comin, Mark Gertler, and Joseba Martinez. Endogenous Technology Adoption and R&D as Sources of Business Cycle Persistence. No. w22005. National Bureau of Economic Research, 2016.


 

3. Estimation of Models with Occasionally Binding Constraints

* Guerrieri, Luca, and Matteo Iacoviello (2017), Collateral Constraints and Macroeconomic Asymmetries, Journal of Monetary Economics, vol. 90, October, pp.28-49.

* Anzoategui, Diego. Estimating Mixed Frequency Models with Occasionally Binding Constraints. mimeo

Kollmann, Robert. "Tractable likelihood-based estimation of non-linear DSGE models." Economics Letters (2017).

An, Sungbae, and Frank Schorfheide. "Bayesian analysis of DSGE models." Econometric reviews 26.2-4 (2007): 113-172.