Listed in: Economics, as ECON-72
Sami Alpanda (Section 01)
Modern macroeconomic policy analysis relies heavily on dynamic models such as Vector Autoregressions (VAR) and dynamic stochastic general equilibrium (DSGE) models. This course will introduce the theory behind these models, their parameterization using maximum likelihood estimation and calibration, and their applications to specific macroeconomic issues. Topics covered will include, but will not be limited to, determinants of aggregate fluctuations, the lags associated with monetary policy, the effects of increased global demand for commodities, the risk premium associated with stock returns, and forecasting macroeconomic aggregates. Students will be asked to write a term paper employing these models to analyze empirical data of a specific country. Requisite: Economics 53 or 57, 54 or 58, and 55 or 59. Limited to 20 students. Spring semester. Professor Alpanda.