Introduction to Advanced Macroeconomic Analysis

Undergraduate / Graduate

This course introduces students to advanced methods for macroeconomic analysis. In the first part, we discuss time series methods such as impulse response analysis, vector autoregression, co-integration, shock identification, and business cycle detrending. In the second part, we examine and analyze a simple, yet powerful stochastic dynamic real business cycle model. In that context, the students will learn about dynamic programming, rational expectations, intertemporal optimization, asset pricing, the Frisch elasticity of labor supply, log-linearization, and computational tools to solve for the recursive law of motion of dynamic stochastic general equilibrium models. Finally, we touch upon some further models, such as the overlapping generations model and/or the continuous-time neoclassical growth model. The course is useful for students interested to deepen their knowledge in macroeconomics, in order to read, understand, and replicate some of the recent research in the field; as preparation for careers involving macroeconomic analysis, time series analysis, or asset pricing; or as preparation for graduate school. Decent knowledge of linear algebra and calculus is required. All advanced material will be taught in class.