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Course Outline Students 2024

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5 views3 pages

Course Outline Students 2024

Uploaded by

otoosamuel041
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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UNIVERSITY OF CAPE COAST

COLLEGE OF HUMANITIES AND LEGAL STUDIES


SCHOOL OF ECONOMICS
DEPARTMENT OF ECONOMIC STUDIES
SECOND SEMESTER, 2023/2024
EST402: DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODELLING

Course Instructor: Credit hours: 3


Adams Sorekuong Yakubu Adama (PhD)
Email: [email protected]
Room: 119, Faculty of Social Science Teaching Assistant: Zuleiha Ibrahim/Mba
Building, 2nd Floor Awudu/ Benedicta Manu
Times: Mon. 10.30am – 12.30pm G12 Tutorials: TBA
Tue. 5:30pm. -6:30pm. SRT2

Prerequisite Course(s):
This course builds on the theory and tools developed in ECO 107, ECO 301, ECO 302, EST 307,
EST 401, ECF 311, EST 302, ECO 407. Using VARs require a good understanding of
estimating simultaneous equation models and time-series econometrics. Applying DSGE
models requires taking derivatives and integrals as well as programming the solutions
to the models in MATLAB.

Main Text(s):

1. Hamilton, J. D. (1994): Time Series Analysis, Princeton, NJ: Princeton University Press.
2. McCandless, George (2008): The ABCs of RBCs: An Introduction to Dynamic
Macroeconomic Models. (Cambridge, MA: Harvard University Press)

Supplementary Reading Materials

3. DeJong, David and Chetan Dave (2011): Structural Macroeconometrics (Princeton, NJ:
Princeton University Press)
4. Gilat, Amos (2010): MATLAB: An Introduction with Applications, 4th ed. (Hoboken, NJ:
John Wiley & Sons)
5. Miranda, Mario J. and Paul L. Fackler (2002): Applied Computational Economics and
Finance. (Cambridge, MA: The MIT Press)
6. Pratap, Rudra (2009): Getting Started with MATLAB: A Quick Introduction for Scientists
and Engineers. (New York, NY: Oxford University Press)
7. Judd, Ken (1998): Numerical Methods in Economics. (Cambridge, MA: The MIT Press)

Course Description

The course aims to provide methodological tools for advanced research in macroeconomics.
The emphasis is on theory, although data guides the theoretical explorations. Students will study
models where behaviour is derived from basic assumptions about consumers’ preferences,
production technologies, and information; as well as alternative ways of solving dynamic
optimisation problems.

This course combines calculus, statistics, economic theory, and programming to answer
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macroeconomic questions. Macroeconomic models range from the reduced-form to the
structural. This course familiarizes students with vector autoregressions (VARs) that are useful
for establishing facts from data. We will then explore the application of dynamic stochastic
general equilibrium (DSGE) models, which are the workhorse models of central banks and other
macroeconomic policy institutions, to understand those facts. DSGE approach to
macroeconomics, which evolved from neoclassical macroeconomics and real business cycle
theory includes many aspects of the aggregate economy, including rational expectations, the
open economy, exchange rates, nominal rigidities, and monetary and fiscal policy.
This course will require you to take initiative in synthesis and critical analysis, to solve
problems in applied and academic settings, to create original material or original scholarship,
and to communicate effectively with a diversity of audiences. The assignments that satisfy these
requirements are listed below.
Course Objectives
At the end of the course students will be:
§ exposed to dynamic optimization tools and modelling in dynamic stochastic general
equilibrium setting

§ improve their modelling background

§ to represent any problem facing economic agents in a mathematically rigorous and


coherent way.

§ to solve typical Central Bank problems

General Skills
These include:
• Problem-solving skills: the ability to engage with unfamiliar problems and model
macroeconomic issues in dynamic setting;
• Collaborative skills: the ability to work in a team and intermediate in issues;
• Time management skills: the ability to meet regular deadlines while balancing competing
commitments;
• Become familiar with MATLAB, PYTHON, LaTeX and other statistical computing packages.

Course Outline

1. Reduced-form dynamic models


a. Difference Equations
b. Autoregressive Processes
c. Vector Autoregressions
d. VAR with Cholesky Decomposition identification
e. Christiano et al. (JPE, 2005), “Nominal Rigidities and the Dynamic Effects of a
Shock to Monetary Policy”
f. Blanchard and Perotti (QJE, 2002), “An Empirical Characterization of the
Dynamic Effects of Changes in Government Spending”

2. Structural dynamic models


a. Basic Dynamic General Equilibrium Model
b. Recursive Deterministic Models
c. Recursive Stochastic Models

3. Other Areas
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a. Removing Trends and Isolating Cycles
b. State-Space Representations
c. Calibration
d. Matching Moments

Teaching and Learning Strategies


• computer-based practical
• discussion method
• group and individual work
• problem-Solving
• face-to-face lectures and expositions
• online lectures
Assessment
A combination of formative and summative assessment including group tasks, quizzes,
assignments, discussions, class participation, and examination will be used.

Assessment weighting
End-of-semester examination: 60%
Quiz 20%
LABS 15%
Class attendance 05%

You will be graded as follows:


A = 80-100%; B+ = 75-79%; B = 70-74%, C+ = 65-69%, C= 60-64%, D+ = 55-59%, D = 50-54%, E< 50 (Fail)
Course Policy
Attendance: 100% attendance is required. Attendance to all sessions is compulsory. By the
University regulations you must support any absenteeism by the appropriate report.

Code of conduct: You should be punctual at all sessions and conduct yourself at same in a
professional manner. You must also switch your phone OFF at all times. Unlawful usage of your
phone during lectures amounts to dishonesty, immoral behaviour, cheating and dismissal from
class which amounts to you not attending that lecture.

Cheating/Plagiarism: Cheating and plagiarism of any kind will not be tolerated and will attract the
appropriate sanctions as stipulated in the students’ handbook.

Deadlines: All work should be submitted by the deadline. Students will not be permitted to write
make-up quizzes or hand in assignments late, except for documented medical or compassionate
reasons. Failure to take a quiz or assignment without express permission will lead to the award of
a mark of zero.

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