Macroeconometrics

I. Syllabus:

We study how we can uncover empirical relationships between macroeconomic variables. The main (but not only) example used throughout the course is the question how monetary policy affects output and other variables of interest.

  • Stylized macroeconomic facts of the European and US business cycle
  • The Cowles Commission approach and the identification problem in macroeconometrics
  • The LSE approach
  • The identifcation problem revisited: the VAR approach
  • Rational expectation models and the GMM method
  • The calibration approach (if time allows)

 

II. Prerequisites:

 

III. Lecture:

VI. Downloads:

 

V. Tutorial:

VI. PC-Tutorial (voluntary):

Access to the computer lab requires one-time registration with a Stu-Account

VII. Exam:

VIII. Literature:

  • Textbook: Carlo Favero, Applied Macroeconometrics, Oxford University Press, 2001.
  • Articles: are announced later in the course