【预告】高级宏观系列讲座

发布者:宋昀宜发布时间:2019-05-08浏览次数:13

主讲人:冯志钢博士

时间:每日上午9:00--12:00(详见以下具体讲座日期)

地点:文泉南206会议室

主讲者简介:

冯志钢博士现任美国内布拉斯加大学奥马哈校区经济系助理教授。20128月至20136月任教美国普度大学经济系,20138月至20166月任教美国伊利诺伊大学香槟分校经济系,主要讲授博士生高级宏观经济学。其间应邀访问美国联邦储备银行圣路易斯研究部多次,从事宏观财政政策研究,并多次担任Econometrica, Journal of Political Economy, Journal of Economic Theory等国际一流期刊以及National Science Foundation的匿名审稿人,201511月召集主办Mini-Conference on Quantitative Macro and Public Finance

其在国际A级学术期刊International Economic Review, Quantitative Economics,国际B+,B级学术期刊Review of Economic DynamicsEconomic TheoryMacroeconomic Dynamics,国际C+级学术期刊Dynamic Games and ApplicationsMathematical Methods in Operational Research发表论文8篇。应邀在国际知名大学、学术会议宣读论文30余次。应邀为国际权威经济学期刊审理学术文章20余次。

Textbook
• Recursive Macroeconomic Theory, by Lars Ljungqvist, and Thomas J. Sargent. http://www.econ.yale.edu/smith/econ525a/sargent3.pdf
• Macroeconomic Theory, by Per Krusell. http://hassler-j.iies.su.se/courses/MacroII/Notes/book.pdf
• Recursive Methods in Economic, by Nancy L. Stokey, Robert E. Lucas Jr., and Edward C. Prescott.
• Link for all material used by this course: https://pan.baidu.com/s/1mi2WSZm

 
List of Topics & Tentative Agenda (subject to changes)
Why neo-classical growth model?
• Topic 1 [June 3]: Introduction to economic research. We will discuss the basic methodology in economic research, how to develop economic ideas etc.
• Topic 2 [June 3]: A brief history of modern macroeconomics. We will discuss rational expectation; neoclassical and neo-Keynesian; financial crisis and the development of macroeconomics.
• Topic 3 [June 4]: Solow growth model. We study Kaldor’s stylized facts about economic growth.
• Topic 4 [June 4]: Steady state analysis; transition dynamics.


Exercise and discussion I [June 7]:
• Solow growth model: theory and implications.


How to analyze the canonical growth model?
• Topic 5 [June 5]: One sector growth model in finite horizon. We formulize and study the optimization problem of a representative household who has finite planning horizon and face certain constraints.
• Topic 6 [June 5]: Lagrangian techniques in macroeconomics. We study how to rewrite the optimization problem with constraints into a Lagrangian problem. We also study the Kuhn-Tucker conditions.
• Topic 7 [June 10]: Optimal growth model in infinite horizon setting. The connection between finite and infinite horizon problem. The terminal condition, no-Ponzi scheme condition and Transversality condition. We will discuss how to rewrite the sequential optimization problem as a functional equation problem (Bellman equation).
• Topic 8 [June 10]: Dynamic programming, fixed-point theorem, principle of optimality, contraction mapping, theorem of maximum, etc. Those are critical tools for analyzing the infinite horizon model. We will focus on understanding the results instead of deriving the math.


Exercise and discussion II [June 14]:
• Lagrangian, Kuhn-Tucker conditions, Garcia and Zangwill transformation
• Dynamic programming, fixed point and contraction mapping


How to define, analyze and solve the Equilibrium of the model, Part I?
• Topic 9 [June 11]: Solving optimal growth model using value function iteration. We study how to write the sequential problem into recursive problem, understand their equivalence, and how to solve the recursive problem by iterations. We also study the Euler equation, Envelop theorem.
• Topic 10 [June 11]: Social planner’s problem and the competitive equilibrium. Discuss the role of a social planner. Learn how to define the competitive equilibrium, and its relationship with the social planner’s solution.
• Topic 11 [June 12]: The fundamental welfare theorems and Negishi algorithm. Understand efficiency versus equality.
• Topic 12 [June 12]: Arrow-Debreu trading vs. sequential trading. We will show the equivalence between these two market structures. Arrow-Debreu trading fundamentally changed how economists see the real economy.


Exercise and discussion III [June 21]:
• Value function iteration, solving Bellman equation via Guess and Verify
• Definition of equilibrium
• Different market structures and the equilibrium


How to define, analyze and solve the Equilibrium of the model, Part II?

• Topic 13 [June 24]: Recursive competitive equilibrium in macroeconomics. We study how to define Recursive competitive equilibrium, and how to solve based on FOC.
• Topic 14 [June 24]: Numerical solution to optimal growth model. We study the basic numerical skills to solve the canonical one-sector optimal growth model: interpolation, optimization, iteration, etc.
• Topic 15 [June 25]: A premier to MATLAB for macroeconomist.
• Topic 16 [June 25]: Programming and data analysis in macroeconomics. We explain the idea of calibration by matching the model with data.


Exercise and discussion IV [June 28]:
• How to define RCE
• Solving optimal growth model


How to use this model?
• Topic 17 [June 26]: Markov process and Real business cycle model. We study how to represent uncertainty and how to incorporate it into the framework we developed so far. We also study the business cycle.
• Topic 18 [June 26]: Calibration and estimation in macroeconomics. We learn how to calibrate and estimate the model. So that we can derive quantitative implications from the theory.
• Topic 19 [June 27]: Balanced growth path in optimal growth model. We discuss how to deal with model with growth trend.
• Topic 20 [June 27]: Application of Real business cycle model.


Exercise and discussion V [June 29]:
• Markov process and uncertainty
• Calibration of a simple model
• Balanced growth path


Advanced topics.
• Topic 21 [Dec 2019]: Asset pricing model and Lucas tree.
• Topic 22 [Dec 2019]: Optimal taxation and Ramsey problem.
• Topic 23 [Dec 2019]: Overlapping generation model. Classic OLG model, Efficiency, equilibrium indeterminacy, value of money in OLG, and Life cycle model with fiscal policy
• Topic 24 [Dec 2019]: Search and Matching. We study McCall model of search, search model with matching.
• Topic 25 [Dec 2019]: Limited commitment. One-side lack of commitment, Two-side lack of commitment, Time inconsistency of government policy