Two - Year Master Degree in Economics

The objective of the course is twofold. On the one hand, to provide a formal theoretical framework to understand business cycle fluctuations and the transmission mechanisms of monetary policy. On the other hand, to provide techniques at the research frontier in empirical macroeconomics designed to identify and estimate the dynamic casual effects of macroeconomic shocks, with special focus on monetary policy shocks.  

Students are expected 1) to aquire the knowledge of the theoretical mechanisms of monetary policy transmission; 2) to learn the empirical techniques necessery for the estimation of the dynamic causal effects of structural shocks, with particual focus on monetary policy shocks.  

1) Introduction

1.1 Monetary and Business Cycle Facts

1.2 The conduct of Monetary Policy

 

2) Theory

2.1 Intro

2.2 A classical Monetary Model

2.3 The Basic New Keynesian Model

2.4 Extensions

 

3) Empirics I: Intro

3.1 Review of Multivariate Time Series Econometrics

3.2 Structural VMA representations

3.2 The identification problem

 

4) Empirics II: Dynamic Effects of Monetary Policy Shocks in Linear Models

4.1 Identification: Cholesky, Sign Restrictions, SVAR-IV, Narrative approach 

4.2 Models: Structurl VAR, Dynamic Factor Models, Factor Augmented VAR, Local projections  

 

5) Empirics III: Dynamic Effects of Monetary Policy Shocks in Non-Linear Models

5.1 Identifications in Non-Linear Models 

5.2 Models: Smooth Transition SVAR, Non-Linear Moving Averages Tme-Varying Coefficients VAR  

 

6) Empirics IV: Dynamic Effects of Other Macroeconomic Shocks

6.1 Technology shocks

6.2 Government Spending Shocks

6.3 Uncertainty Shocks 

 

 

 

The course consists of 48 lecture hours. The course includes both theory lectures and practical sessions. Practical sessions will be done using Matlab.  

The exam consists of two parts: 1) a short paper (50% of the grade), and 2) in-class exam (50% of the grade).