- Docente: Giulio Fella
- Credits: 6
- SSD: SECS-P/01
- Language: English
- Teaching Mode: Traditional lectures
- Campus: Bologna
- Corso: Second cycle degree programme (LM) in Economics (cod. 8408)
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from Feb 13, 2023 to Mar 22, 2023
Learning outcomes
The course provides students with the fundamental training required to pursue independent research in modern macroeconomics.
It covers recursive methods---Markov processes, numerical dynamic programming, and recursive equilibria---and their application to core dynamic stochastic models: business cycle and heterogeneous agents models.Course contents
0. Roadmap: recursive methods in economics
I. Markov processes
- Markov chains
- VARs
- General framework for Markov processes
II. Dynamic programming
- Deterministic problem
- Stochastic problem
- Numerical dynamic programming I: approximating the state space
- General results for dynamic optimisation
- Linear-quadratic problem
- The optimal linear regulator problem
- Numerical dynamic programming II: approximating functional forms
III. Recursive competitive equilibria
- Equilibrium with Arrow securities
- Using the planning problem
- Heterogeneous agent problems
Readings/Bibliography
The main textbook is Ljungqvist, L and Sargent, T J, Recursive Macroeconomic Theory, 2nd edition, MIT Press, 2004 (henceforth LjSa)
Additional references will provided during the course.
Teaching methods
Lectures and Classes.
Assessment methods
- Four homeworks involving computation – 20% (each worth 5%)
- Final exam (2 hours) – 80%
Marks: fail <18; pass 18-23; good 24-27; very good 28-30; outstanding 30 cum laude
Teaching tools
Lecture slides and other material made available using the unibo online platform.
Office hours
See the website of Giulio Fella