- 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 12, 2024 to Mar 20, 2024
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.
Prerequisite knowledge: Master-level macroeconomic course such as 59691 - MACROECONOMICS
Course contents
0. Roadmap: recursive methods in economics
- Dynamic problems: sequence vs recursive form
- Recursive problems: the concept of state
I. Dynamic programming
- Deterministic problems: existence and uniqueness of a solution
- Stochastic problems
- Modelling uncertainty: Markov chains and linear state-space models
- Numerical dynamic programming I: value function iteration approximating the state space
II. Solving for equilibria
- Equilibrium with Arrow securities
- Using the planning problem
- Recursive equilibrium
III. Problemi con agenti eterogenei
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
One computational homework and one written final exam (each accounting for 50% of the final mark).
The computational homework is individual.
The final exam will last 2 hours and will contain exercises. Its grade can be rejected only once.
Marking scale: 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