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84168 - Introduction to Dsge Models

Academic Year 2019/2020

                
                        Docente:
                        Massimiliano Marzo
                    
                        Credits:
                        3
                    
                        SSD:
                        SECS-P/01
                    
                        Language:
                        English
                    
                        Teaching Mode:
                        Traditional lectures
                        
                            Campus:
                            Bologna
                        
                            Corso:
                            Second cycle degree programme (LM) in
                            Economics (cod. 8408)

                            Teaching resources on Virtuale

Learning outcomes

The goal of the course is to provide students with the main knowledge to implement a basic Dynamic Stochastic General Equilibrium (DSGE) model in order to analyze the effects of policy and non-policy shocks on aggregate economic activity. Students will be guided from basic principle in building up and solving several prototype models forming the workhorse in the literature. With the knowledge acquired in this course, students will be able to master the fundamental concepts in Real Business Cycle Theory and modern monetary models with a sketch on financial frictions. At the end of the course students will be familiar with coding and software tools (such as Matlab) largely employed in the profession to solve DSGE models and they will be able to contrast several solution methods proposed in the literature.

Course contents

The simple stochastic growth model: general setup.
Solving Dynamic General Equilibrium Models: a) indeterminate coefficients; polynomial factorization; numerical solution methods.
A primer on perturbation methods.
Some basics real rigidity assumptions: capital/investment adjustment costs; habit formation; variable capital utilization rate.
The role of money in general equilibrium: money in the utility vs. transaction costs approach.
Microfoundations of nominal rigidities: price rigidity mechanics and the analytical derivation of the aggregate supply curve along both Calvo’s and Rotemberg’s methods.
Wage rigidities: microfoundations in general equilibrium.
Financial Frictions in General Equilibrium.