Last Update: Added recommended papers on housing | 10/18/2010 9:46 AM
Fall 06 Seminar
| Syllabus | Data | Enders | Eviews, JMulti | MEA
| Other Links (to be added)
While there are no required textbooks for this class, you will be responsible
for reading papers as well as for additional background reading in time series
methods. The following sources are recommended for background reading in
econometric methods for time series analysis:
*Ken Kuttners econometrics notesfree and with lots of
macro examples for basic econometrics (also check out the empirical chapters in
the advanced macro notes). If you are concurrently enrolled in econometrics,
give these notes a quick read ASAP. If youve already had econometrics, use
them as an additional reference as we go.
*Books on reserve: Well follow Enders closely for the first 3 and a half weeks;
Lutkepohl is for advanced readers who are well
familiar with linear algebra; use Agung for help with
Eviews.
Course Schedule:
|
Date |
Lectures |
References: Required [Recommended] |
|
9/14 |
Lecture 1: Course Overview | Introduction to Eviews | OLS |
Chen, Nai-Fu, Richard Roll, and Stephen Ross (1986). Economic Forces and the Stock Market.Journal of Business, 59(3), 383-403. [Enders 1, Agung 1, Kuttner 5-9] [Croushore, Dean (2010). An Evaluation of Inflation Forecasts from Surveys Using Real-Time Data. BE Journal of Macroeconomics: Contributions, Article 10. WP Version] [Hanson, Michael and Jayson Whitehorn (2006). Reconsidering the Optimality of Federal Reserve Forecasts. Mimeo.] [Dodd, Peter and Jerold Warner (1983). On Corporate Governance: A Study of Proxy Contests. Journal of Financial Economics, 11(1), 401-438.] [Neely, Christopher and Rubun Dey (2010). A Survey of Announcement Effects on Foreign Exchange Returns. Federal Reserve Bank of St. Louis Review, 92(5), pp. 417-463.] |
|
9/16 |
Lecture 2: Introduction to Time Series | ARIMA |
Enders 2.1-2.8 |
|
9/21 |
Lecture 3: Forecasts; Trends and Unit Roots; Structural
Breaks |
Enders 2.9, 2.12, 4.1-3, 4.5-8 + pp. 256-7 |
|
9/23 |
Lecture 4: Granger Causality | Vector Autoregression |
Enders 5.5-8 |
|
9/28 |
Lecture 5: Structural VARs Notes; Slides; Files: lrsvar.wf1 |
Enders 5.10-12 Kim, Soyoung and Nouriel Roubini (2000). Exchange Rate Anomalies in the Industrial Countries: A Solution with a Structural VAR Approach. Journal of Monetary Economics, 45(3), 561-586. [Blanchard, Olivier and Danny Quah (1989). The Dynamic Effects of Aggregate Demand and Supply Disturbances. American Economic Review, 79(4), 655-673.] [Beckworth, David (2010). One nation under the Fed? The asymmetric effects of US monetary policy and its implications for the United States as an optimal currency area. Journal of Macroeconomics, 32, 732-746.] |
|
9/30 |
Lecture 6: Cointegration and
Vector Error Correction | Research sentence due on Fri, 10/1 at 5pm |
Enders 6.1-5,7 Narayan, Kumar and Russell Smyth (2005). Cointegration of Stock Markets between New Zealand, Australia and the G7 Economics: Searching for Co-movement under Structural Change. Australian Economic Papers, 44, 231-247. Kim, Ki-ho (2003). Dollar Exchange Rate and Stock Price: Evidence from Multivariate Cointegration and Error Correction Model. Review of Financial Economics, 12, 301-313. [Engle, Robert and Clive Granger (1987). Co-integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55, 251-276.] |
|
10/5 |
Lecture 7: (Generalized) Autoregressive Conditional Heteroskedasticity |
Enders 3.1-2,10 [3.3-9] Jovanovic, Mario and Tobias Zimmermann (2010). Stock Market Uncertainty and Monetary Policy Reaction Functions of the Federal Reserve Bank. The B.E. Journal of Macroeconomics: Vol. 10: Iss. 1 (Topics), Article 21. Choudhry, Taufiq (2003). Stock market volatility and the
US consumer expenditure. Journal of Macroeconomics, 25, 367385. |
|
10/7 |
Lecture 8: IV and GMM | Taylor Rules |
Kuttner 13 Rudebusch, Glenn (2002). Term structure evidence on interest rate smoothing and monetary policy inertia. Journal of Monetary Economics, 49, 1161-1187. English, William, William Nelson, and
Brian Sack (2003). Interpreting
the Significance of the Lagged Interest Rate in Estimated Monetary Policy
Rules. Contributions to Macroeconomics: Vol. 3
: Iss. 1, Article 5. [Gerlach-Kristen,
Petra (2004). Interest-Rate
Smoothing: Monetary Policy Inertia or Unobserved Variables? Contributions
to Macroeconomics: Vol. 4 : Iss. 1, Article
3.] [Lubik, Thomas and Frank Schorfheide (2007). Do central banks respond to exchange rate movements? A structural investigation. Journal of Monetary Economics, 54, 1069-1087] [Gorodnichenko, Yuriy and Matthew Shapiro (2007). Monetary policy when potential output is uncertain: Understanding the growth gamble of the 1990s. Journal of Monetary Economics, 54, 1132-1162.] [Consolo, Agostino and Carlo Favero (2009). Monetary Policy Inertia: More a Fiction than a Fact? Journal of Monetary Economics, 56, 900-906.] [Romer, Christina and David Romer (2004). A New Measure of Monetary Shocks: Derivation and Implications. American Economic Review, 94, 1055-1084. Data] |
|
10/12 |
Lecture 9: Aggregate Supply and Aggregate Demand |
Gali, Jordi and Mark Gertler (1999). Inflation Dynamics: A Structural Econometric Analysis. Journal of Monetary Economics, 44, 195-222. Mehra, Yash (2004). The Output Gap, Expected Future Inflation, and Inflation Dynamics: Another Look. Topics in Macroeconomics, 4, article 17. Fuhrer, Jeffrey and Glenn Rudebusch (2004). Estimating the Euler Equations for Output. Journal of Monetary Economics, 51, 1133-1153. [Blanchard, Olivier and Jordi Galν (2007). Real Wage Rigidities and the New Keynesian Model. Journal of Money, Credit and Banking, 39, 35-65.] [Ravenna, Federico, and Carl Walsh (2006). Optimal Monetary Policy with the Cost Channel. Journal of Monetary Economics, 53, 199-216.] [Gwin, Carl and
David VanHoose (2008). Alternative measures of
marginal cost and inflation in estimations of new Keynesian inflation
dynamics. Journal of
Macroeconomics, 30, 928-940.] [Brissimis, Sopocles and Nicholas Magginas
(2008). Inflation Forecasts and the
New Keynesian Phillips Curve. International
Journal of Central Banking, 4, 1-21.] [Duca, John and Tao Wu (2009). Regulation and the Neo-Wicksellian Approach to Monetary Policy. Journal of Money, Credit and Banking, 41, 799-807.] [Uhlig, Harald (2010). Economics and Reality. NBER Working Paper 16416.] |
|
10/14 |
Lecture 10: Fiscal Policy | Oil Shocks | Housing and other
topics |
Kilian, Lutz (2009). Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market. American Economic Review, 99, 1053-1069. Data Kilian, Lutz (2008). A Comaprison of the Effects of Exogenous Oil Supply Shocks on Output and Inflation in the G7 Countries. Journal of the European Economic Association, 6, 78-121. Blanchard, Olivier and Roberto Perotti (2002). An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output. Quarterly Journal of Economics, 117, 1329-1368. Romer, Christina and David Romer (2010). The Macroeconomic Effects of Tax Changes: Estimates Based on a New Measure of Fiscal Shocks. American Economic Review, 100, 763-801. Data [Ramey, Valerie (2009). Identifying Government Spending Shocks: Its All in the Timing. Quarterly Journal of Economics, forthcoming. Data, narrative] [Kilian, Lutz and Cheolbeom Park (2009). The Impact of Oil Price Shocks on the US Stock Market. International Economic Review, 50, 1267-1287.] [Bachmeier, Lance (2008). Monetary policy and the transmission of oil shocks. Journal of Macroeconomics, 30, 1738-1755.] [Caldara, Dario and Christophe Kamps (2008). What Are the Effects of Fiscal Policy Shocks? A VAR-based Comparative Analysis. European Central Bank Working Paper No. 877.] [Leeper, Eric (2010). Monetary Science, Fiscal Alchemy. Mimeo.] [Brunnermeier, Markus and Christian Julliard (2008). Money Illusion and Housing Frenzies. Review of Financial Studies, 21, 135-18. WP Version.] [Campbell, Sean, Morris Davis, Joshua Gallin, Robert Martin (2009). What moves housing markets: A variance decomposition of the rent-price ratio. Journal of Urban Economics 66, 90-102. WP Version.] [Gallin, Joshua (2008). The long-run relationship between house prices and rents. Real Estate Economics, 36, 635-658. WP Version.] [Mocan, Naci (1990). Business cycles and fertility dynamics in the United States: A vector autoregressive model. Journal of Population Economics, 3, 125-146.] [Van Baardwijk, Marjolein and Philip Franses (2010). The Hemline and the Economy: Is there any match? Mimeo.] [Bollen, Johan, Huina Mao, Xiao-Jung Zeng (2010). Twitter Mood Predicts the Stock Market. Mimeo.] |
|
10/19 |
||
|
10/21 |
Tutoring I | Statement of Research Intent due on Fri, 10/22 at 5pm |
|
|
10/26 |
Related Paper Presentation I |
Presenters: (paper choices are due on Mon 10/25 @
noon) Hang Nguyen |
|
10/28 |
Related Paper Presentation II | Prospectus Due on 10/29@5pm |
Presenters: (paper choices are due on Wed 10/27 @
noon) |
|
11/2 |
Tutoring II |
|
|
11/4 |
Tutoring III |
|
|
11/9 |
Own Paper Presentation I |
Presenters: (Powerpoints
are due on Mon 11/8 @5pm) |
|
11/11 |
Own Paper Presentation II |
Presenters: (Powerpoints
are due on Wed 11/10 @5pm) Hang Nguyen |
|
11/16 |
Tutoring IV |
|
|
11/22 |
Final paper due at 5pm |
|
Problem Sets:
Problem Set 1, due Th 9/23 | Solution:
1.2, 1.3, 1.4
Problem Set 2, due Th 9/30 | Solution:
workfile
Problem Set 3, due Th 10/7 | Solution:
3.2, 3.3
Problem Set 4, due Tu 10/19 | Solution:
4_2, 4_2alt, 4_2altseed, 4_2b, infocrit_depn.prg, 4_3