Last Update: 3/5/2007 10:38 AM

Course Schedule:

Date	Lectures	References
9/12	Lecture 1: Course Overview \| Introduction to Eviews \| OLS \| Multifactor CAPM Detrending Example: rgdp.xls, rgdp.wf1, detrend.prg CAPM Example: capm_ts.xls, capm_series.prg, capm_betas.prg,	Mankiw, N. Gregory (2006). “The Macroeconomist as Scientist and Engineer.” NBER WP 12349. Econ282 Stats Handout Chen, Nai-Fu, Richard Roll, and Stephen Ross (1986). “Economic Forces and the Stock Market.” Journal of Business, 59(3), 383-403.
9/14	Lecture 2: Introduction to Time Series \| ARIMA Real GDP Example (Cont’d): rgdp_0.wf1, aicsbc.prg	Enders 1.1, 1.2, 1.9; 2.1-4,7-9 Orphanides, Athanasios (2001). “Monetary Policy Rules Based on Real-time Data.” AER, 91(4), 964-985. Hanson, Michael and Jayson Whitehorn (2006). “Reconsidering the Optimality of Federal Reserve Forecasts.” Mimeo.
9/19	Lecture 3: Trends, Unit Roots, and Structural Change Spurious Regression Example: yz_example.xls RGDP/Dickey-Fuller Example: rgdp_1.wf1 Real Exchange Rate Example: rer_0.wf1, rer_series.prg, rer.wf1, rer_aicsbc.prg Structural Change (Monetary Policy) Example: str_qtr.wf1	Enders 4.1-3,5-8 Nelson, Charles and Charles Plosser (1982). “Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications.” JME, 10(2), 139-162. Perron, Pierre (1989). “The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis.” Econometrica, 57(6), 1361-1401.
9/21	Lecture 4: VARs, IRFs, and Granger Causality VAR Example: var_eg.wf1	Enders 5.5-5.8 Sims, Christopher (1972). “Money, Income, and Causality.” AER, 62(4), 540-552. Sims, Christopher (1992). “Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy.” EER, 36(5), 975-1000. Stock, James and Mark Watson (2001). “Vector Autoregressions.” JEP, 15(4), 101-115.
9/26	Lecture 5: Structural VARs Monthly SVAR with short-run restrictions: svarmon.wf1 Quarterly SVAR with long-run restrictions: lrsvar.wf1	Enders 5.10-13 Blanchard, Olivier and Danny Quah (1989). “The Dynamic Effects of Aggregate Demand and Supply Disturbances.” AER, 79(4), 655-673. Kim, Soyoung and Nouriel Roubini (2000). “Exchange Rate Anomalies in the Industrial Countries: A Solution with a Structural VAR Approach.” JME, 45(3), 561-586.
9/28	Lecture 6: VARs in regional studies Discussion of Sissoko and Dibooglu (2006) Discussion of Poddar, Sab, Khachatryan (2006) [presented on 10/3] Suggested presentation template for Weeks 9 and 10	Papers from the regional section on Jordan and sub-Saharan Africa Presentation by Kristin Partlo, Reference & Instruction Librarian for Social Sciences
10/3	Lecture 7: Cointegration and Error Correction Money Demand Example: mdd.wf1	Enders 6
10/5	Lecture 8: More on VECM Discussion of Narayan and Smyth (2005)	Narayan, Kumar and Russell Smyth (2005). “Cointegration of Stock Markets between New Zealand, Australia and the G7 Economies: Searching for Co-movement under Structural Change.” Australian Economic Papers, 44(3), 231-247. Presentation by Paula Lackie, Academic Computing Coordinator for Social Sciences & Humanities
10/10	Lecture 9: IV and GMM Taylor Rule Example: mpr.wf1, mpr_haus.prg	Notes Gali, Jordi and Mark Gertler (1999). “Inflation Dynamics: A Structural Econometric Analysis.” Journal of Monetary Economics, 44(2), 195-222. Mehra, Yash (2004). “The Output Gap, Expected Future Inflation and Inflation Dynamics: Another Look.” Topics in Macroeconomics, 4(1), article 17.
10/12	Lecture 10: Structural Estimates of the Phillips Curve Discussion of Gali and Gertler (1999) Discussion of Gali, Gertler, and Lopez-Salido (2005) Discussion of Blanchard and Gali (2006)	Gali, Jordi, Mark Gertler, and David Lopez-Salido (2005). “Robustness of the Estimates of the Hybrid New Keynesian Phillips Curve.” Journal of Monetary Economics, 52(6), 1107-1118. Blanchard, Oliver and Jordi Gali (2006). “Real Wage Rigidities and the New Keynesian Model.” Journal of Money, Credit, and Banking, forthcoming.
10/17	Lecture 11: Estimating Monetary Policy Rules and Aggregate Demand Discussion of Fuhrer and Rudebusch (2004) Discussion of Clarida, Gali, and Gertler (2000)	Clarida, Richard, Jordi Gali, and Mark Gertler (2000). “Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory.” Quarterly Journal of Economics, 115(1), 147-180. Fuhrer, Jeffrey and Glenn Rudebusch (2004). “Estimating the Euler Equations for Output.” Journal of Monetary Economics, 51(6), 1133-1153.
10/19	Lecture 12: Fiscal Policy; Oil Shocks Discussion of Perotti (2002) Discussion of Kilian (2006)	Perotti, Roberto (2002). “Estimating the Effects of Fiscal Policy on OECD Countries.” ECB WP 168. Kilian, Lutz (2006). “A Comparison of the Effects of Exogenous Oil Shocks on Output and Inflation in the G7 Countries.” Manuscript.
10/24	Lecture 13: Theoretical Issues—Model and Parameter Uncertainty Discussion of Levin, Wieland, and Volcker (2001) Writing Workshop: Prospectus, Paper, Comps	Levin, Andrew, Volker Wieland, and James Williams (2001). “The Performance of Forecast-based Monetary Rules under Monetary Uncertainty.” Manuscript.
10/26	Tutoring I
10/31	Tutoring II
11/2	Questionnaire due 11/3 at 3pm \| Tutoring III (Optional)
11/7	Presentations I	*Presenters:* Jim Watkins Ethan Singer Mike Gravelle Bennett Surajat Max Parish	Discussants: Pranav Yadav Sophie Snyder Katie Williams Cyrus Malek Jeff Harvey
11/9	Presentations II	*Presenters:* Sophie Snyder Pat Frett Katie Williams Katie Smith Darren Caspers	Discussants: Max Parish David Xu Jim Watkins Bennett Surajat Ethan Singer
11/14	Presentations III	*Presenters:* Jeff Harvey Cyrus Malek David Xu Pranav Yadav	Discussants: Pat Frett Darren Caspers Katie Smith Mike Gravelle

Suggested Reading List by Subject:

General Interest:

Favero, Carlo (2001). “Applied Macroeconometrics.” Oxford.

Mark, Nelson (2001). “International Macroeconomics and Finance: Theory and Econometric Methods.” Blackwell.

Kim, Han, Adair Morse, and Luigi Zingales (2006). “What Has Mattered to Economists Since 1970.” NBER WP 12526.

Kuttner, Kenneth and Patricia Mosser (2002). “The Monetary Transmission Mechanism: Some Answers and Further Questions.” FRBNY Economic Policy Review, May, 15-26.

Rubinstein, Ariel (2006). “A Sceptic’s Comments on the Study of Economics.” Economic Journal, vol. 116, C1-C9.

How to Construct Your Thesis Title: Facetious Advice from phdcomics.com.

Mankiw’s blog | DeLong’s blog | MacroBlog | EconBrowser | (Thanks to David Wiczer (’06) for some of these.)

Forecasting:

Ang, Andrew, Geert Bekaert, and Min Wei (2006). “Do Macro Variables, Asset Markets, or Surveys Forecast Inflation Better?” FRB Finance and Economics Discussion Paper.

Atkeson, Andrew and Lee Ohanian (2001). “Are Phillips Curves Useful for Forecasting Inflation?” FRBM Quarterly Review, 25(1), 2-11.

Banerjee, Anindya, Massimiliano Marcellino, and Igor Masten (2005). “Forecasting Macroeconomic Variables for the New Member States of the European Union.” ECB WP 482.

Cheung, Yin-Wong, Menzie Chinn, and Antonio Pascual (2005). “Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?” Journal of International Money and Finance, 24, 1150-1175.

Herrmann, Heinz, Athanasios Orphanides, and Pierre L. Siklos (2005). “Real-time Data and Monetary Policy.” North American Journal of Economics and Finance, 16, 271-276.

Spencer, David (2004). “Output Gap Uncertainty and Monetary Policy During the 1970s.” Topics in Macroeconomics, 4(1), article 2.

Stock, James and Mark Watson (1999). “Forecasting Inflation.” Journal of Monetary Economics, 44(2), 293-335.

Structural Breaks / Granger Causality:

Beyer, Andreas and Roger Farmer (2002). “Natural Rate Doubts.” European Central Bank Working Paper No. 121.

Kocenda, Evzen (2005). “Beware of Breaks in Exchange Rates: Evidence from European Transition Countries.” Economic Systems, vol. 29, 307-324.

Vymyatnina, Yulia (2006). “How Much Control Does Bank of Russia Have over Money Supply?” Research in International Business and Finance, vol. 20, 131-144.

VAR:

Dutt, Amitava and Kajal Mukhopadhyay (2005). “Globalization and the Inequality Among Nations: A VAR Approach.” Economic Letters, vol. 88, 295-299.

Friedman, Joseph and Yochanan Shachmurove (2005). “European Stock Market Dynamics Before and After the Introduction of the Euro.” Penn Institute for Economic Research Working Paper 05-028.

Gerlach, Stefan and Frank Smets (1995). “The Monetary Transmission Mechanism: Evidence from the G-7 Countries.” Centre for Economic Policy Research Discussion Paper No. 1219.

Giordani, Paolo (2004). “An Alternative Explanation of the Price Puzzle.” Journal of Monetary Economics, vol. 51, 1271-1296.

Hanson, Michael (2004). “The ‘Price Puzzle’ Reconsidered.” Journal of Monetary Economics, vol. 51, 1385-1413.

Mountford, Andrew (2005). “Leaning into the Wind: A Structural VAR Investigation of UK Monetary Policy.” Oxford Bulletin of Economics and Statistics, 67(5), 597-621.

VECM/Cointegration:

Brissimis, Sophocles, Dimitris Sideris, and Fragiska Vouvmaki (2005). “Testing Long-run Purchasing Power Parity under Exchange Rate Targeting.” Journal of International Money and Finance, vol. 24, 959-981.

Egert, Balasz (2005). “Equilibrium Exchange Rates in Southeastern Europe, Russia, Ukraine and Turkey: Healthy or (Dutch) Diseased?” Bank of Finland Discussion Paper 3/2005.

Narayan, Kumar and Russell Smyth (2005). “Cointegration of Stock Markets between New Zealand, Australia and the G7 Economies: Searching for Co-movement under Structural Change.” Australian Economic Papers, 44(3), 231-247.

Phylaktis, Kate and Fabiola Ravazzolo (2005). “Stock Prices and Exchange Rate Dynamics.” Journal of International Money and Finance, vol. 24, 1031-1053.

Phillips Curve:

Gruen, David, Adrian Pagan, and Christopher Thompson (1999). “The Phillips Curve in Australia.” Journal of Monetary Economics, 44(2), 223-258.

Beaudry, Paul and Matthew Doyle (2000). “What Happened to the Phillips Curve in the 1990s in Canada?” Bank of Canada Working Paper.

Scheibe, J. and D. Vines (2005). “A Phillips Curve for China.” Centre for Applied Macroeconomic Analysis at Australian National University Working Paper.

Rumler, Fabio (2005). “Estimates of the Open Economy New Keynesian Phillips Curve for Euro Area Countries.” European Central Bank Working Paper No. 496.

Allsopp, Christopher, Amit Kara, and Edward Nelson (2006). “U.K. Inflation Targeting and the Exchange Rate.” Federal Reserve Bank of St. Louis Working Paper No. 30.

Monetary Policy Targets:

Carey, Kevin (2001). “Testing for Stabilizing Monetary Policy Rules: How Robust to Alternative Specifications?” Topics in Macroeconomics, 1(1), article 3.

Eleftheriou, Maria, Dieter Gerdsmeier, Barbara Roffia (2006). “Monetary Policy Rules in the Pre-EMU Era: Is There a Common Rule?” ECB WP 659.

English, William, William Nelson, and Brian Sack (2003). “Interpreting the Significance of the Lagged Interest Rate in Estimated Monetary Policy Rules.” Contributions to Macroeconomics, 3(1), article 5.

Fatas, Antonio, Ilian Mihov, and Andrew Rose (2006). “Quantitative Goals for Monetary Policy.” ECB WP 615.

Gerlach-Kristen Petra (2004). “Interest-rate Smoothing: Monetary Policy Inertia or Unobserved Variables?” Contributions to Macroeconomics, 4(1), article 3.

Goodhart, Charles (2005). “The Monetary Policy Committee’s Reaction Function: An Exercise in Estimation.” Topics in Macroeconomics, 5(1), article 18.

Leiderman, Leonardo, Rodolfo Maino, and Eric Parrado (2006). “Inflation Targeting in Dollarized Economies.” IMF WP 157.

Vdovichenko, Anna and Victoria Voronina (2005). “Monetary Policy Rules and Their Application in Russia.” Research in International Business and Finance, 20, 145-162.

Oil Shocks:

Kilian, Lutz (2006). “Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?” Manuscript.

Krichene, Noureddine (2006). “World Crude Oil Markets: Monetary Policy and the Recent Oil Shock.” IMF WP 06/62.

Pagano, Patrizio and Massimiliano Pisani (2006). “Risk-adjusted Forecasts of Oil Prices.” Bank of Italy Discussion Paper No. 585.

Fiscal Policy:

Alesina, Alberto and Guido Tabellini (2005). “Why Is Fiscal Policy Often Procyclical?” NBER WP 11600.

Bilbiie, Florin, Andre Meier, and Gernot Muller (2006). “What Accounts for the Changes in U.S. Fiscal Policy Transmission?” ECB WP 582.

Friedman, Benjamin and Kenneth Kuttner (1992). “Money, Income, Prices, and Interest Rates.” American Economic Review, 82(3), 472-492.

Rzonca, Andrzej and Piotr Cizkowicz (2005). “Non-Keynesian Effects of Fiscal Contraction in New Member States.” ECB WP 519.

Regional:

Blanchard, Olivier (2004). “Fiscal Dominance and Inflation Targeting: Lessons from Brazil.” NBER WP 10389.

Coricelli, Fabrizio, Balazs Egert, and Ronald MacDonald (2004). “Monetary Transmission Mechanism in Central and Eastern Europe: Surveying the Empirical Evidence.” Mimeo.

Ducanes, Geoffrey, Marie Anne Cagas, Duo Qin, Pilipinas Quising, and Nedelyn Magtibay-Ramos (2005). “A Small Macroeconometric Model of the Philippine Economy.” ADB ERD WP 62.

Eichengreen, Barry (2004). “Monetary and Exchange Rate Policy in Korea: Assessments and Policy Issues.” Mimeo.

Favero, Carlo and Francesco Giavazzi (2004). “Inflation Targeting and Debt: Lessons from Brazil.” NBER WP 10390.

Feyzioglu, Tarhan and Luke Willard (2006). “Does Inflation in China Affect the United States and Japan?” IMF WP 06/36.

Fujiwara, Ippei (2004). “Output Composition of the Monetary Transmission Mechanism in Japan.” Topics in Macroeconomics, 4(1), article 11.

James, Gregory (2005). “Money Demand and Financial Liberalization in Indonesia.” Journal of Asian Economics, 16, 817-829.

Khan Mohsin and Axel Schimmelpfennig (2006). “Inflation in Pakistan: Money or Wheat?” IMF WP 06/60.

Mwase, Nkunde (2006). “An Empirical Investigation of the Exchange Rate Pass-Through to Inflation in Tanzania.” IMF WP 06/150.

Oomes, Nienke and Oksana Dynnikova (2006). “The Utilization-Adjusted Output Gap: Is the Russian Economy Overheating?” IMF WP 06/68.

Poddar, Tushar, Randa Sab, and Hasmik Khachatryan (2006). “The Monetary Transmission Mechanism in Jordan.” IMF WP 06/48.

Singh, Balwant (2005). “A Forecasting and Policy Simulation Oriented Small Macro-model for the Indian Economy.” Journal of Policy Modeling, 27, 1025-1049.

Sissoko, Yaya and Sel Dibooglu (2006). “The Exchange Rate System and Macroeconomic Fluctuations in Sub-Saharan Africa.” Economic Systems, 30, 141-156.

Starr, Martha (2004). “Does Money Matter in the CIS? Effects of Monetary Policy on Output and Prices.” American University WP 200410-02.

Ying, Huang and Feng Guo (2006). “Is Currency Union a Feasible Option in East Asia? A Multivariate Structural VAR Appoach.” Research in International Business and Finance, 20, 77-94.