Tópicos avançados em Economia (Macro)
Objetivos
O objetivo do curso é percorrer os principais modelos de cavalos de trabalho em macro, com ênfase em modelos com agentes heterogéneos, e mostrar algumas aplicações líderes destes modelos na literatura recente. No final do curso, deve-se conhecer os conjuntos de ferramentas básicos para resolver e simular modelos macro e deve ser capaz de os aplicar/estender para fins de investigação.
Caracterização geral
Código
270125
Créditos
7
Professor responsável
Joao B. Duarte
Horas
Semanais - A disponibilizar brevemente
Totais - A disponibilizar brevemente
Idioma de ensino
Inglês
Pré-requisitos
A disponibilizar brevemente
Bibliografia
1. Incomplete markets, no aggregate uncertainty
• Aiyagari, S.R. (1993), Explaining Financial Market Facts: the Importance of Incomplete Markets and Transaction Costs, Federal Reserve Bank of Minneapolis Quarterly Review 17 (No. 1), 1731.
• Aiyagari, S.R. (1994), Uninsured Idiosyncratic Risk and Aggregate Saving, Quarterly Journal of Economics 109, 659684.
• Castan ?eda, A., J. D ??az-Gim ?enez, and J.-V. R ??os-Rull (2003), Accounting for the U.S. Earnings and Wealth Inequality, Journal of Political Economy 111, 814857.
• Covas, F. (2005), Uninsured Idiosyncratic Production Risk with Borrowing Con- straints, manuscript (forthcoming in the Journal of Economic Dynamics and Control).
• Deaton, A. (1991), Saving and Liquidity Constraints, Econometrica 59, 12211248.
• Huggett, M. (1993), The Risk-Free Rate in Heterogeneous-Agents, Incomplete Markets Economies, Journal of Economic Dynamics and Control 17, 953969.
• Huggett, M. (1997), The One-Sector Growth Model with Idiosyncratic Shocks: Steady States and Dynamics, Journal of Monetary Economics 39, 385403.
• Ljungqvist, L. and T.J. Sargent (2004), Chapters 16 and 17 in Recursive Macroeconomic Theory (Second Edition), MIT Press.
• Storesletten, K., C. Telmer, and A. Yaron (2004), Consumption and Risk Sharing over the Life Cycle, Journal of Monetary Economics 51, 609633.
2. Heterogeneity and business cycle analysis
• Den Haan, W. (2001) The Importance of the Number of Different Agents in a Heterogeneous Asset-Pricing Model, Journal of Economic Dynamics and Control 25, 721746.
• Heaton, J. and D.J. Lucas (1996), Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing, Journal of Political Economy 104, 443487.
• Krusell, P. and A.A. Smith, Jr. (1997), Income and Wealth Heterogeneity, Portfolio Selection, and Equilibrium Asset Returns, Macroeconomic Dynamics 1, 387422.
• Krusell, P. and Smith, A. A. (1998). Income and wealth heterogeneity in the macroeconomy. Journal of Political Economy, 106(5):867–896
• Krusell, P. and A.A. Smith, Jr. (2006), Quantitative Macroeconomic Models with Heterogeneous Agents (joint with Anthony A. Smith, Jr.); forthcoming in Blundell, R., Newey, W., and Persson, T. (eds), Advances in Economics and Econometrics: Theory and Applications, Ninth World Congress, Cambridge University Press.
• Krueger, D., Mitman, K., and Perri, F. (2016). Macroeconomics and heterogeneity, including inequality. In Taylor, J. and Uhlig, H., editors, Handbook of Macroeconomics, second edition. Elsevier
• Kubler, F. and K. Schmedders (2002), Recursive Equilibria in Economies with In- complete Markets, Macroeconomic Dynamics 6, 284306.
• Miao, J. (2003), Competitive Equilibria of Economies with a Continuum of Consumers and Aggregate Shocks, manuscript (troi.cc.rochester.edu/mias/shockag13.pdf).
• Telmer, C. (1993), Asset Pricing Puzzles and Incomplete Markets, Journal of Finance 48, 18031832.
3. Precautionary savings, Labor market risk and Aggregate Fluctuations
• Ravn, M. O. and Sterk, V. (2018). Macroeconomic fluctuations with hank & sam: an analytical approach. Working paper
• Bayer,C.,Lu ?tticke,R.,Pham-Dao,L.,andTjaden,V.(2015).Precautionary savings, illiquid assets, and the aggregate consequences of shocks to household income risk. Working paper. Revise and resubmit, Econometrica
• Den Haan, W., Rendahl, P., and Riegler, M. (2015). Unemployment (fears) and deflationary spirals. CEPR Discussion Paper 10814
• Ravn, M. O. and Sterk, V. (2013). Job uncertainty and deep recessions. Working paper. conditionally accepted, Journal of Monetary Economics
• Guerrieri, V. and Lorenzoni, G. (2015). Credit crises, precautionary savings, and the liquidity trap. mimeo
4. Incomplete markets, heterogeneity, and monetary policy
• Gornemann, N., Kuester, K., and Nakajima, M. (2012). Monetary policy with het- erogeneous agents. Working paper 12-21, Federal Reserve Bank of Philadelphia
• Kaplan, G., Moll, B., and Violante, G. (2016). Monetary policy according to hank. Working paper
• Werning, I. (2015). Incomplete markets and aggregate demand. Working paper
• Auclert, A. (2016). Monetary policy and the redistribution channel. Working paper
• Lu ?tticke, R. (2015). Transmission of monetary policy with heterogeneity in household portfolios. Working paper
• Hagedorn, M., Manovskii, I., and Mitman, K. (2017). Monetary policy in incomplete market models: Theory and evidence. mimeo
5. Fiscal Policy and Unconventional Monetary Policy
• McKay, A., Nakamura, E., and Steinsson, J. (2015). The power of forward guidance revisited. Working paper. forthcoming, American Economic Review
• Hagedorn, M., Manovskii, I., Luo, J., and Mitman, K. (2018a). Forward guidance. mimeo
• Cochrane, J. H. (2015). The new-keynesian liquidity trap. Working paper, University of Chicago Booth School of Business
• Hagedorn, M., Manovskii, I., and Mitman, K. (2018b). The fiscal multiplier. available at http://papers.nber.org/sched/efgw18
• Brinca, P., Holter, H. A., Krusell, P., and Malafry, L. (2016). Fiscal multipliers in the 21st century. Journal of Monetary Economics, 77:53 – 69
• Oh, H. and Reis, R. (2012). Targeted transfers and the fiscal response to the great recession. Journal of Monetary Economics, 59, Supplement:50 – 64
• McKay, A. and Reis, R. (Forthcoming). The role of automatic stabilizers in the u.s. business cycle. Econometrica
• Farhi, E. and Werning, I. (2013). Fiscal multipliers: Liquidity traps and currency unions. mimeo
• Bhandari, A., Evans, D., Golosov, M., and Sargent, T. (2017). Fiscal policy and debt management with incomplete markets. Quarterly Journal of Economics
• Bhandari, A., Evans, D., Golosov, M., and Sargent, T. (2018). Inequality, business cycles and monetary-fiscal- policy
6. Housing and Aggregate Fluctuations
• Kaplan, G., Mitman, K., and Violante, G. (2017). The housing boom and bust: Model meets evidence. Working paper
• Hedlund, A. (2015). Failure to launch: Housing, debt overhang, and the inflation option during the great recession
• Hedlund, A., Karahan, F., Mitman, K., and Ozkan, S. (2016). Monetary policy, heterogeneity and the housing channel. Working paper
• Dias and Duarte (2016) Monetary Policy and Housing the Business Cycle: What do Housing Rents have to say? Mimeo.
RESOURCES.
https://quantecon.org
https://github.com/jbduarte/SPGE_Numerical_Course
Método de ensino
O curso será aplicado na natureza com uma abordagem prática. Vamos ver exemplos de modelos que os resolvem e simulam em Python.
Método de avaliação
A nota final basear-se-á na participação das aulas (que inclui trabalhos de casa) e numa proposta de investigação.
Nota final = 0,5*participação + proposta de investigação de 0,5**
A proposta de investigação consiste num projeto de investigação escrito sobre temas macro aplicados discutidos nas aulas.
Conteúdo
1 - Agente representativo modelo
2 - Métodos Recursivos
3 - Modelos com mercados (exogenamente) incompletos: determinação do equilíbrio da riqueza na igualdade (o modelo Aiyagary)
4- Modelos com incerteza agregada (o modelo Krusell e Smith)
5 - Heterogeneidade e política macroeconómica: implicações da heterogeneidade para a transmissão e eficácia da política monetária e fiscal.