Computational Tools and Macroeconomic Applications

A short course taught at the NBER SI 2011 with Larry Christiano. Link to the course web page.

Methods in Macroeconomic Dynamics

This set of lecture notes is the backbone of a class on formulation, computation, and estimation of dynamic general equilibrium models. The notes have been written jointly with Juan Rubio-Ramirez, at Duke University. This is work in progress and I will welcome comments!

  • Lecture Notes 1: Introduction

  • Lecture Notes 2: Formulating Dynamic Equilibrium Models

  • Lecture Notes 3: Solving Dynamic Equilibrium Models

  • Lecture Notes 4: Introduction to Bayesian Econometrics

  • Lecture Notes 5: Monte Carlo Methods

  • Lecture Notes 6: Markov Chain Monte Carlo

  • Lecture Notes 7: Metropolis-Hastings

  • Lecture Notes 9: Filtering Theory

  • Lecture Notes 10: Model Comparison

  • Lecture Notes 11: Inference

  • Lecture Notes 12: Nonlinear and/or Non-gaussian Filtering

    Lecture Notes for Graduate Macroeconomics

    This set of transparencies are prepared for a graduate class in macroeconomics. Dirk Krueger is the source of much material in them and some of the material is borrowed from standard first-year textbooks (Acemoglu, L-S, SLP, etc.). This is work in progress and I will welcome comments!

  • Lecture Notes 1: Introduction to Uncertainty.

  • Lecture Notes 2: Equilibrium with Complete Markets.

  • Lecture Notes 3: Asset Pricing.

  • Lecture Notes 4: OLG Models.

  • Lecture Notes 5: Topics in OLG Models.

  • Lecture Notes 6: OLG Models with Production.

  • Lecture Notes 7: Job Search.

  • Lecture Notes 8: Random Matching.

  • Lecture Notes 9: Search Theoretic Models of Money.

  • Lecture Notes 10: Neoclassical Growth Model.

  • Lecture Notes 11: Endogenous Growth Models.

  • Lecture Notes 12: RBC Models.

  • Lecture Notes 13: Ramsey Fiscal Policy.

  • Technical Lecture Notes 0: Measure Theory.

  • Technical Lecture Notes 1: Stochastic Dynamic Programming.

  • Technical Lecture Notes 2: Numerical Dynamic Programming.

  • Technical Lecture Notes 3: Continuous Time Stochastic Processes.

  • Technical Lecture Notes 4: Optimization in Continuous Time.

  • Technical Lecture Notes 5: Spectral Analysis.

  • Technical Lecture Notes 6: NIPA.

    Lecture Notes on the Macroeconomics of Uncertainty Shocks: Evidence, Models, and Methods

  • Lecture Notes 1: Motivation and Evidence.

  • Lecture Notes 2: Macroeconomic Models with Uncertainty Shocks.

  • Lecture Notes 3: Solution Methods.

  • Lecture Notes 4: The Econometrics of Uncertainty Shocks.

  • Lecture Notes 5: Applications.

    Notes 1: Motivation and Evidence uses several graphs (pp. 32-37, 39-41, and 49-51) generously shared by Nick Bloom.

    Lecture Notes on Macroeconomics and Financial Frictions

    This set of transparencies are prepared for a graduate class in macroeconomics with financial frictions.

  • Lecture Notes 1: Macroeconomic Models with Financial Frictions.

  • Lecture Notes 2: A Model with Collateral Constraints.

  • Lecture Notes 3: A Model with Costly-State Verification.

  • Lecture Notes 4: A Model with Costly Enforcement.

  • Lecture Notes 5: A Model of Financial Intermediation.

  • Lecture Notes 6: A Model with Explicit Solution.

    An Introduction to Equilibrium Macroeconomics

    This set of lecture notes is an undergraduate class on Macroeconomics taught from an equilibrium perspective. There is more than enough material for a semester course and probably enough for a one year sequence. When I teach this class I pick and choose from those lecture notes. This is work in progress and I will welcome any comments!

  • Lecture Notes on Macroeconomics

    Global Economic History

    This set of lecture notes is the backbone of a class on Global Economic History at Penn.

    I have borrowed material and figures from many people's papers, including papers by Daron Acemoglu, Jim Robinson, Nathan Nunn, Kevin O'Rourke, Robert Allen, and many other fantastic economists. I am still working on the notes and I will make all the attributions explicit as soon as I can. Also, many people have helped me with some of the material. Again, I hope to have soon an explicit acknowledgment document. While this happens, I thought it could be a good idea to show my work and get some feedback.

    Of course, I warmly welcome comments (and the pointing out of errors!).

  • Lecture Notes 1: Introduction

  • Lecture Notes 2: Contacts

  • Lecture Notes 3: Malthus: Population and Economic Growth

  • Lecture Notes 4: Geography, Environment, and Climate: the "Real" Real Shocks

  • Lecture Notes 5: Sea Empires

  • Lecture Notes 6: Land Empires

  • Lecture Notes 7: Europe Gets Ahead

  • Lecture Notes 8: An Industrial Revolution? (currently merged with previous set of lecture notes, to be expanded later).

  • Lecture Notes 9: Cradle of Modernity

  • Lecture Notes 10: Catching Up, Falling Behind

  • Lecture Notes 11: The Strange Death of Liberal Europe

  • Lecture Notes 12: The Great Depression (currently merged with previous set of lecture notes, to be expanded later).

  • Lecture Notes 13: False Hopes: Communism and Fascism

  • Lecture Notes 14: Les Trente Glorieuses

  • Lecture Notes 15: New Countries: Failures and Successes

  • Lecture Notes 16: Death and Transfiguration (currently merged with lecture notes 14, to be expanded later).

  • Lecture Notes 17: Back to the Future: the Global Recession