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.

  • 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.

  • Lecture Notes 14: Models with Financial Frictions.

  • Technical Lecture Notes 0: Measure Theory.

  • Technical Lecture Notes 1: Stochastic Dynamic Programming.

  • Technical Lecture Notes 2: Numerical Dynamic Programming.

  • Technical Lecture Notes 3: Optimization in Continuous Time.

  • Technical Lecture Notes 4: NIPA.

  • Technical Lecture Notes 5: Spectral Analysis.

    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