MACROECONOMIC MODELLING

The first half of this course seeks to provide researchers with an introduction to the modern methods that are employed in the field of Applied Dynamic Macroeconomic Modelling. It includes a discussion of the central tenants of the macroeconomic theory on which these models have been developed and explicit derivations of the model equations, where each step of the respective calculations is provided. In addition, it also includes an introduction to the computational software that may be used to solve, simulate and/or estimate various model specifications that are applied to real world data. A thorough explanation of the source code and model output is also provided so that researchers will be able to start working on their own models, in a relatively short period of time.

Course Outline [link]

Lectures

Preface [notes]

1) Introduction, Business Cycles, and Monetary Policy

2) Real Business Cycle Models [notes] [slides]

3) New Keynesian Models [notes] [slides]

4) Small Open-Economy Model [notes] [slides]

5) Government Taxes [notes] [slides]

6) Government Spending [notes] [slides]

7) Nominal Wage Rigidities [notes] [slides]

8) Habits and non-Ricardian Agents [notes] [slides]

9) Investment Adjustment Costs and Capacity Utilisation [notes] [slides]

10) New Keynesian Model with Fiscal Policy [notes] [slides]

Practical

1) Introduction to Software Tools

2) Real Business Cycle Models

3) New Keynesian Models

4) Macroeconomic Data

5) Parameter Estimation

6) Small Open-Economy Model

  • Dynare mod files [link]

7) Government Taxes

  • Dynare mod files [link]

8) Government Spending

  • Dynare mod files [link]

9) Super Simple Model

  • Dynare mod files [link]

10) Habits and Non-Ricardian Agents

  • Dynare mod files [link]

11) Investment Adjustment and Capacity Utilisation

  • Dynare mod files [link]

12) New Keynesian Model with Fiscal Policy

  • Dynare mod files [link]

13) Policy Analysis and Forecasting Tools

  • Dynare mod files [link]

Appendix

1) Mathematical Tools [notes]

2) Log-Linearisation [notes]

3) Bayesian Theory [notes]

Contact

School of Economics, Room 5.04

University of Cape Town
Rondebosch, 7701
South Africa

Email: kevin.kotze[at]uct.ac.za​​

Web: www.economodel.com

 

© 2019 Kevin Kotzé