PhD - macroeconomics


DiSES PhD in Economics
     
  MACROECONOMICS  
  Coordinator: Prof.ssa Raffaella Santolini  
  eMail: r.santolini@univpm.it  
  Home page: UNIVPM  
Macroeconomics fundamentals:
  • Economic growth theory
  • Real business cycles
  • The new Keynesian model
  • Monetary policy
  • Fiscal policy

Macroeconomics topics:

  • Agent-based model
  • Structural change, diversification and modern economic growth
  • Wavelet methods for economics and finance

 

Macroeconomics Fundamentals

 
 Economic growth theory
Language: English Frequence: January Hours: 12
Professor: Davide Ticchi eMail: d.ticchi@univpm.it  
Objectives:

The course will present an introduction to macroeconomic modelling, focusing on the theory of economic growth and some of its applications.

Programme:

  • The Solow growth model.
  • The Neoclassical growth model.
  • Growth with overlapping generations.
  • Human capital and economic growth.
  • First-generation models of endogenous growth.
  • Endogenous technological change.
  • The political economy of growth.
Reading List:
Acemoglu, D. (2009). Introduction to Modern Economic Growth, Princeton University Press.
Barro, R.J. and Sala-i-Martin, X. (2004). Economic Growth, MIT Press.
Romer, D. (2012). Advanced Macroeconomics, McGraw-Hill, 4nd Edition.
Additional material will be distributed in class.
 
 Real business cycles
Language: English Frequence: January Hours: 11
Professor: Antonio Palestrini eMail: a.palestrini@univpm.it  
Professor: Marco Gallegati eMail: marco.gallegati@univpm.it  
Objectives:

The course, after a brief historical excursus on business cycle theory, aims at providing the Ph.D. students with the basic tools needed in order to analyse business cycles from a Real Business Cycles (RBC) perspective.

Programme:

  • Business cycles: definition and measurement.
  • Business cycles from an historical perspective.
  • Real business cycles models and solution methods.
  • Analyzing stylized facts using RBC modes.
Reading List:
King R.G, and Rebelo, S. (1999). Resuscitating Real Business Cycles, Handbook of Macroeconomics, Vol. 1, Part B, Ch. 14, pp. 927-1007.
Plosser, C.I. (1989). Understanding Real Business Cycles, The Journal of Economic Perspectives, 3(3), pp. 51-77.
Romer, D. (2011). Advanced Macroeconomics, McGraw Hill, 4th Edition.
 
 Consumption and investment
Language: English Frequence: January-February Hours: 8
Professor: Davide Ticchi eMail: d.ticchi@univpm.it  
Objectives:

The course investigates households’ consumption choices and firms’ investment decisions both under certainty and uncertainty. The section on consumption will also include an introduction to portfolio choice.

Reading List:

Consumption:

Blanchard, O. and Fischer, S. (1989). Lectures in Macroeconomics, The MIT Press, Ch. 6.
Romer, D. (2012). Advanced Macroeconomics, McGraw-Hill, 4nd Edition, Ch. 8.
Merton, R. C. (1969). Lifetime Portfolio Selection under Uncertainty: The Continuous Time Case, Review of Economics and Statistics, 50, 247–257.
Samuelson, P. A. (1969). Lifetime Portfolio Selection by Dynamic Stochastic Programming, Review of Economics and Statistics, 51, 239–46.
Weil, P. (1990). Nonexpected Utility in Macroeconomics, Quarterly Journal of Economics, 105, pp. 29-42.

Investment:

Romer, D. (2012). Advanced Macroeconomics, McGraw-Hill, 4nd Edition, Ch. 9.
Blanchard, O. and Fischer, S. (1989). Lectures in Macroeconomics, The MIT Press, Ch. 6.
 
 The New Keynesian model – Part I
Language: English Frequence: January-February Hours: 9
Professor: Federico Giri eMail: f.giri@univpm.it  
Objectives of the Course:

The aim of this course is to provide a short introduction of the standard New Keynesian framework in order to understand the most recent developments in monetary policy theory.

Programme:

  • The basic New Keynesian Model: An introduction.
  • The demand side: The households problem and the Euler equation of consumption.
  • The supply side: from firms’ maximization problem to the New-Keynesian Phillips curve.
  • The Policy block: The central bank and monetary policy rules.
  • Solution methods.
  • Policy applications: Technological and monetary policy impulse response functions.
Reading List:
Galì, J. (2015). Monetary Policy, Inflation and the Business Cycle: An Introduction to the New Keynesian Framework, Second Edition, Princeton University Press.
Walsh, C. E. (2010). Monetary Theory and Policy, Third Edition, MIT Press, Cambridge,MA.
 
The New Keynesian model – Part II
Language: English Frequence: February Hours: 6
Professor: Domenico Delle Gatti eMail: domenicodellegatti@unicatt.it  
Objectives of the Course:

This course deals with New Keynesian DSGE models with “financial frictions”.

Programme:

  • Bernanke-Gertler-Gilchrist (1999) (BGG) model.
  • A NK model with housing and borrowing constraints.
  • Financial intermediation and unconventional monetary policy in a DSGE framework: Gertler-Kiyotaki (2010) (GK).
Reading List:
Bernanke, B., Gertler, M. and Gilchrist, S. (1999). The Financial Accelerator in a Quantitative Business Cycle Framework. In Taylor, J. and Woodford, M. (Eds.), Handbook of Macroeconomics, Elsevier.
Iacoviello, M. (2005). House prices, borrowing constraints, and monetary policy in the business cycle, The American Economic Review, 95(3), pp. 739-764.
Gertler, M. and Kiyotaki, N. (2010). Financial Intermediation and Credit Policy in Business Cycle Analysis. In Friedman, B.M. and Woodford, M. (Eds.), Handbook of Monetary Economics, Elsevier.
 
 Monetary policy – Part I
Language: English Frequence: February Hours: 4
Professor: Fedrico Giri eMail: f.giri@univpm.it  
Objectives of the Course:

The aim of this course is to provide a short introduction of the standard New Keynesian framework in order to understand the most recent developments in monetary policy theory.

Programme:

  • Optimal monetary policy under discretion
  • Optimal monetary policy under commitment
  • Optimal monetary policy under a zero lower bound of nominal interest rate
Reading List:

Galì, J. (2015). Monetary Policy, Inflation and the Business Cycle: An Introduction to the New Keynesian Framework, Second Edition, Princeton University Press.

 
 Monetary policy – Part II
Language: English Frequence: February Hours: 10
Professor: Alessandro Notarpietro eMail: alessandro.notarpietro@gmail.com  
Objectives of the Course:

The aim of this course is to provide an overview of the design of optimal monetary policy. In particular, the course will cover optimal monetary policy under discretion and commitment and the case of optimal policy at the zero lower bound, forward guidance and quantitative easing.

Programme:

  • Introduction.
  • The basic New Keynesian model.
    • The efficient allocation.
    • Sources of inefficiencies.
    • Optimal monetary policy implementation (simple interest rate rules).
    • Optimal monetary policy design in the New Keynesian framework: discretion.
  • Unconventional monetary policy: forward guidance, quantitative easing.
Reading List:
Bernanke, B. (2013). Monetary Policy since the Onset of the Crisis, Remarks at the Federal Reserve Bank of Kansas City Economic Symposium, Jackson Hole, Wyoming, August 31, 2012.
Bernanke, B. (2013). Communication and Monetary Policy, Remarks at the National Economists Club Annual Dinner, Herbert Stein Memorial Lecture, Washington, D.C.,  November 19, 2013.
Galì, J. (2015). Monetary Policy, Inflation and the Business Cycle: An Introduction to the New Keynesian Framework, MIT Press, 2nd edition,  ch.1, 3-5.
Walsh, C.E. (2010). Monetary Theory and Policy, MIT Press, 3rd edition.
Woodford, M. (2003). Interest and Prices: Foundations of a Theory of monetary Policy, Princeton University Press.
 
 Fiscal Policy - Part I
Language: English Frequence: February Hours: 5
Professor: Agnese Sacchi eMail: agnese.sacchi@uniroma1.it  
Objectives of the Course:

The aim of this course is to provide the basic theory and practice on public spending and its growth within the more general framework of fiscal policy.

Programme:

  • Public spending growth: some facts and data.
  • The theory on public spending growth (the Wagner Law; the Peacock-Wiseman hypothesis).
  • The demand of public spending (the excess bias; the Meltzer and Richard model).
  • The supply factors of public spending (logrolling and interest groups; bureaucracy).
Reading List:
Mueller, D.C. (2003). Public Choice III, Ch. 21, pp. 501-530.
A reading list on specific topics will be provided during the course.
 
 Fiscal Policy - Part II
Language: English Frequence: March Hours: 5
Professor: Raffaella Santolini eMail: r.santolini@univpm.it  
Objectives of the Course:

The course illustrates theories of debt accumulation and career concern in public expenditure decisions.

Programme:

  • Issues on budget deficits and fiscal policies.
  • Ricardian equivalence.
  • Tax smoothing.
  • Theories of the debt accumulation.
  • Career concern model and expenditure policy.
Reading List:
Romer, D. (2006). Advanced Macroeconomics – 3rd Edition, McGraw-Hill.
Persson, T., Tabellini, G. (2000). Political Economics-Explaining economic policies, The MIT Press.
   

Macroeconomics Topics

 
 Agent-based model
Language: English Frequence: September Hours: 6
Professor: Antonio Palestrini eMail: a.palestrini@univpm.it  
Professor: Alberto Russo eMail: a.russo@univpm.it  
Objectives:

UNDER CONSTRUCTION

 
Structural change, diversification and modern economic growth
Language: English Frequence: June Hours: 3
Professor: Massimo Tamberi eMail: m.tamberi@univpm.it  
Objectives:

Understanding of the general context about structural change; detailed knowledge about recent literature on productive diversification.

Programme:

  • General consideration on structural change- structural change  as a multifaceted phenomenon: a rapid glance to different literature fields related to subject.
  • Recent literature on product/export diversification and productivity diversification
Reading List:
Kuznets S. (1973). Modern Economic Growth: Findings and Reflections, American Economic Review, 63(3), 247-258.
Matsuyama K.  (2008). Structural Change, in Blume L. and Durlauf S. (eds), New Palgrave Dictionary of Economics, 39(3), 335-351
Cadot O., Carrere C., Strauss-Kahn V. (2011). Export Diversification: What’s Behind the Hump?, The Review of Economics and Statistics, 93(2), 590-605.
 
 Wavelet methods for economics and finance
Language: English Frequence: June Hours: 3
Professor: Marco Gallegati eMail: marco.gallegati@univpm.it  
Objectives:

Introduce PhD students to the continuous and discrete wavelet transforms for exploratory and time scale regression analysis in economics and finance.

Programme:

  • Continuous wavelet transform: wavelet power spectrum, coherence and phase.
  • Discrete wavelet transform: wavelet multi-resolution decomposition analysis.
  • Time scale regression decomposition analysis.
Reading List:
Gencay R., Selcuk F., Whitcher, B. (2001). An Introduction to Wavelets and
Other Filtering Methods in Finance and Economics, San Diego Academic
Press, San Diego.
Percival, D.B. and Walden, A.T. (2000). Wavelet Methods for Time Series
Analysis, Cambridge University Press, Cambridge.
Ramsey, J.B. (2002). Wavelets in economics and finance: Past and
future, Studies in Nonlinear Dynamics & Econometrics, vol.6(3), 1-29.
Ramsey, J. B., (2010). Wavelets. In Durlauf, Steven and Lawrence Blume (Eds.),
The New Palgrave Dictionary of Economics, Palgrave Macmillan.