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
  • Human Capital–Based Fully–Endogenous, and R&D–Based Semi–Endogenous Economic Growth Models
  • Real business cycles
  • Consumption & Investment
  • The new Keynesian model
  • Monetary policy
  • Fiscal policy
  • Agent-based model
 

 Economic growth theory

Language: English Frequence: February-March 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.
  • 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.
 

 Human Capital–Based Fully–Endogenous, and R&D–Based Semi–Endogenous Economic Growth Models

Language: English Frequence: March Hours: 6
Professor: Alberto Bucci eMail: alberto.bucci@unimi.it  
Objectives:

The course aims at offering a major focus on: (i) One– and Two–sectors Human capital–based fully–endogenous growth theory, and on (ii) Multi–sector R&D–based semi–endogenous growth models.

Programme:

Part I: Education, and Human Capital–Based Fully–Endogenous Growth

  • The One–Sector Model with Physical and Human Capital: The Basic Setup;
  • The One–Sector Model with Physical and Human Capital: The constraint of non–negative gross investment;
  • The One–Sector Model with Physical and Human Capital: The constraint of non–negative gross investment (transitional dynamics analysis);
  • The Two–Sectors Model with Physical and Human Capital: The Uzawa–Lucas Model (BGP equilibrium analysis).

Part II: R&D–Based Semi–Endogenous Economic Growth: Strong vs. weak scale effects of population

Reading List:
R.J. Barro and X. Sala–i–Martin (2004). “Economic Growth”, Second Edition, Cambridge, Massachusetts: MIT Press, Chapter 5, pp. 239-247, (Paragraph 5.1); Chapter 5, pp. 251-253 (with the exclusion of the Transitional Dynamics); Chapter 5, pp. 271-274 (Paragraph 5.5, Appendix 5A); Chapter 5, pp. 274-276 (Paragraph 5.6, Appendix 5B).
Jones, C.I. (2005). Growth and Ideas. In: Aghion, P. and S.N. Durlauf (Eds.), Handbook of Economic Growth. Elsevier–North Holland, Amsterdam, Ch. 16, pp. 1063–1111.
Jones, C.I. and D. Vollrath (2013). “Introduction to Economic Growth”, Third Edition, New York: W.W. Norton & Company, Chapter 5, pp. 97-111 (Paragraph 5.1).
 

 Real business cycles

Language: English Frequence: February 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: March 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: March Hours: 12
Professor: Giulia Bettin eMail: g.bettin@univpm.it  
Objectives:

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: 7
Professor: Domenico Delle Gatti eMail: domenicodellegatti@unicatt.it  
Objectives:

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: April Hours: 6
Professor: Giulia Bettin eMail: g.bettin@univpm.it  
Objectives:

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: 9
Professor: Alessandro Notarpietro eMail: alessandro.notarpietro@gmail.com  
Objectives:

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

Language: English Frequence: March Hours: 5
Professor: Raffaella Santolini eMail: r.santolini@univpm.it  
Objectives:

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.
 

 Agent-based model

Language: English Frequence: September Hours: 19
Professor: Antonio Palestrini eMail: a.palestrini@univpm.it  
Professor: Alberto Russo eMail: alberto.russo@univpm.it  
Professor: Ruggero Grilli eMail: r.grilli@univpm.it  
Objectives:

The main goal is providing an introduction to Agent-Based Macroeconomics, namely Macroeconomics with Heterogeneous Interacting Agents. Basic concepts and tools will be learned by students and a presentation of advanced topics will be proposed to explore this relatively new field of investigation.

Programme:

These lectures are aimed at introducing students to Macroeconomics with Heterogeneous Interacting Agents. Some topics such as business cycles and economic growth, financial fragility, inequality, and crisis will be analysed within a “complexity economics” framework. The economy is an adaptive complex system in which the interaction among heterogeneous micro-entities gives rise to macro properties, from endogenous business cycles to large crises. Accordingly, the economic system is hardly in equilibrium, being characterized by perpetual motion and continuous innovation. Agent-Based Modelling is the main methodology we propose to study out-of-equilibrium dynamics of a complex economic system. We introduce the basic concepts regarding the micro-macro relationship, aggregation, agents’ behaviour and expectations, interaction and networks, calibration and validation. The typical algorithmic structure of an Agent-Based macroeconomic model and its computer simulation will be presented and discussed. We will provide students with a toolkit for analysing complex macro patterns and agents’ distributions. In particular, a step-by-step approach will be followed to build Agent-Based Models from the scratch, thus proposing an active learning during lectures. At the end of the course the student should be able to build her/his own (simple) model with Heterogeneous Interacting Agents.

Reading List:

Books:

  • Caiani A., Russo A., Palestrini A., Gallegati M. (2017), Economics with Heterogeneous Interacting Agents: A Practical Guide to Agent-Based Modelling, Springer
  • Delli Gatti D., Fagiolo G., Gallegati M., Richiardi M., Russo A. (2018), Agent-Based Models in Economics: A Toolkit, Cambridge University Press

Chapters

  • Delli Gatti D., Dawid H. (2018), Agent-based macroeconomics, in Hommes C., and B. LeBaron (eds.), Handbook of Computational Economics, Vol. 4: Heterogeneous Agent Models

Journal articles:

  • Botta A., Caverzasi E., Russo A., Gallegati M., Stiglitz J.E. (2018), Inequality and finance in a rent economy, Greenwich Papers in Political Economy 20377, University of Greenwich, Greenwich Political Economy Research Centre
  • Caiani A., Russo A., Gallegati M. (2018), Does inequality hamper innovation and growth? An AB-SFC analysis, Journal of Evolutionary Economics, first online
  • Caverzasi E., Russo A. (2018), Towards a new microfounded macroeconomics in the wake of the crisis, Industrial and Corporate Change, 27(6): 999-1014
  • Colasante A., Palestrini A., Russo A., Gallegati M. (2017), Adaptive expectations versus rational expectations: Evidence from the lab. International Journal of Forecasting 33(4): 988–1006
  • Delli Gatti D., Gallegati M., Greenwald B., Russo A., Stiglitz J.E. (2010), "The financial accelerator in an evolving credit network," Journal of Economic Dynamics and Control, 34(9): 1627-1650
  • Riccetti L., Russo A., Gallegati M. (2015), An agent based decentralized matching macroeconomic model, Journal of Economic Interaction and Coordination, 10(2): 305-332
  • Riccetti L., Russo A., Gallegati M. (2016), Financialisation and crisis in an agent based macroeconomic model, Economic Modelling, 52(PA): 162-172
  • Riccetti L., Russo A., Gallegati M. (2018), Financial regulation and endogenous macroeconomic crises, Macroeconomic Dynamics, 22(04): 896-930
  • Russo A., Riccetti L., Gallegati M. (2016), Increasing inequality, financial fragility and consumer credit in an agent based macroeconomic model, Journal of Evolutionary Economics, 26(1): 25-47
  • Website: http://www2.econ.iastate.edu/tesfatsi/ace.htm