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Quantitative Macroeconomics

(10144708 / 10144726 / 10144711)


Type Lecture / Tutorial / Seminar
ECTS 12 ECTS (Master)


Current Information

Module in the Master's Program

  • Economics: Methods in Economic Policy Analysis
  • Public Economics: Methods in Economic Policy Analysis

Module Description

This course aims to introduce students to state-of-the-art quantitative macroeconomics with a focus on monetary policy analysis and nominal rigidities. In particular, students learn to work with dynamic dynamic structural general equilibrium (DSGE) models and to confront these models with data using structural vector autoregressions (SVARs). Theory is accompanied using the software Matlab.

Contents (preliminary)

  1. Introduction
    1. Overview
    2. Recap on RBC theory
    3. A classical monetary model
  2. A basic New Kenesian macroeconomic Model
    1. Towards nominal rigidities
    2. Model overview
    3. Households
    4. Firms and production
    5. Policy and shocks
  3. Solving quantitative DSGE models
    1. Background
    2. Log-linearizing the New Keynesian Model
    3. Solving and assessing stability of linearized models
    4. Dynamic programming and value function iteration
    5. Solving a DSGE model with Dynare
  4. Monetary policy in the New Keynesian Model
    1. Monetary policy transmission
    2. Towards inflation targeting
    3. Discretion vs commitment
    4. Monetary and fiscal interactions and the zero lower bound
    5. Quantitative evaluation: Model vs data
    6. Model critique and potential solutions
  5. Deriving stylized facts from time series data: SVARs for monetary policy analysis
    1. Introduction
    2. General remarks on VAR processes
    3. Some issues in VAR implementation
    4. Structural identification of monetary policy VARs

Language: English

Examination form: Term paper on project work (about 12 pages), presentation of project work in seminar (approx. 30 minutes), additional assignments

Contact: Prof. Dr. Britta Gehrke, ls-makrooekonomik@wiwiss.fu-berlin.de


  • Gali, Jordi: Monetary Policy, Inflation and the Business Cycle: An Introduction to the New Keynesian Framework, Princeton University Press, 2008.
  • Canova, Fabio: Methods for Applied Macroeconomic Research, Princeton University Press, 2007.