Macroeconomics II (Advanced Macroeconomic Analysis II)

Description:
The module Advanced Macroeconomic Analysis II deepens key empirical and theoretical methods in modern macroeconomics. In the first part (taught by Chi Hyun Kim), students learn how linear Vector Autoregressions (VARs) and Local Projections (LPs) are connected to representative agent models (RA DSGEs). They develop an understanding of how shocks are defined and interpreted in DSGE models and how linearized DSGEs can approximately imply VAR representations. Building on this, structural VARs and Local Projection approaches are introduced to empirically identify and quantify macroeconomic dynamics. In the second part of the course (taught by Ben Schumann), the focus shifts to the analysis of heterogeneous agent models (HANKs). Students learn how such models can be solved, calibrated, and empirically estimated to study questions related to distribution, consumption and wealth heterogeneity, and the transmission of policy measures.

Literature:
Kilian, Lutz, and Helmut Lütkepohl. Structural vector autoregressive analysis. Cambridge University Press, 2017.
Auclert, Adrien, et al. "Using the sequence‐space Jacobian to solve and estimate heterogeneous‐agent models." Econometrica 89.5 (2021): 2375-2408.

Time & venue:
Wednesdays, 08:30-12:00; HU Berlin, Spandauer Str. 1, room 21A

Exam:
Written exam (90 min)

More information can be found on Moodle.