Econ6012: Macroeconomic Theory (Fall 2017)
September 7, 2017: The midterm test will be held on October 25
(Wednesday) in class (from 6:45-9:15pm). It is a two and half hours exam and is
open book and open notes.
November 22, 2017: We will have a makeup lecture from 2-4pm on December 2,
2017 (Sat) in KKLG106, K K Leung Building. This lecture is optional.
November 29, 2017: The final exam is closed book closed
notes, but students are allowed to bring one A4 paper with
handwritten or printed notes on both sides. I will hold office hours on
December 12 from 12-2:30pm.
- Topic 1: (Warm-up) Intertemporal Optimization (Optimal Control and
Dynamic Programming) and their Applications to Deterministic
Consumption-Saving Problems. [slides] Matlab
programs to solve the optimizing consumption-saving problem using value
function iteration: [IterateVF.m], [IterateGraph.m], and [ConvergeVF.m]
Introduction to Matlab.
- Topic 2: Economic Growth: Infinite-horizon Growth Models. [Slides]
Here are notes on solving difference and differential equations,
- Topic 3: Economic Growth II: OLG Models and Endogenous Growth Models. [Slides]
- Topic 4: Uncertainty, Expectations, and Economic Dynamics. [Slides]
Matlab codes to simulate an Markov chain: [markov.m]
and an AR(1) process: [ar1.m][arsim.m].
- Topic 5: Stochastic Growth and Real Business Cycles. [Slides]
Here is a
link to Chapter 1 (Economic Growth and Business Cycles) in Frontiers
of Business Cycle Research edited by Thomas Cooley. Chris Sims' website
on solving linear RE models
note on the computational method. Harold Uhlig's website for
"A toolkit for analyzing nonlinear economic dynamic models."
- Topic 6: Stochastic Growth and Real Business Cycles (II). [Slides]
Matlab codes to solve Lyapunov equation: [lyapcs.m]
or [lyapcsd.m]. Matlab programs to solve the optimal
linear regulator problem: [olrp.m] and [doubleo.m],
and solve the LQ version of an RBC model: [lqrbc0.m].
- Topic 7: Intertemporal Consumption and Saving. [Slides]
- Topic 8: Portfolio Choice and Consumption-based Asset Pricing. [Slides]
- Topic 9: Optimal Investment. [Slides]
Problem Set 1 (Due on September 27, Wed, in
class) Suggested solutions to problem set 1
Problem Set 2 (Optional)
Suggested solutions to problem set 2
Problem Set 3
Suggested solutions to problem set 3
Problem Set 4
Suggested solutions to problem set 4