Duration
30h Th
Number of credits
| Master in economics : general (120 ECTS) | 5 crédits |
Lecturer
Language(s) of instruction
English language
Organisation and examination
Teaching in the first semester, review in January
Schedule
Units courses prerequisite and corequisite
Prerequisite or corequisite units are presented within each program
Learning unit contents
The first part covers introductory theory on VAR, and methods used in the literature to identify macroeconomic shocks (Cholesky, sign restrictions, use of high-frequency financial data). The VAR analysis provides the student with tools to empirically assess the interaction between monetary policy, financial variables and macroeconomic developments. First, with the use of financial variables (stock price, bond yields) in the identification of monetary policy transmission channels. Second, in the study of the effect of monetary news on financial markets and macro variables.
Lectures are then dedicated to the discussion of the Global Financial Crisis and to the financial extensions of the New Keynesian DSGE models that emerged in the post-GFC literature. A practical implementation of such a financial extension takes place in this second part of the course.
Learning outcomes of the learning unit
Improve understanding of macro and financial linkages, in particular between monetary policy, financial variables and macroeconomic developments.
Improve knowledge of mainstream macro models, and their practical implementation through econometric softwares.
Prerequisite knowledge and skills
Advanced econometrics, introductory courses on macroeconomics and monetary policy
Planned learning activities and teaching methods
This course consists in a combination of lectures on theory and hands-on computer sessions.
Mode of delivery (face to face, distance learning, hybrid learning)
Blended learning
Additional information:
Mostly face-to-face. Some sessions may be held virtually.
Recommended or required readings
- Gali, 2015, Monetary Policy, Inflation, and the Business Cycle, Princeton, 2nd edition.
- Kilian and H. Lütkepohl, 2017, Structural Vector Autoregressive Analysis, Cambridge University Press.
- Adrian, Tobias, Fernando Duarte, Nellie Liang, and Pawel Zabczyk. 2020. "NKV: A New Keynesian Model with Vulnerability." AEA Papers and Proceedings, 110: 470-76.
- Carlo Altavilla, Luca Brugnolini, Refet Gurkaynak, Roberto Motto and Giuseppe Ragua, 2019, Measuring euro area monetary policy, Journal of Monetary Economics 2019, vol. 108, https://doi.org/10.1016/j.jmoneco.2019.08.016
- Philippe Andrade and Filippo Ferroni, 2021, Delphic and odyssean monetary policy shocks:
Evidence from the euro area, Journal of Monetary Economics 2021, vol. 117,
https://doi.org/10.1016/j.jmoneco.2020.06.002 - Lawrence J. Christiano, Martin Eichenbaum and Charles L. Evans, 1999, Monetary policy
shocks: What have we learned and to what end?, NBER working paper 6400. - Marek Jarocinski and Peter Karadi, 2020, Deconstructing Monetary Policy Surprises The Role of Information Shocks, American Economic Journal: Macroeconomics 2020, 12(2): 143 https://doi.org/10.1257/mac.20180090
Written work / report
Additional information:
Assignments only, no exam.
In the main assignment, students use VAR methods to analyze the effects of monetary policy or macroeconomic policy or shocks on macro and financial variables. They are asked to apply programming or software techniques seen in class to solve and estimate VAR models.
A second, small-scale assignment on the solution and simulation of a simple New Keynesian DSGE model with financial frictions.
Work placement(s)
Organisational remarks and main changes to the course
Contacts
thomas.lejeune@uliege.be