Lecture 1:  VAR Models

• Notes:  [pdf]

 

• Matlab codes for : 

• (1) Stock and Watson (2001), three-variable VAR, [zip]

• (2) Blanchard and Quah (1989), two-variable VAR, [zip]

• (3) Barsky and Sims (2012), SVAR, [zip]

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Lecture 2: Quantitative Analysis in DSGE Models: Simulation (I)---RBC Model

• Notes: [pdf] 

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• Dynare code for RBC:  1. linear version [file].  2. non-linear version [file]

• Download Dynare: [link]

• User guide for Dynare: [pdf]

• More details about how Dynare solves the linearized model: [pdf]

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Lecture 3: Quantitative Analysis in DSGE Models: Simulation (II)---New Keynesian Model

• Notes: [pdf]

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• Dynare codes:  [file]

 

      Other Applications：

• Notes: [pdf]

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• Dynare codes:

               1. Asset pricing in production economy [file]. 

               2. Expectation driven business cycles:

                   a. RBC [file] ; 

                   b. Jaimovich and Rebelo (2009, AER) [file]

               3. RBC with firm dynamics (to be added)

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Lecture 4: Quantitative Analysis in DSGE Models: Estimation 

• Notes: [pdf]

• Dynare codes:

       a. generate artificial data from RBC model [file]  

       b. estimate the RBC model using the artificial data [file]

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• Further readings for Iskrev identification test:

       a. Iskrev (2010, JME), [pdf]

       b. Implementing Iskrev test in Dynare, [pdf]

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• Dynare codes for some examples:

       a. Estimating China's production function with factor utilization [file]  [Data]

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Lecture 5: Dynamics in Deterministic Dynamic General Equilibrium Models

• Notes: [pdf]

• Dynare codes:

       a. Transitional path in a RBC model [file]

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Lecture 6: Heterogeneous Agents in DSGE Model

• Heterogeneous households,  

      Notes: to be added,  

      Dynare codes:  to be added

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• Heterogeneous firms, (Based on Wang, Wen and Xu, 2016: pdf),

      Technical Notes: [pdf],

      Dynare codes:[file]

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