Week 1

  1. Introduction to the history of thought

    Slides for Lecture 1. [Link here].

    Video Recording of Lecture 1 Part 1 [Link here]

    Video Recording of Lecture 1 Part 2 [Link here].

  2. Introduction to DSGE Modeling

    Slides for Lecture 2. [Link here].

    Video Recording of Lecture 2 Part 1 [Link here]

    Video Recording of Lecture 2 Part 2 [Link here]

Week 3

  1. The Kalman Filter

    Slides for Lecture 5. [Link here].

    Video Recording of Lecture 5 Part 1 [Link here]

    Video Recording of Lecture 5 Part 2 [Link here].

  2. Markov Chain Monte-Carlo

    Slides for Lecture 6. [Link here].

    Video Recording of Lecture 6 Part 1 [Link here]

    Video Recording of Lecture 6 Part 2 [Link here]

Week 5

  1. Keynesian and Classical Search Theory

    Slides for Lecture 9. [Link here]. Updated March 16th 2022

    Video Recording of Lecture 9 Part 1 [Link here]

    Video Recording of Lecture 9 Part 2 [Link here].

  2. The Indeterminacy School in Macroeconomics

    Slides for Lecture 10. [Link here].

    Video Recording of Lecture 10 Part 1 [Link here]

    Video Recording of Lecture 10 Part 2 [Link here]

Week 2

  1. The Jordan and QZ Decompositions

    Slides for Lecture 3. [Link here].

    Video Recording of Lecture 3 Part 1 [Link here]

    Video Recording of Lecture 3 Part 2 [Link here].

  2. Money in DSGE models

    Slides for Lecture 4. [Link here].

    Video Recording of Lecture 4 Part 1 [Link here]

    Video Recording of Lecture 4 Part 2 [Link here]

Week 4

  1. VAR Modeling

    Slides for Lecture 7. [Link here]. (Updated March 9th 2022)

    Video Recording of Lecture 7 Part 1 [Link here]

    Video Recording of Lecture 7 Part 2 [Link here].

  2. Cointegration

    Slides for Lecture 8. [Link here].

    Video Recording of Lecture 8 Part 1 [Link here]

    Video Recording of Lecture 8 Part 2 [Link here]

Problem Sets

  1. Problem Set 1 : Due by Friday February 25th

  2. Problem Set 1: With Answers

  3. Matlab Code: for Problem Set 1

  4. Problem Set 2: Due by Friday March 4th

  5. Matlab Code: for Problem Set 2

  6. Problem Set 3: [Updated March 7th 2022] Due by Friday March 11th

  7. Problem Set 4: Due by Friday March 18th

Past Exam Questions

  1. Exam Questions from 2016-17 with answers

  2. Exam Questions from 2017-18 with answers

  3. Exam Questions from 2018-19 with answers

  4. Exam Questions from 2019-20 with some answers

  5. September Exam Questions from 2019-20 with answers

  6. Practice Exam Questions with answers

Readings in order of appearance

  1. Farmer, Roger E. A. The Macroeconomics of Self-Fulling Prophecies. Chapter 1. Third edition. In progress.

  2. Farmer, Roger E. A. The Macroeconomics of Self-Fulling Prophecies. Chapter 2. Third edition. In progress.

  3. Farmer, Roger E. A. The Macroeconomics of Self-Fulling Prophecies. Chapter 3. Third edition. In progress.

  4. Farmer, Roger E. A. The Macroeconomics of Self-Fulling Prophecies. Chapter 4. Third edition. In progress.

  5. Farmer, Roger E.A. How the Economy Works. Oxford University Press Kindle Edition [Link Here] (2010)

  6. Farmer, Roger E.A. Expectations Employment and Prices. Oxford University Press Kindle Edition [Link Here] (2010)

  7. Farmer, Roger E.A. Prosperity for All. Oxford University Press Kindle Edition [Link Here] (2017)

  8. Farmer, Roger E. A. “The Natural Rate Hypothesis: An idea past its sell-by-date”. Bank of England Quarterly Bulletin, September Q3, 244-256, (2013) [Link Here]

  9. Farmer, Roger E. A. “The Importance of Beliefs in Shaping Macroeconomic Outcomes”. Oxford Review of Economic Policy, (2021), 36(3) 675-711 (2021). [Link here]

  10. Farmer, Roger E. A. “The Indeterminacy School in Macroeconomics" Oxford Encyclopedia of Economics and Finance (2020). [Link here].

  11. Farmer, Roger E. A. “The Role of Financial Policy”. Review of Keynesian Economics 6(4) 446-460 2018, [Link here]

  12. Farmer, Roger E. A. “Post-Keynesian Dynamic Stochastic General Equilibrium Theory” European Journal of Economics and Economic Policies: Intervention 2017 (2017). [Link here].

  13. Farmer, Roger E. A. Vadim Khramov and Giovanni Nicoló, “Solving and Estimating Indeterminate DSGE Models”,  Journal of Economic Dynamics and Control, 54, 17-36 (2015). [Link here].

  14. Farmer, Roger E. A. and Andreas Beyer, “What we Don't Know about the Monetary Transmission Mechanism and why we Don't Know it”, Macroeconomic Dynamics, 12 S1 pp 60-74, (2008) [Link here].

  15. Farmer, Roger E. A. “Confidence Crashes and Animal Spirits”. Economic Journal, 122, 155-172, 2012 [Link here]

  16. Farmer, Roger E. A. “The stock market crash of 2008 caused the Great Recession” Journal of Economic Dynamics and Control 36, 693-707 (2012) [Link here]

  17. Farmer, Roger E. A. “The stock market crash really did cause the Great Recession” Oxford Bulletin of Economics and Statistics 77(5) 617-633 (2015) [Link here]

  18. Farmer, Roger E. A. and Giovanni Nicolò, “Keynesian economics without the Phillips curve”, Journal of Economic Dynamics and Control, 89 137-150, (2018) [Link here]

  19. Farmer, Roger E. A. and Giovanni Nicolò, “Some International Evidence for Keynesian Economics Without the Phillips Curve”, The Manchester School, accepted August 2019, 2021 forthcoming, [Link here]

  20. Phillips, Auban W. “The relation between unemployment and the rate of change of money wage rates in the United Kingdom, 1861–1957”, Economica 25(100), 283-299 (1958) [Link here].

  21. Lucas, Robert E. Jr. “Expectations and the Neutrality of Money”, Journal of Economic Theory 4, 103-124 (1972). [Link Here]

  22. Kydland, Finn E. and Edward C. Prescott. “Time to Build and Aggregate Fluctuations” Econometrica, 50(6) 1345-1370 (1982) [Link Here]

  23. Pigou, Arthur C. Industrial Fluctuations (1923) McMillan and Co. London. [Link here]

  24. Smets, Frank and Rafael Wouters. “Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach”, American Economic Review 97(3) 586-606 (2007) [Link here]

  25. Levintal, Oren “Fifth Order Perturbation Solutions to DSGE Models” (Levintal 2017). [Link to pdf]. [Appendix Link here].

  26. Sims, Christopher. “Solving Linear Rational Expectations Models”. Springer; Society for Computational Economics, 20(1-2), 1-20, (2002) [Link here]. [Link to code here] [Link to updated Tau Zha code here].

  27. Schmitt-Grohé, Stephanie and Martín Uribe “Solving Dynamic General Equilibrium Models Using a Second- Order Approximation to the Policy Function”, (Schmitt-Grohé-Uribe 2004). [Link to pdf].

  28. Blanchard, Olivier Jean and Charles M. Kahn “The Solution of Linear Difference Models Under Rational Expectations”, Econometrica 48(5) (1980) [Link here]

  29. Friedman, Milton. “The Role of Monetary Policy”, American Economic Review 58(1) (1968) [Link here]

  30. Phelps, Edmund (ed) Microeconomic Foundations of Employment and Inflation Theory Edward Norton (1973) [Link here]

  31. Gali, Jordi Monetary Policy, Inflation and the Business Cycle: An Introduction to the New Keynesian Framework, Second Kindle Edition Princeton (2015) [Link here]

  32. Rotemburg, Julio, “Sticky Prices in the United States”, Journal of Political Economy 90(6) 1187-1211 (1982) [Link here].

  33. Lubik, Thomas and Frank Schorfheide, “Indeterminacy: An Application to U.S. Monetary Policy”, American Economic Review , 94(1) 190- 217 (20014) [Link here]

  34. Clarida, Richard, Jordi Galí and Mark Gertler, “Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory”, Quarterly Journal of Economics, 115(1) 147-180 (2000) [Link here]

  35. Leeper, Eric “Equilibria under Active and Passive Fiscal Policies” (Leeper 1991). [Link here].

  36. Sargent, Thomas J. and Neil Wallace, “Rational Expectations, the Optimal Monetary Instrument and the Optimal Money Supply Rule”, Journal of Political Economy, 83(2) 241-254, (1975) [Link here].

  37. McCallum, Bennett, “Price Level Determinacy with an Interest Rate Policy Rule and Rational Expectations”, Journal of Monetary Economics, 8(3) 319-329 (1981) [Link here]

  38. Chib, Siddhartha and Edward Greenberg, “Understanding the Metropolis Hastings Algorithm”, The American Statistician, 49(4) 327-335 (1995) [Link here].

  39. Kalman, Rudolf E. “A New Approach to Linear Filtering and Prediction Problems”, Transactions of the ASME–Journal of Basic Engineering, 82 (Series D): 35-45 (1960). [Link here].

  40. Hamilton James, Time Series Analysis, Princeton University Press Chapter 4 [Link here], and Chapter 13 [Link here].

  41. Lucas, Rober E. Jr. Carnegie Rochester Conference Series on Public Policy, Karl Brunner and Alan Meltzer, eds. (1976). [Link here].

  42. Sims, Christopher. “Macroeconomics and Reality”, Econometrica 48(1) 1—48 (1980). [Link here].

  43. Stock, James and Mark Watson. “Vector Autoregressions”. Journal of Economic Perspectives, 15(4) 101-115 (2001). [Link here].

  44. Giannone, Domenico, Michele Lenza and Giorgio E. Primiceri, “Prior Selection for Vector Autoregressions”, Review of Economics and Statistics 97(2) 436-451 (2015). [Link here].

  45. Beveridge, Stephen and Charles R. Nelson. “A New Approach to Decomposition of Economic Time Series into Permanent and Transitory Components with Particular Attention to Measurement of the ‘Business Cycle’”, Journal of Monetary Economics 7, 151-174, (1981) [Link here].

  46. Nelson, Charles R. “The Beveridge-Nelson Decomposition in Retrospect and Prospect”, Journal of Econometrics

    146(2), 202-206, (2008) [Link here to preprint].

  47. Lettau, Martin and Sydney Ludvigson, “Consumption, Aggregate Wealth, and Expected Stock Returns”, Journal of Finance, 56(3), 815-849 (2001) [Link here]

  48. Box, George E. P., Gwilym M. Jenkins and Gregory C. Reinsel Time Series Analysis, Forecasting and Control, John Wiley and Sons, London [4th edition Link here]

  49. Beyer, Andreas and Roger E. A. Farmer, “Natural Rate Doubts”, Journal of Economic Dynamics and Control, 31, 797-825 (2007) [Link here]

  50. Keynes, John Maynard, The General Theory of Employment Interest and Money, (Keynes 1936). [Link here].

  51. Rogerson, Richard, Robert Shimer and Randall Wright, “Search-Theoretic Models of the Labor Market: A Survey”, Journal of Economic Literature 43, 959-988, (2005) [Link here]

  52. Dow, J. C.R. and and L. A. Dicks-Mireaux, “The Excess Demand for Labour. A Study of Conditions in Great Britain, 1946-56” Oxford Economic Papers, 10(1) 1-33 (1958) [Link here]

  53. Hosios, Arthur, J. “On the Efficiency of Matching and Related Models of Search and Unemployment”, The Review of Economic Studies, 57(2) 279-298 (1990) [Link here]