Economics 8344

Economics 8344
Professors German Cubas and Bent Sorensen

Macro III (macro topics)

Fall 2018

Syllabus Updated Sep 23

Scheduling: Classes to be rescheduled so far: August 27, August 29, September 5, October 17, and October 22.

Make-up classes: Friday Sep 21, 4 pm; Friday Oct 26 4pm, Saturday Oct 27, 9am-12am (two presentations)

10/3 German lecture on income processes
10/5 German finish lecture on income processes
10/8 Xavier presents Consumption Inequality and Partial Insurance by Richard Blundell, Luigi Pistaferri, and Ian Preston, AER 2008
10/10 Liu presents Greg Kaplan & Benjamin Moll & Giovanni L. Violante, 2018. "Monetary Policy According to HANK," American Economic Review, vol 108(3), pages 697-743.
10/15 Nabila presents "WORKER BETAS: FIVE FACTS ABOUT SYSTEMATIC EARNINGS RISK", by Fatih Guvenen, Sam Schulhofer-Wohl, Jae Song, and Motohiro Yogo
10/24 Priyam presents "MICROECONOMIC HETEROGENEITY AND MACROECONOMIC SHOCKS" by Kaplan and Violante (JEP, forthcoming)
10/26 Jose presents "Risk and Return Trade-Offs in Lifetime Earnings"" by Eleonor Dillon, Journal of Labor Economics (2018).
10/27 Jia presents "Learning your earning: Are Labor Income shocks Really Very Persistent?" Faith Guvenen AER, 2007 and a paper that finds a different result "Labor income profiles are not heterogeneous: Evidence from income growth rates" Dmytro Hryshko, Quantitative Economics
10/29 Dingyi presents "Innovation and Top Income Inequality " by Philippe Aghion, Ufuk Akcigit, Antonin Bergeaud, Richard Blundell, and David Hemous, forthcoming Review of Economic Studies (2018)
10/31 Bent presents Moving to a Job: The Role of Home Equity, Debt, and Access to Credit by Yuliya Demyanyk, Dmytro Hryshko, Maria Jose Luengo-Prado, and Bent E. Sorensen. American Economic Journal: Macroeconomics 2017
11/5 Kritti presents "Entrepreneurship over the Life Cycle: Where are the Young Entrepreneurs?" by Andres Hincapie, University of North Carolina WP.
11/7 German presents Non-durable Consumption and Housing Net Worth in the Great Recession: Evidence from Easily Accessible Data by Greg Kaplan, Kurt Mitman, Giovanni L. Violante. NBER WP 22232 (This paper is of interest in itself, but we hope to get the Nielsen data for UH in the very near future, which is one important reason why we want to talk about this paper.) The paper builds on "Household Balance Sheets, Consumption, and the Economic Slump" by Atif Mian, Kamalesh Rao, and Amir Sufi, The Quarterly Journal of Economics, 128, 2013. You should read/skim that paper before class.

11/12 German finishes the Kaplan, Mitman, Violante paper and Bent talks about "The Rise and Fall of Consumption in the 2000s: A Tangled Tale" by Yuliya Demyanyk, Dmytro Hryshko, Maria Jose Luengo-Prado, and Bent E. Sorensen. Economica April 2018.

11/14 Xavier presents TBA and Priyam presents TBA.

11/19 Jia presents TBA and Nabila presents TBA.

Professors Cubas and Sorensen will co-teach the class, meaning that we aim to both be in most classes.

Course structure (tentative):

We will have 6-10 homeworks followed by in-depth student presentations (a full class each, but we will help you) and a final project.

The grade will be determined from your homeworks (20%), presentation (20%), participation (discussion other students presentations (20%), final project (40%). The final project is due TBA (around last day of class)

We will cover econometric methods commonly used for more (or less) structural models. We will start with the econometric tools and then we will cover some recent and/or influential articles that uses these tools. Everything is tentative, except that Bent will talk about Structural VARs the first week.

Note on Structural VARs.

GMM Notes part 1

GMM Notes part 2

GMM Notes part 3 (The first 2 pages are the most important. The theory is not going to be on exam.)

Andersen-Sorensen GMM 1996 (about estimating a Stochastic Volatility model, but the paper illustrates clearly some features of GMM estimation, which is why it is included here).

Andersen-Sorensen EMM 1999

Alastair Hall's GMM resources You may want to check out the lecture (as a supplement to the class's lectures) and Kostas Kyriakoulis's GMM Toolbox for MATLAB, which is linked there.

Hansen-Singleton GMM program, the data

Some VAR notes by Christopher Sims and Stock&Watson (skim these, or read them, we will not expect you to know details)

Blanchard-Quah paper (you don't need to know the detail, but know the logic of imposing long-run constraints)

Paper by Barsky and Eric Sims (this way of using VARs may become more common)

German's slides on heterogeneity in macroeconomics

German's slides on estimation of income processes

Homework 1: Estimate a VAR (I suggested looking at real GDP growth, unemployment, and interest rates) but you can chose other data. Plot impulse response functions. Explain how you determine the number of lags.

Homework 2 Matlab Hansen-Singleton pgm Due Wed October 24

Gauss program1 (some commands in program are obscure, they trap errors to prevent program from crashing, Bent will go over some of it in class).

Data