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Cultural & Institutional Economics (ECO-AD-CLTINSECO)


Department ECO
Course category ECO Advanced courses
Course type Course
Academic year 2022-2023
Term BLOCK 3
Credits ,5 (EUI Economics Department)
  • Lecturer Eva Tene (Max Weber Fellow)
Contact Simonsen, Sarah




Details and additional references (preliminary)

  1. Introduction to VARs
    1. Mapping with DSGE models
    2. Wold Theorem
  • Fernández-Villaverde, J., Rubio-Ramírez, J. F., Sargent, T. J., Watson, M. W., (2007): “ABCs (and Ds) of understanding VARs”, American Economic Review
  1. VAR specification & estimation
    1. Non-stationarity
    2. Lag-length & variables
    3. Estimation in unrestricted VARs
    4. Estimation in restricted VARs
  • Stock J., (1987) “Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors”, Econometrica
  • Stock, J., Sims, C., Watson, M., (1990): “Inference in linear time series models with some unit roots”, Econometrica
  1. Primer on New Keynesian models
    1. Foundations
    2. Monetary policy
  • Christiano L.J., Eichenbaum M., and Evans C.L., (2005): “Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy”, Journal of Political Economy
  • Galì J., (2018): “The State of New Keynesian Economics: A Partial Assessment”, Journal of Economic Perspectives
  1. Structural VARs
    1. Impulse response function
    2. Forecast error variance decomposition
    3. Historical decomposition
  1. Identification strategies
    1. Zero Short-Run restrictions
    2. Zero Long-Run restrictions
    3. Medium Run restrictions
    4. Sign Restrictions
    5. Testing Invertibility
    6. External Instruments
  • Christiano L.J., Eichenbaum M., and Evans C.L., (1999): “Monetary policy shocks: What have we learned and to what end?”, Handbook of Macroeconomics - Chapter 02
  • Stock, J.H. Watson, M.W. (2001): “Vector Autoregressions”, Journal of Economic Perspectives
  • Blanchard, O.J. and Quah, D. (1989): "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review
  • Uhlig H., (2005): "What are the effects of monetary policy on output? Results from an agnostic identification procedure," Journal of Monetary Economics
  • Wolf, C. K. (2020): "SVAR (Mis)identification and the Real Effects of Monetary Policy Shocks," American Economic Journal: Macroeconomics
  • Beaudry P., Feve P., Guay A., and Portier F. (2020): "When is Nonfundamentalness in SVARs a Real Problem?" Review of Economic Dynamics
  • Forni, M, Gambetti, L, Sala, L. (2019): “Structural VARs and noninvertible macroeconomic models,” Journal of Applied Econometrics
  • Forni, M., Gambetti, L. (2014): “Sufficient information in structural VARs”, Journal of Monetary Economics
  • Stock, J., and Watson M (2012): “Disentangling the Channels of the 2007-2009 Recession,” Brookings Papers on Economic Activity
  • Mertens, K. and M. O. Ravn (2013): “The Dynamic Effects of Personal and Corporate Income Tax Changes in the United States,” American Economic Review
  • Gertler, M. and P. Karadi (2015): “Monetary Policy Surprises, Credit Costs, and Economic Activity,” American Economic Journal: Macroeconomics
  • Noh, E. (2018): “Impulse-response analysis with proxy variables,” Mimeo.
  • Paul, P. (2020): “The Time-Varying Effect of Monetary Policy on Asset Prices,” The Review of Economics and Statistics
  1. Local Projections
    1. LP-IV
  • Jordà, Ò. (2005): "Estimation and Inference of Impulse Responses by Local Projections," American Economic Review
  • Ramey V. (2016) “Macroeconomic Shocks and Their Propagation,” Handbook of Macroeconomics
  • Stock, J. H. and M. W. Watson (2018): “Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments,” The Economic Journal
  1. Comparison VARs and Local Projections
  • Plagborg-Møller, Mikkel, and C. K. Wolf (Forth): “Local Projections and VARs Estimate the Same Impulse Responses,” Econometrica
  • Herbst E.P., and B.K. Johannsen (2020): “Bias in Local Projections,” Finance and Economics Discussion Series 2020-010. Washington: Board of Governors of the Federal Reserve System

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Page last updated on 21 September 2018

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