Stochastic macroeconomic models

Aims of the course

- To provide students the basics of stochastic dynamic optimization.
- To provide the applications of optimization in basic macroeconomic models.
- To study some selected stochastic macroeconomic models and present their relevance for economic policy analysis.

Course syllabus

1. Time series - two basic tools
1.1 Markov chains
1.2 Stochastic linear difference equations
2. Linear quadratic dynamic programming
2.1 The optimal linear regulator problem
2.2 The stochastic linear regulator problem
2.3 The Kalman filter
3. Competitive equlibrium with complete markets
3.1 Basic setting
3.2 Asset pricing
3.3 Arrow securities
3.4 Cost of business cycles
4. Asset pricing
5. Optimal social insurance
6. Stochastic dynamic general equilibrium model of monetary policy
7. Stochastic growth model

Course director(s)

  • Office Hours
  • Monday at 14:30 in RZ-402
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