ECO 7205 (Formerly ECO 7206)

Macro Theory

Fall 2002

Download the course outline.

The FINAL GRADES and the OVERALL GRADES are available on the CBA web page.

HAPPY HOLIDAYS 

and 

MERRY CHRISTMAS

MATLAB CODE for CLASS

• Source Code Repositories.
• MATLAB CODE FOR LJUNGQVIST and SARGENT
• GAUSS: Download the GAUSS Code on "how to iterate on the Bellman Equation?" and the output of the Code  
• MATLAB: Download the Linear Quadratic Matlab Program lqproblem.m and the function olrp.m
• MATLAB: Download the code to simulate the time series from a Stochastic Dynamic Linear System (SDLS) impulse.m
• FORTRAN: Download the routine for the Hodrick-Prescott filter hpfilter.f , the random number generator random.f and the program prog.f on how to use them.
• On the server: Cleopatra.bus.ucf.edu: The Matlab code is available at /home/public/

Online Readings

• Financial Economics:
  • Rajnish Mehra (Login: guest, Password: guest)
    • Mehra and Prescott  (1985) The Equity Premium: A Puzzle. Journal of Monetary Economics, March, vol. 15. Data Used In: "The Equity Premium: A Puzzle"
    • (1988)  The Equity Premium: A Solution?, (with E. C. Prescott), Journal of Monetary Economics, 22, July, pp. 133 – 136.
    • Rajnish Mehra (2001) The Equity Premium Puzzle. University of California, Santa Barbara and University of Chicago.
    • (2002) Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle (with G.M. Constantinides and J.B. Donaldson): Quarterly Journal of Economics, 117, February, pp. 269 - 296.
    • (2002)   The Equity Premium: Why Is It A Puzzle?, Forthcoming Financial Analyst Journal.
  • Narayana R. Kocherlakota (1996) The Equity Premium: It's Still a Puzzle. Journal of Economic Literature.
  • Eric Young (2002) Asset Prices. Lecture Notes. Florida State University. pp. 138-147.
  • Simon Grant and John Quiggin (2001) The Risk Premium for Equity: Explanations and Implications. Center for Economic Research, Tilburg University.
  • Jeremy J. Seigel and Richard H. Thaler (1997) Anomalies: The Equity Premium Puzzle. Journal of Economic Perspectives, pp. 191-200.
  • Robert E. Lucas, Jr. (1978) Asset Prices in an Exchange Economy Econometrica, Vol. 46, No. 6. (Nov., 1978), pp. 1429-1445.

• Ellen R. McGrattan (1994) A Progress Report on Business Cycle Models. Federal Reserve Bank of Minneapolis.
• Jeremy Greenwood (2001) Lecture Notes on Dynamic Competitive Analysis. Department of Economics, University of Rochester. 
• Torben Mark Pedersen (1999) Understanding Business Cycles. Institute of Economics, University of Copenhagen.
  • Stochastic Dynamic Programming. (Value Function Iteration)
  • Optimal Linear Regulator.
  • Matlab Code for Value function Iteration and Optimal Linear Regulator.
  • Real Business Cycle Theory.
• Javier Diaz-Gimenez (1998) Linear Quadratic Approximation: An Introduction. Universidad Carlos III de Madrid, Spain.  
• Shouyong Shi (2002) Indiana University. 
  • General Equilibrium in a Two-Period Economy.
  • Dynamic General Equilibrium in Infinite Horizon.
  • Dynamic programming and Uncertainty.
• Russell Cooper (2000) Introduction to Dynamic Programming Boston College.
• Martin Boileau (2002) Class Notes on Dynamic Programming and Two-Period Economies. University of Colorado, Boulder.
• Manuel Walti (2002) Class Notes on Basic Real Business Cycle (RBC) and the Stylized Facts. Department of Applied Economics, Institute of Economics, University of Bern.
• O. Mikhail (2001) Class Notes on Real Business Cycle. Department of Economics, University of Central Florida.
• Woodford, Michael. (1999) “Revolution and Evolution in Twentieth-Century Macroeconomics.” Working Paper, Princeton University.

Assignments / Exams:

• The Final Exam
• FINAL EXAM SCHEDULE 
• Due on November 21, 2002:
  • Two page summary of: Fernando Alvarez, Urban J. Jermann (2000) Using Asset Prices to Measure the Cost of Business Cycles, NBER Working Paper No. w7978.
  • Translate from MATLAB to model: asset.m and asset.out
  • Topic assigned in class on: The implications of the equity premium puzzle from the article: Simon Grant and John Quiggin (2001) The Risk Premium for Equity: Explanations and Implications. Center for Economic Research, Tilburg University.
• Due on November 19, 2002:
  • Solve the differential equation given in class using the Fortran 77 4th-order Runge-Kutta Code rk4.f
• Due on November 14, 2002: 
  • Solve the Cake-Eating Problem.
• Download the solution to the Kingdom of Zamunda.
• Due on November 7, 2002: 
  • Solve the Kingdom of Zamunda.
• Solution to the Mid-Term Exam.
• Due on October 28, 2002:
  • Download the Mid-Term EXAM

  • Hand in a copy of all written computer code used.

  • Computer programs written for the exam must have comments, so I can understand what you did.

• The solution to the iteration problem. Download the GAUSS Code on "how to iterate on the Bellman Equation?" and the output of the Code  
• Due on October 17, 2002: 
  • Assignment:
    • Using Fortran 77 or Matlab. (Your Choice)
    • Solve the following Bellman equation using the value function iteration method.
    • The problem is the system (15.5.2) in Kenneth L. Judd (1998, Chapter 12, p. 424) Numerical Methods in Economics.
    • Read carefully the beginning of the chapter (pp. 399-405), create a grid for Capital as described on page 425. Iterate on the Bellman equation (12.5.4) Replicate Table 12.1 on page 426.
  • Article: Theory Ahead of Business Cycle Measurement. Edward C. Prescott. (1986) Fed Minneapolis Quarterly Review. Snowdon and Vane (1997) Article # 15. ONE PAGE SUMMARY.
  • Read: Shouyong Shi (2002) Lecture Notes. Indiana University
    • General Equilibrium in a Two-Period Economy.
    • Dynamic General Equilibrium in Infinite Horizon.
    • Dynamic programming and Uncertainty.
• Due on October 10, 2002:  
  • Write a program in FORTRAN 77 to use the subroutine hpfilter.f on a financial time series.
  • Download the following example: prog.f 
  • Also, you can download the random number generator: random.f
• Due on Sept 26, 2002:
  • Assignment.
  • Article: The New Classical Contribution to Macroeconomics by David Laidler (1986) Snowdon and Vane (1997) Article # 14. ONE PAGE SUMMARY.
• Due on Sept 19, 2002:
  • Exercise 1.4, parts 'c' and 'd', Chapter 1. Use Matlab.
  • Use hpfilter.m located at /home/public/filter/    to de-trend any asset price series of your choosing. 
    • Read Section 6 Detrending from the class notes on Real Business Cycle.
    • Pick an asset price time series (frequency: quarterly)
    • load it into matlab
    • run hpfilter.m on the series
    • save the de-trended series
    • using Excel (since the plot function in matlab is not working) to graph both: the original series and the de-trended series on the same graph.
  • Article: A Child's Guide to Rational Expectations. Rodney Maddock and Michael Carter (1982), Journal of Economic Literature, vol. 20. Snowdon and Vane (1997) Article # 12. ONE PAGE SUMMARY.
  • Read: Russell Cooper (2000) Introduction to Dynamic Programming Boston College.
  • Download and print the Fortran 77 manual, prior to the lab session.
• Due on Sept 12, 2002:
  • Exercise 1.4, Chapter 1. Use MATLAB. The doublej.m is available on the server cleopatra.bus.ucf.edu at /home/public/chap1/        See also the file doublej-explain wherein there is an explanation on how to use doublej.m     Do only parts 'a', 'b' and 'e'.
  • Article: The role of monetary policy. Milton Friedman. American Economic Review (1968). Snowdon and Vane (1997) Article # 7.
  • Read: Martin Boileau (2002) Class Notes on Dynamic Programming and Two-Period Economies. University of Colorado, Boulder.
  • Read: Manuel Walti (2002) Class Notes on Basic Real Business Cycle (RBC) and the Stylized Facts. University of Bern, Institute of Economics, Department of Applied Economics.
• Due on Sept 6, 2002, 5:00 p.m.
  • MATLAB Solution to Exercise 1.3, part b)
• Due on Sept 5, 2002:
  • Exercise 1.3, Chapter 1.
  • Article: The fall and rise of Keynesian economics. Alan S. Blinder. Economic Record (1988). Snowdon and Vane (1997) Article # 5.
  • Read: Chapter 1, Stochastic Differential Equations.
• Due on August 29, 2002:
  • Article: The development of modern macroeconomics: a rough guide. Snowdon and Vane (1997) Article # 1.
  • Article: Woodford, Michael. (1999) “Revolution and Evolution in Twentieth-Century Macroeconomics.” Working Paper, Princeton University.

Miscellaneous/Macro

• Basics on Real Business Cycle Modeling

  • Manuel Waelti - Class Notes - University of Bern.
• Computational Modeling
  • Marimon, Ramon and Andrew Scott (2001) Computational Methods for the Study of Dynamic Economies. Oxford University Press. ISBN: 0-19-924827-3
  • John H. Miller 
  • Computational Modeling and Complexity
• Functional Forms
  • Quick Reference Guide to Common Functional Forms. Prof. Peter J. Wilcoxen, Dept. of Economics, University of Texas at Austin.

Miscellaneous/Computer/Linux/Sessions/Matlab/Fortran 77

• Source Code Repositories. 
• Fortran 77 Code to Solve Ordinary Differential Equations.
• FORTRAN 77 and MATLAB sessions held every Tuesday at 2:00 p.m. at the McGruder LAb, CBA.
• FORTRAN 77 Session: Scheduled on Tuesday, September 24, 2002. 
• FORTRAN 77 Session: to be scheduled.
• MATLAB SESSION: McGruder Lab, CBA building, Wednesday, August 28, from 1-2 pm. 
• Due to classroom reservations, the MATLAB session is not confirmed for Monday.  Probably, the session will be held on Wednesday.  I will inform you of the location as soon as I am aware of it. 
• Download the SSH (Secure Shell Client) to connect to your account on cleopatra.bus.ucf.edu
• Register for the MATLAB introduction Session. The session will be held one week prior to the start of the class. Email me to register.
• Follow the Macro-Finance Seminar at The Rodney L. White Center, The Wharton School, Univ. of Pennsylvania, Dept. of Finance.

MATLAB GUIDE

• MATLAB Manual from Mathworks.
• MATLAB Codes from Mathworks.
• An interactive An Introductory Guide to MATLAB by Dr. Ian Cavers, Department of Computer Science, University of British Columbia.
• Matlab Guide by Kurt Schmidheiny at the Universitat Bern. 

• A Practical Introduction to Matlab by Mark S. Gockenbach at the Department of Mathematical Sciences, Michigan Technological University. 

FORTRAN 77

• Fortran 77 Code to Solve Ordinary Differential Equations.

• Professional Programmer's Guide to Fortran77 Link Submitted by Manish Tewari.

• Fortran 77 Resources.

• Manual f77. <----  Download the Manual

• The Fortran Company.

• Stat-Lib Fortran Statistics Code.

• IMSL - Fortran Numerical Library from Visual Numerics.

Introduction to LINUX

• What is Linux?

• The Linux Operating System: Debian GNU/Linux by James G. MacKinnon, Dept. of Economics, Queen's University.

• Linux Online.

YOUR GRADE IS POSTED

GO to the CBA web site, click on SUPPORT, then click on CHECK GRADES ONLINE,

The PASSWORD is eco7205 (lower characters)

OR just click on the following link and enter your login and the password: 
http://www.bus.ucf.edu/cbagrades/cgi-bin/cbag_login.pl?sa_01=opt_sls

Login using your Social Security Number and check your grade. Again, the password is eco7205. The password is case sensitive (there is no CAPITAL LETTERS in it).

Note that if you have recently used the system to check your other classes, then your account will be updated within 48 hours, i.e., PLEASE GIVE IT SOME TIME TO UPDATE.

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Last Updated Monday, February 23, 2009 01:57:20 PM