computational methods for macroeconomics (spring 2008)

makoto nakajima (@wh452, makoto[dot]nakajima[at]gmail[dot]com)

tue and thu, 11:00-12:20 @ 174 wh

wed, 10:00-12:00 or by appointment (email me)

click here

thank you so much for your interest. the course homepage is now closed as the course is over. if you are looking for information on computational macroeconomics, please visit my page on computation.

jan 15

we only went over the syllabus.

jan 17

question: why savings rate went down in japan?

numerical methods: shooting algorithm

papers : chen et al (aer2006)

other references: see numerical recipes (available on-line) for shooting algorithm

codes : matlab code for "japanese saving rate", which uses shooting algorithm.

jan 22

question: why savings rate went down in the u.s.?

topics: calibration of the model.

papers : chen et al (wp2007)

other references: very interesting/useful book: "the great depressions of the twentieth century"

codes : homepage for the "great depressions" book. code and data used in the book are available.

jan 24

question: why hump-shape consumption profile?

numerical methods: shooting algorithm (applied to life-cycle model)

papers: hansen and imrohoroglu (wp2006), bullard and feigenbauum (jme2007), gourinchas and parker (eco2002)

jan 29

numerical methods: basics of finite element method, piecewise-linear, cubic spline

references: numerical recipes, judd, marimon & scott

jan 31

question: what is the welfare gain of being born in the world without social security?

numerical methods: discrete state space method

papers: chen et al (et2007)

other references: auerbach and kotlikoff (1987) and special issue of red (1999), marimon & scott (1999)

feb 05

topics: life-cycle general equilibrium model

numerical methods: piecewise-linear approximation, cubic spline

papers: huggett (jme1996)

other references: numerical recipes, heer & maussner (2005)

feb 07

papers: frisch and carlson (siam jna1980)

numerical methods: hermite cubic spline and monotone cubic hermite spline

feb 12

topics: life-cycle model with assets of different level of liquidity

papers: saunders (wp2008), schumaker (siam jna1983)

numerical methods: schumaker’s shape-preserving quadratic spline approximation

feb 14

question: why stock market participation rate so low?

topics: portfolio choice problem, epstein-zin preference

papers: deaton (eco1991), carroll (wp2001), gomes and michaelides (wp2002), vissing-jorgensen (jpe2002)

feb 19

topics: hyperbolic discounting, temptation and self-control

papers: krusell et al (wp2008), laibson (qje1997), laibson et al (wp2001), barro (qje1999)

numerical methods: polynomial approximation, chebyshev polynomials

feb 21

topics: cross-sectional log-consumption variance

question: why it is increasing with age? why it did not increase as much as cross-sectional variance of log-earnings?

papers: storesletten et al (jme2004), deaton and paxon (jpe1994), heathcote et al (wp2004) krueger and perri (res2006)

feb 26

topics: approximating ar(1)

papers: tauchen (el1986)

references: adda & cooper, my note on approximation of normal and ar(1)

numerical methods: tauchen (1986), adda and cooper (2003)

feb 28

topics: aiyagari (1994): general equilibrium model with uninsured idiosyncratic uncertinty

question: how does market incompleteness affect aggregate properties of the model?

papers: aiyagari(qje1994)

references: my note on how to approximate type distribution. my note on the model of aiyagari(1994).

mar 04

topics: aiyagari (quje1994) continued...

mar 06

topics: learning (bayesian updating) in the incomplete markets model

question: why cross-sectional variance of consumption increases with age?

papers: guvenen (aer2007)

mar 11

topics: optimal capital income tax in incomplete markets model

question: what is the optimal capital income tax rate? does market incompleteness matter?

papers: aiyagari (jpe1995), domeij and heathcote (ier2004), conesa, kitao and krueger (wp2007), athreya and waddle (eq2007)

references: my note on extensions on aiyagari’s model

mar 13

topics: policy reforms with incomplete markets models

question: hwta is the welfare consequences of social seucirty reforms?

papers: conesa and krueger (red1999)

references: heer and maussner

mar 18

topics: deterministic transition with incomplete markets models

question: why social security reform is difficult to implement?

papers: conesa and krueger (red1999)

references: heer and maussner

mar 20

topics: aggregate uncertainty and imcomplete markets

question: welfare cost of inflation: does market incompleteness matter?

papers: krusell and smith (jpe1998)

references: my note on krusell and smith.

apr 01

topics: aggregate uncertainty and imcomplete markets, with labor supply decision

papers: krusell and smith (jpe1998)

references: my note on krusell and smith with labor-leisure choice, victor’s chapter in marimon and scott

apr 03

topics: asset prices in incomplete markets model

question: does market incompleteness help to solve the equity premium puzzle?

papers: krusell and smith (md1997), storesletten, telmer and yaron (wp2006)

references: my note on krusell and smoth with portfolio choice decision

apr 08

topics: incomplete markets model for the world economy

papers: castro (red2005)

references: my note on models with limited enforceability.

apr 10

topics: incomplete markets + endogenous borrowing constraint

question: why cross-country correlation between i/y and s/y is high?

papers: bai and zhang (wp2008)

references: my note on models with limited enforceability.

apr 22

topics: equilibrium model of sovereign default

question: how to better replicate sovereign default episodes?

papers: arellano (aer2008), aguiar and gopinath (jie2006), yue (wp2006), eyigungor (wp2006)

references: my note on models with sovereign defaults. there is also a fortran code that implements arellano’s model.

apr 22

topics: equilibrium model of consumer bankruptcy

question: why the number of consumer bankruptcies went up?

papers: livshits et al (aer2006), livshits et al (wp2007), chatterjee et al (eco2007)

references: my note on models with consumer bankruptcies.