The ABCs of RBCs fills an important gap in the textbook literature in modern macroeconomics. It presents, in a self-contained, agile fashion, a variety of dynamic macroeconomic models that are currently used to understand business cycles in developed as well as developing countries.-- Martin Uribe, Duke UniversityThe ABCs of RBCs is a focused text that does exactly what it sets out to do, which is to explain the current techniques for the analysis of real business cycle models. A highly useful primer.-- Kim Border, California Institute of TechnologyFor every economist who ever felt stymied by the process of numerically approximating equilibria of [RBC] models, and for all current and future graduate students who are or who will be aiming to learn this technology, this book is a truly wonderful treatment--a user's guide--to moving from the set of first-order conditions and budget and resource constraints that characterize the solutions to these models to putting these models on a computer and making them operational...This is a textbook in the truest sense--every word, diagram, and table have been assembled to make learning this technology as transparent as possible. For the most part, the exposition is truly outstanding. As you read the text, you feel as if they were detailed notes written by someone in the process of learning and distilling a lot of information about a difficult and nuanced topic. And this is exactly how it was done, as noted by McCandless in the text...While there is some overlap with other treatments in the literature, there are aspects of the book that are done better here than elsewhere...The book excels exactly where many texts do not by being remarkably transparent and explicit. If you occasionally feel that advanced economics textbooks are a bit like those impossible "how-to-assemble furniture instructions" we have all sweated over, this book is for you...This book would be a terrific fit in a first year graduate course in macroeconomics...or used in a second year course that focuses on quantitative analysis of macroeconomic models.-- Lee E. Ohanian Journal of Economic Literature
PhD Macroeconomics II, Spring 2019, SyllabusSecond semester of the macroeconomics core curriculum. The first chunk focuses on time series and recursive methods, in particular dynamic programming. We discuss the implementation of value function iteration and related dynamic programming methods together with Euler-equation based methods. We take advantage of some of the excellent modules and libraries developed in quantecon. The second chunk analyzes real business cycle models and various extensions. These include investment-specific productivity shocks, heterogeneous agents, and New Keynesian models, which provide a role for monetary policy shocks in aggregate fluctuations. We focus heavily on calibration and simulation of these models. The last section introduces the role of business formation/endogenous variety and unemployment. The first model gives rise to an extensive margin of investment, accounts for procyclical profits, and gives rise to a new source of persistence. The monetary version links inflation to equity prices and the stock of firms, causing inflation to be partly backward looking. Lastly, we develop the theory of unemployment based on a frictional labor market. After developing the basic model, we consider the business cycle version and study the interactions of frictions in labor markets, good markets, and credit markets. These models can explain much more amplification and propagation of business cycles than possible under standard real business cycle or New Keynesian models. They also provide a much more reasonable model of the labor market, and can be used to study many applications beyond the business cycle: shopping time, heterogeneity in the labor market, on-the-job search, unemployment insurance, the interaction between unemployment, and precautionary savings, etc.
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Money, Payments, and Liquidity by Ed Nosal and Guillaume Rocheteau, MIT PressA general framework for frictions that make money and liquid assets useful in trade. Discussion of suitable properties of the medium of exchange, inflation-output tradeoff, the welfare cost of inflation, the coexistence of money and credit, delayed settlement.Labor, Credit, and Goods Markets: The Macroeconomics of Search and Unemployment by Nicolas-Petrosky-Nadeau and Etienne Wasmer, MIT PressIntegrated treatment of frictions in labor markets, credit markets, and good markets. Self-contained and with excellent intuition. Studies business cycle propertiesof the models.Economic Dynamics: Theory and Computation by John Stachurski, MIT PressRigorous treatment of stochastic dynamic programming, Markov processes, and measure theory for macroeconomic dynamics.Well-accompanied with examples from Python and with an excellent companion website as well.Intertemporal Macroeconomics by Costas Azariadis, Blackwell Publishers IncThorough treatment of economic dynamics with applications to growth theory, business cycles, national debt and fiscal policy, and more.The ABC's of RBC's by George McCandlessThis text is probably the most hands-on and intuitive exposition to real and New Keynesian business cycle models. It is a focused text, offering neither as much of the theoretical toolkit as Stokey, Lucas, and Prescott (1989), or the breadth of in Ljunqvist and Sargent (4th ed., 2018), but instead provides a more accessible and concrete introduction.Numerical Methods in Economics by Kenneth Judd, MIT PressBroad treatment of numerical analysis, optimization, solution algorithms for nonlinear equations, approximation methods, numerical integration and differentiation, numerical dynamic programming methods. An important resource for computational macroeconomics.Asset pricing: Revised edition by John Cochrane, Princeton University Press"This is a beautiful book that uses the elegant simplicity of the stochastic discount factor to present a general theory of the pricing of stocks, bonds, and derivatives and a practical approach to estimating particular models derived from the general theory. It will help experts in the field to consolidate their knowledge and beginners to appreciate the unity of asset pricing theory. Cochrane uses his mastery of the subject to present it in a clear and compelling manner that is easily accessible."--Michael Brennan, Anderson School, University of California, Los AngelesModeling Monetary Economies by Bruce Champ, Scott Freeman, and Joseph Haslag, Cambridge University Press"This book is the most rigorous and accessible treatment of monetary issues based on dynamic, micro-founded models of monetary exchange for advanced undergraduate students. It answers fundamental questions: Why is fiat money valued? Can money coexist with interest-bearing assets? What is the role of banks and central banks? It also addresses topical questions relative to payment systems, liquidity risk, and the effectsof national debt on growth. It is a must-read for all students eager to learn advanced monetary economics."--Guillaume Rocheteau, Department of Economics, University of California, Irvine 2ff7e9595c
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