Reading group in macroeconometrics

Jaroslav Borovička and José Montiel Olea

Location: Mondays, 6pm, room 736 in 19 W 4th Street.

A brief syllabus (permanently under construction).

Objective: We want to refine our understanding on how macroeconomic theory interacts with econometrics to suggest policy decisions after analyzing data.

We expect the participants to give a detailed presentation of at least one paper. By detailed we mean the following: if we are ever interested in replicating a paper in our list, we should be able to do so after reading your slides. Everybody is expected to read the model part of the paper in advance, so that we can limit the discussion of the model to a minimum, and focus on a detailed analysis of the solution and estimation method.


March 10, 2014

Del Negro and Schorfheide (2004) "Priors from General Equilibrium Models for VARs"

  • presented by Keith O'Hara: slides

Background reading

March 24, 2014

Bidder and Smith (2013) "Doubts and Variability: A Robust Perspective on Exotic Consumption Series"

  • presented by Dan Greenwald: slides

Background reading

  • Tallarini (2000) "Risk-Sensitive Business Cycles" (isomorphisms between different preference classes)
  • Backus, Routledge, Zin (2004) "Exotic Preferences for Macroeconomists" (further discussion of nonseparable preferences ...)
  • Hansen (2004) "Exotic Preferences for Macroeconomists: A Comment" (... and a comment on the discussion)
  • Bansal, Kiku, Yaron (2007) "Risks for the Long Run: Estimation and Inference" (estimating long-run risks in consumption)
  • Hansen (2007) "Beliefs, Doubts and Learning: Valuing Macroeconomic Risk" (on differences in information sets between the agents and the econometrician)
  • Hansen, Heaton, Li (2008) "Consumption Strikes Back? Measuring Long‐Run Risk"
  • Chen, Dou, Kogan (2013) "Measuring the 'Dark Matter' in Asset Pricing Models" (on estimating macro-finance models with and without financial data)
  • Ma (2013) "Long-Run Risk and Its Implications for the Equity Premium Puzzle: New Evidence from a Multivariate Framework" (on weak identification of the 'long-run risk' consumption dynamics)

March 31, 2014

Justiniano, Primiceri (2008) "The Time Varying Volatility of Macroeconomic Fluctuations"

  • presented by Marco del Negro: slides

April 7, 2014

Aruoba, Bocola, Schorfheide (2013) "Assessing DSGE Model Nonlinearities"

  • presented by Andrea Prestipino: slides

Background reading

  • Borovička, Hansen (2013) "Examining Macroeconomic Models through the Lens of Asset Pricing" (utilizes the same recursively linear perturbation framework as the presented article)
  • Fernández-Villaverde, Guerrón-Quintana, Rubio-Ramírez (2013) "Estimating Dynamic Equilibrium Models with Stochastic Volatility" (on estimation techniques specifically focused on stochastic volatility)

April 21, 2014

Fernández-Villaverde, Rubio-Ramírez (2007) "Estimating Macroeconomic Models: A Likelihood Approach"

  • presented by Diego Anzoategui: slides