Mathematical tools in modern macroeconomics - JCM060

• Title: Mathematical Tools in Modern Macroeconomics
• Czech title: Matematické nástroje v moderní makroekonomii
• Guaranteed by: CERGE (23-CERGE)
• Faculty: Faculty of Social Sciences
• Actual: from 2023
• Semester: summer
• E-Credits: 3
• Examination process: summer s.:
• Hours per week, examination: summer s.:2/0, C [HT]
• Capacity: unlimited / unknown (unknown)
• Min. number of students: unlimited
• 4EU+: no
• Virtual mobility / capacity: no
• State of the course: taught
• Language: English
• Teaching methods: full-time
• Teaching methods: full-time
• Note: course can be enrolled in outside the study plan; enabled for web enrollment
• Guarantor: doc. Sergey Slobodyan, Ph.D.
• Teacher(s): Stanislav Anatolev, Ph.D.; doc. RNDr. Ing. Miloš Kopa, Ph.D.; doc. Sergey Slobodyan, Ph.D.; Paolo Zacchia, Ph.D.

Annotation

Last update: Mgr. Eva Kellnerová (15.02.2024)

The goal of this short course is to demonstrate the usage of mathematical tools in modern macroeconomic analysis. The models covered range from linear and nonlinear time series models, DSGE models and network models of production.

Teaching methods

Last update: Mgr. Eva Kellnerová (15.02.2024)

Course outline

I.           Dynamic stochastic general equilibrium models (Lectures 1-2)

·       Basic structure of DSGE models. Exact solution methods under RE.

·       Estimation of DSGE models: MCMC, particle filters, ML/NN methods.

II.          Econometric models for macroeconomic data (Lectures 3-4)

·       Principles of modeling and model selection: diagnostics, sequential methodologies, information and prediction criteria.

·       Autoregressive models for macro data: linear (AR) and nonlinear (SETAR, STAR, MSW).

 III.        Production networks and the macro-economy (Lectures 5-6)

·       Topology of input-output relationships and business fluctuations: theory and empirics

·       Endogenous network structures: buyer choices, seller choices, matching