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課程名稱 |
總體經濟計算
Computation in Macroeconomics |
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開課學期 |
105-1 |
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授課對象 |
社會科學院 經濟學研究所 |
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授課教師 |
蘇軒立 |
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課號 |
ECON7202 |
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課程識別碼 |
323EM6770 |
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班次 |
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學分 |
3 |
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全/半年 |
半年 |
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必/選修 |
選修 |
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上課時間 |
星期三6,7,8(13:20~16:20) |
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上課地點 |
社科研605 |
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備註 |
本課程以英語授課。先修:總體經濟理論一。
限碩士班以上
總人數上限：20人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1051ECON7202_ |
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課程簡介影片 |
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核心能力關聯 |
核心能力與課程規劃關聯圖 |
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課程大綱
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課程概述 |
This is a research oriented course. This course focuses on computation techniques in heterogeneous agents models (HA) in incomplete markets. HA modeling is now widely used in macroeconomics, labor economics, and industrial organization. This type of models can generate endogenous distributions of income, wealth, or firm-size, and hence offers a framework to study inequality, intergeneration mobility, macro-prudential policy, firm size distributions, and policy issues in industry organization. However, this type of models are notoriously hard to solve and must rely on numerical methods. This course will teach relevant numerical methods in this field.
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課程目標 |
This course aims to teach computation techniques in solving heterogeneous agents models. Students will learn relevant techniques to conduct research in this field. Students need to write programming codes every week.
The only way to learn programming is writing codes. This course will require students to write computation codes (Matllab) of selected research papers every week by their own. At the end of this semester, every students need to select one research paper to replicate as their final projects.
Week 1: Introduction, the Wealth Distribution
Week 2: Dynamic Programming, Value function iteration, Euler Error (HW1)
Week 3: Parallel computing and GPU computing in Dynamic Programming
Week 4: Equilibrium Models of Wealth Distribution
Week 5: Equilibrium Models of Default (HW2)
Week 6: The Wealth Distribution over the Life Cycle (HW3)
Week 7: Calibration
Week 8: Interpolation (HW4)
Week 9: Mid Term
Week 10: Approximation an AR1 (HW5)
Week 11: Wealth Distribution with Aggregate Uncertainty-Krussell and Smith (HW6)
Week 12: Wealth Distribution with Aggregate Uncertainty- Krussell and Smith
Week 13: Transition Path (HW7)
Week 14: Firm size Distribution
Week 15: Hopenhayn Models in Firm Entry and Exist (HW8)
Week 16: Estimating Deep Parameters: GMM and SMM (HW9)
Week 17: Estimating Deep Parameters: GMM and SMM
Week 18: Final Project
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課程要求 |
Students need to write and submit their computation assignments individually. Discussion for assignments are allowed. There will be 9 Matlab computer assignments. The lowest assignment will not be counted into the final grade. So 8 assignments contribute for 64% of the final grade. Students need to choose one selected research paper and replicate its computation results as their final project. The final project must be done individually.
Homework – 64%
Final Project – 36%
Requirements for students after the class:
The students should be able to solve variants of heterogeneous agents models. And they should build up the ability to replicate original research papers of their interests in future research.
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預期每週課後學習時數 |
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Office Hours |
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指定閱讀 |
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參考書目 |
指定閱讀 Required readings
1. Budria Rodriguez, S., J. Diaz Gimenez, V. Quadrini, V. Rios-Rull. 2011. Facts on the U.S. Distributions of Earnings, Income, and Wealth. 2007 updatae”,Federal Reserve Bank of Minneapolis Quarterly Review, Summer
2. Huggett, M. 1993. “The risk-free rate in heterogeneous-agent incomplete- insurance economies”, Journal of Economic Dynamics and Control, 17, p.953-69.
3. Aiyagari, R. 1994. “Uninsured Idiosyncratic Risk and Aggregate Saving”, Quarterly Journal of Economics, 109, p. 659-84.
4. Athreya, K. 2002. “Welfare Implications of the Bankruptcy Reform Act of 1999”, Journal of Monetary Economics, 49(8), p. 1567-1595.
5. Chatterjee, S., D. Corbae, M. Nakajima, and V. Rios-Rull. 2007. “A Quantitative Theory of Unsecured Consumer Credit with Risk of Default”, Econometrica, 75(6), p. 1525-1589.
6. Huggett, M. 1996. “Wealth distribution in life-cycle economies”, Journal of Monetary Economics, 38, p. 469-94.
7. Tauchen, G. 1986. “Finite state Markov-chain approximation to univariate and vector autoregressions”, Economics Letters, 20, p. 177-81.
8. Krussell, P. and A. Smith. 1998. “Income and Wealth Heterogeneity in the Macroeconomy,” Journal of Political Economy, 106, p. 867-96.
9. Aiyagari, R. 1995. “Optimal Capital Income Taxation with Incomplete Markets, Borrowing Constraints, and Constant Discounting”, Journal of Political Economy, 103, p. 1158-75
10. Corbae, D., P. D’Erasmo, B. Kuruscu. 2009 “Politico-Economic Consequences of Rising Earnings Inequality”, Journal of Monetary Economics, Vol. 56, p.43-61.
11. Hopenhayn, H. 1992. “Entry, Exit, and Firm Dynamics in Long Run Equilibrium”, Econometrica, 60, p. 1127-50.
12. Hopenhayn, H. and R. Rogerson. 1993. “Job Turnover and Policy Evaluation: A General Equilibrium Analysis”, Journal of Political Economy, 101,p. 915-38.
13. Lee, B.S. and B. Ingram. 1991 “Simulation estimation of time series models”, Journal of Econometrics, 47, p. 197-205.
14. Michaelides, A. and S. Ng. 2000. “Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators”, Journal of Econometrics, 96, p. 231-66.
Final Project
15. Arellano, C. 2008. “Default Risk and Income Fluctuations in Emerging Economies”, American Economic Review, 98(3), p.690-712.
16. Hennessy, C. and T. Whited. 2005. “Debt Dynamics”, Journal of Finance, 60, p. 1129-1165.
延伸閱讀 Extension readings
1. Heathecote, J., K. Storesletten, and G. Violante. 2009. “Quantitative Macroeconomics with Heterogeneous Households”, Federal Reserve Bank of Minneapolis Research Department Staff Report #420
2. Miao, J. 2006. “Competitive equilibria of economies with a continuum of consumers and aggregate shocks,” Journal of Economic Theory, 128, p. 274-298.
3. Rios-Rull, V. 1997. “Computation of Equilibria in Heterogeneous Agent Models”, Federal Reserve Bank of Minneapolis Staff Report 231.
4. Davis, S., J. Haltiwanger, S.Schuh. 1996. Job Creation and Destruction. Cambridge:MIT Press
5. Hansen, L. 1982. “Large Sample Properties of Generalized Method of Moments Estimators”, Econometrica, 50, p. 1029-54.
6. Corbae, D. and P. D’Erasmo. 2013. “Capital Requirements in a Quantitative Model of Banking Industry Dynamics”, mimeo.
7. Ericson, R. and A. Pakes. 1995. “Markov-Perfect Industry Dynamics: A Framework for Empirical Work”, Review of Economic Studies, 62, p. 53-82.
8. Krusell, P. and V. Rios-Rull. 1999.“On the Size of U.S. Government: Political Economy in the Neoclassical Growth Model”, American Economic Review, 89, p. 1156-81.
9. Meltzer, A. and S. Richard. 1981. “A Rational Theory of the Size of Government", Journal of Political Economy, 89, p. 914-27.
10. Clementi, G. and D. Palazzo. 2010. “Entry, Exit, Firm Dynamics, and Aggregate Fluctuations”, mimeo.
11. Weintraub, G.Y., C.L. Benkard, and B. Van Roy. 2008. “Markov Perfect Industry Dynamics with Many Firms”, Econometrica, Vol. 76, No. 6 (November, 2008), 1375—1411.
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評量方式
(僅供參考) |
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週次 |
日期 |
單元主題 |
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Week 1 |
9/14 |
No class, Mid Autumn Day |
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Week 2 |
9/21 |
Introduction, Review of Dynamic Programming and Computing |
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Week 3 |
10/05 |
class canceled due to typhoon |
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Week 4 |
10/05 |
Parallel computing and GPU computing in Matlab/ Bewley Model |
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Week 5 |
10/12 |
Equilibrium Models of Wealth Distribution |
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Week 6 |
10/19 |
Equilibrium Models of Wealth Distribution
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Week 7 |
10/26 |
Interpolation
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Week 8 |
11/02 |
Interpolation
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Week 9 |
11/09 |
The Wealth Distribution over the Life Cycle |
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Week 10 |
11/16 |
Equilibrium Models of Default |
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Week 11 |
11/23 |
Default models and the Foreclosure Boom
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Week 12 |
11/30 |
Firm Size Distribution
Hopenhayn Models in Firm Entry and Exist |
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Week 13 |
12/07 |
Heterogeneous Agents with Aggregate Uncertainty- Krusell and Smith |
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Week 14 |
12/14 |
Heterogeneous Firms with Aggregate Uncertainty -Lu Zhang Value Premium |
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Week 15 |
12/21 |
The Value Premium (continued) |
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Week 16 |
12/28 |
Final Project |
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Week 17 |
1/04 |
Final Project |
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Week 18 |
1/11 |
Final Project |
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