No Title José-Víctor Ríos-Rull Fall 2011
Economics , Quantitative MacroEconomic Theory.

Syllabus

  1. Introduction. What is a Model?
    • A measurement tool. How big is bla bla ?
    • A device to assess the implications of changes. What happens if bla bla bla?
  2. First Question. How big is the contribution of productivity shocks to aggregate fluctuations: the most basic structure.
    • Review of the theory. The optimal growth model. Using dynamic programming to solve for the optimal allocation. The second welfare theorem. A Recursive version of the second welfare theorem.
    • Computation of the model. This will involve the review of more than one method. And many models. I will put now the list of things about solving an optimal decision model through computers that we may see in the whole course. We will not see all this time though.
    • Calibration of the model. This is the most important part of the chapter. So far calibration has been a tainted word with too many meanings. We will introduce a very disciplined approach to restrict the model quantitatively. Cooley and Prescott, [1995].
  3. Another question. What are the implications of increasing wage inequality? (Krueger and Perri, [2000], Krueger and Perri, [1999], Heathcote et al., [2004]).
    • How to measure wage dispersion? Temporary versus permanent changes.
    • Transition, deterministic evolution over time. Convergence to a new steady state.
  4. Extensions to the basic question. Does feature bla bla matter? We will review a few of them to learn about other classes of economies, which means both a new set of calibration and computational issues.
  5. OLG Models. We will look at the basic Auerbach and Kotlikoff, [1987] model in the context of, say, a social security question Conesa and Krueger, [2002], an aging question Ríos-Rull, [2001] or a general taxation question Fullerton and Rogers, [1993], Conesa and Garriga, [2004].
  6. Economies with measures of things, countries, people, firms, that have idiosyncratic shocks. Most of this chapter follows the first half of Ríos-Rull, [1998].
    • Theory. A steady state.
    • Theory. A recursive equilibria.
    • Computational. The household problem.
    • Computational. The stationary distribution of households.
    • Computational. The measure as a state variable.
  7. Now we can use these models to talk about a variety of issues.
  8. Family economics. Households form and are destroyed. In doing so many activities change, work effort, child bearing, children's education and so on. We start looking at quantitative general equilibrium models that are starting to look at these issues. Aiyagari et al., [2000], Knowles, [1998] and Regalia and Ríos-Rull, [1998], Bethencourt and Rios-Rull, [2009], Ríos-Rull and Seitz, [2003], Ríos-Rull and Wong, [2003], K. and Coles, [1997],
  9. Durable goods and housing. Diaz and Luengo-Prado, [2004], Fernández-Villaverde and Krueger, [2003], Ortalo-Magne and Rady, [2003].
  10. Bankruptcy. Agents have the option to file for bankrutpcy or not. Chatterjee et al., [2004].
  11. Bankruptcy and private information. Chatterjee et al., [2004].
  12. Positive theory of Policy models.
  13. Political Economy models. Ríos-Rull, [1998], Krusell et al., [1996].
  14. Other technical issues:

References

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Aiyagari, S. R. (1995). Optimal capital income taxation with incomplete markets, borrowing constraints, and constant discounting. Journal of Political Economy  103 (6), 1158-1175.
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Aiyagari, S. R., J. Greenwood, and N. Güner (2000). On the state of the union. Journal of Political Economy  108 (2), 213-244.
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Altig, D. and C. T. Carlstrom (1991, August). Inflation, personal taxes, and real output: A dynamic analysis. Journal of Money, Credit, and Banking  23 (3), 547-71.
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Auerbach, A. J. and L. J. Kotlikoff (1987). Dynamic Fiscal Policy. New York: Cambridge University Press.
[Bethencourt and Rios-Rull 2009]
Bethencourt, C. and J. Rios-Rull (2009). On the living arrangements of elderly widows. International Economic Review  50 (3), 773-801.
[Cagetti and De Nardi 2003]
Cagetti, M. and M. De Nardi (2003). Entrepreneurship, frictions and wealth. FRB Mpls Staff Report 322.
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Cagetti, M. and M. De Nardi (2004). Taxation, entrepreneurship and wealth. FRB Mpls Staff Report 340.
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Candler, G. V. (1990). Finite-difference methods for continuous time dynamic programming. Mimeo, University of Minnesota.
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Castañeda, A., J. Díaz-Giménez, and J. V. Ríos-Rull (1998). A general equilibrium analysis of progressive income taxation: Quantifying the trade-offs. Mimeo, University of Pennsylvania.
[Ceria and Ríos-Rull 1992]
Ceria, S. and J. V. Ríos-Rull (1992). On the existence uniqueness and computability of non-optimal recursive equilibria in linear quadratic economies. Unpublished Manuscript, Carnegie Mellon University.
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Chang, R. (1995). Report on political party negotiations, income distribution and endogenous growth. Unpublished manuscript, Federal Reserve Bank of Atlanta.
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[Chatterjee et al. 2004]
Chatterjee, S., D. Corbae, M. Nakajima, and J.-V. Ríos-Rull (2004). A quantitative theory of unsecured consumer credit with risk of default. Unpublished Manuscript, CAERP.
[Chatterjee et al. 2004]
Chatterjee, S., D. Corbae, and J.-V. Rios-Rull (2004). A competitive theory of credit scoring. Mimeo, University of Pennsylvania, CAERP.
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Conesa, J. C. and D. Krueger (2002). Optimal progressivity of the income tax code. Mimeo, CRES, Universidad de Barcelona.
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Cooley, T. F. and V. Quadrini (1998). Financial markets and firm dynamics. Mimeo, Universitat Pompeu Fabra.
[Cubeddu et al. 2001]
Cubeddu, L. M., M. Nakajima, and J.-V. Ríos-Rull (2001). Marital risk and capital accumulation. Mimeo, University of Pennsylvania.
[Cubeddu and Ríos-Rull 2003]
Cubeddu, L. M. and J.-V. Ríos-Rull (2003). Families as shocks. jeea  1 (2-3), 671-682. (Papers and Proceedings of the Seventeenth Annual Congress of the European Economic Association, Venice, 21-24 August 2002).
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De Nardi, M. (2004). Wealth inequality and intergenerational links. Review of Economic Studies  71 (3), 743-768.
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Diaz, A. and M.-J. Luengo-Prado (2004). Precautionary savings and wealth distribution with durable goods. http://www.eco.uc3m.es/ andiaz/pdfs/research/durables.pdf.
[Díaz-Gimenez et al. 1997]
Díaz-Gimenez, J., V. Quadrini, and J.-V. Ríos-Rull (1997, Spring). Dimensions of inequality: Facts on the U.S. distributions of earnings, income, and wealth. qr  21 (2), 3-21.
[Fernández-Villaverde and Krueger 2003]
Fernández-Villaverde, J. and D. Krueger (2003). Consumption over the life cycle: Some facts from consumer expenditure survey data. CAERP Working Paper No. 2003-07.
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Fernandez-Villaverde, J. and A. Tsyvinski (2003). Optimal fiscal policy in a business cycle model without commitment. Mimeo, University of Pennsylvania.
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Freeman, S. and F. E. Kydland (2000). Monetary aggregates and output,. American Economic Review  90 (5), 1125-1145.
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Fullerton, D. and D. L. Rogers (1993). Who Bears the Lifetime Tax Burden. Washington: The Brookings Institution.
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Heathcote, J., K. Storesletten, and G. Violante (2004). The cross-sectional implications of rising wage inequality in the united states. CEPR Discussion Paper No. 4296.
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Heer, B. and A. Mauथƒà¤¨’थ‚धचner (2004). DGE Models: Computational Methods and Applications. Springer-Verlag.
[Hong and Ríos-Rull 2004]
Hong, J. H. and J.-V. Ríos-Rull (2004). Life insurance and household consumption. CAERP, http://www.ssc.upenn.edu/ vr0j/caerp/WPapers/vicjaycaerp.pdf.
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Judd, K. L. (1998). Numerical Methods in Economics. MIT Press.
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K., B. and M. Coles (1997). Marriage and class. Quarterly Journal of Economics  112, 141-168.
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Khan, A. and J. Thomas (2003). Inventories and the business cycle: An equilibrium analysis of (s,s) policies. FRB Minneapolis, Staff Report Number 329.
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Khan, A. and J. Thomas (2004). Modeling inventories over the business cycle. FRB Minneapolis, Staff Report Number 343.
[Klein et al. 2003]
Klein, P., P. Krusell, and J.-V. Ríos-Rull (2003). Time-consistent public expenditures. Mimeo, University of Pennsylvania.
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Knowles, J. (1998). Can parental decisions explain U.S. income inequality? Unpublished Manuscript, University of Rochester.
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Krueger, D. and F. Perri (1999). Risk sharing: Private insurance markets or redistributive taxes? Working Paper, Federal Reserve bank of Minnepolis.
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Krueger, D. and F. Perri (2000). Does income inequality lead to consumption inequality? empirical findings and a theoretical explanation. Mimeo.
[Krusell et al. 2004]
Krusell, P., F. Martin, and J.-V. Ríos-Rull (2004). Time-consistent debt. Mimeo.
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Krusell, P., V. Quadrini, and J.-V. Ríos-Rull (1996). Are consumption taxes really better than income taxes? Journal of Monetary Economics  37 (3), 475-504.
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Krusell, P. and A. Smith (1997). Income and wealth heterogeneity, portfolio choice, and equilibrium asset returns. Macroeconomic Dynamics  1 (2), 387-422.
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Krusell, P. and A. Smith (1998). Income and wealth heterogeneity in the macroeconomy. Journal of Political Economy  106, 867-896.
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Kydland, F. E. and E. C. Prescott (1991). Hours and employment variation in business cycle theory. Economic Theory  1 (1), 63-81.
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Miranda, M. J. and P. L. Fackler (2002). Applied Computational Economics and Finance. MIT Press.
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Nakajima, M. and J.-V. Ríos-Rull (2003). Default and aggregate fluctuations. Manuscript, University of Pennsylvania.
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Ortalo-Magne, F. and S. Rady (2003). Housing market dynamics: On the contribution of income shocks and credit constraints. http://research.bus.wisc.edu/fom/documents/hm-latest.pdf.
[Osuna and Ríos-Rull 2003]
Osuna, V. and J.-V. Ríos-Rull (2003, January). Implementing the 35 hour workweek by means of overtime taxation. Review of Economic Dynamics  6 (1), 179-206.
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Phelan, C. and E. Stacchetti (2001). Sequential equilibria in a ramsey tax model. eca  69 (6), 1491-1518.
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Quadrini, V. (2000). Entrepreneurship, saving and social mobility. Review of Economic Dynamics  3 (1), 1-40.
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Quadrini, V. and J.-V. Ríos-Rull (1997, Spring). Understanding the U.S. distribution of wealth. qr  21, 22-36.
[Regalia and Ríos-Rull 1998]
Regalia, F. and J.-V. Ríos-Rull (1998). What accounts for the increase in single households and for the properties of fertility? Mimeo, University of Pennsylvania.
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Ríos-Rull, J.-V. (1994). On the quantitative importance of market completeness. Journal of Monetary Economics  34, 463-96.
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Ríos-Rull, J.-V. (1996). Life cycle economies and aggregate fluctuations. Review of Economic Studies  63, 465-490.
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Ríos-Rull, J.-V. (1998). Computing equilibria in models with heterogenous agents. In R. Marimon and A. Scott (Eds.), Computational Methods for the Study of Dynamic Economics, Chapter 9. Oxford University Press.
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Ríos-Rull, J.-V. (2001). Population changes and capital accumulation: The aging of the baby boom. Advances in Macroeconomics  1 (1). Article 7.
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Ríos-Rull, J.-V. and S. Seitz (2003). Sex composition and family formation. Mimeo, University of Pennsylvania.
[Ríos-Rull and Wong 2003]
Ríos-Rull, J.-V. and L. Wong (2003). On the determinants of interracial marriages. Mimeo, University of Pennsylvania.
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In addition to the standard macro books (Stokey and Lucas, [1989], Harris, [1987], Ljungqvist and Sargent, [2000]) I find that there are a few books of interest.
An initial listing of the material that I will cover follows. Things might (and will) be added and deleted, partly reflecting the audience.



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On 30 Aug 2011, 16:25.