- Class Number 4192
- Term Code 3250
- Class Info
- Unit Value 6 units
- Topic Online
- Mode of Delivery Online
- Prof Ippei Fujiwara
- Prof Ippei Fujiwara
- Class Dates
- Class Start Date 18/07/2022
- Class End Date 30/09/2022
- Census Date 05/08/2022
- Last Date to Enrol 05/08/2022
Quantitative assessment is necessary for macroeconomics and macroeconomic policymaking. This course will provide students with skills in two major analytical tools for quantitative evaluation in macroeconomics, particularly monetary policy: vector autoregressive (VAR) and dynamic stochastic general equilibrium (DSGE) models. These tools are heavily used in academic literature and policy analysis in central banks and international organisations. Using these methods, students will be able to identify the sources of macroeconomic fluctuations, gauge how structural shocks affect macroeconomic variables dynamically (impulse responses), forecast, and explore optimal policies. The course is technical and students are expected to have a good understanding of statistics and mathematics prior to enrolling.
Upon successful completion, students will have the knowledge and skills to:
- Demonstrate capacity in utilising key tools for macroeconomic policy analysis such as the VAR and DSGE methods.
- Understand policy and discussion papers published by central banks and international organisations.
- Undertake applied research on monetary policy and central banking using VAR methods.
- Utilise the DSGE approach to analyse optimal monetary and fiscal policies.
Text books below are considered the standard textbooks for the modern central banking and useful to understand above topics.
- Gali, Jordi, 2008, Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework, Princeton University Press
- Walsh, Carl, 2010, Monetary Theory and Policy, MIT Press.
- Woodford, Michael, 2003, Interest and Prices: Foundations of a Theory of Monetary Policy, Princeton University Press.
Staff FeedbackStudents will be given feedback in the following forms in this course:
- Written comments
- Verbal comments
- Feedback to the whole class, to groups, to individuals, focus groups
Student FeedbackANU is committed to the demonstration of educational excellence and regularly seeks feedback from students. Students are encouraged to offer feedback directly to their Course Convener or through their College and Course representatives (if applicable). The feedback given in these surveys is anonymous and provides the Colleges, University Education Committee and Academic Board with opportunities to recognise excellent teaching, and opportunities for improvement. The Surveys and Evaluation website provides more information on student surveys at ANU and reports on the feedback provided on ANU courses.
|Summary of Activities
|Week1, 25/7, VAR(1)
|VAR (1) and (2): Short-Run Restriction - Sims, Christopher, 1980, Macroeconomics and Reality, Econometrica. - Christiano, Lawrence, Martin Eichenbaum, and Charles Evans, 1999, Monetary Policy Shocks: What Have We Learned to What End? Handbook of Macroecononomics. - Leeper, Eric, Christopher Sims and Tao Zha, 1996, What Does Monetary Policy Do? Brooking Paper on Economic Activities.
|Week2, 1/8, VAR(2)
|Week3, 8/8, VAR(3)
|VAR (3): Long-Run Restriction - Blanchard, Olivier and Danny Quah, 1989, "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review. - Gali, Jordi and Pau Ravanal, 2005, Technology Shocks and Aggregate Fluctuations: How Well Does the Real Business Cycle Model Fit Postwar U.S. Data? NBER Macroeconomics Annual.
|Week4, 15/8, VAR(4)
|VAR (4): Sign Restriction and Panel VAR - Canova, Fabio, and Gianni De Nicol , 2002, "Monetary Disturbances Matter for Business Fluctuations in the G-7," Journal of Monetary Economics. - Uhlig, Harald, 2005, "What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure," Journal of Monetary Economics. - Canova, Fabio, and Ciccarelli, Matteo, 2013. "Panel Vector Autoregressive Models: A Survey," CEPR Discussion Papers.
|Week5, 22/8, DSGE(1)
|DSGE (1): Real Business Cycle Model - Kydland, Finn and Edward Prescott, 1982, "Time to Build and Aggregate Fluctuations," Econometrica. - King, Robert, Charles Plosser, and Sergio Rebelo, 1988, "Production, Growth and Business Cycles : I. The Basic Neoclassical Model," Journal of Monetary Economics.
|Week6, 29/8, DSGE(2)
|DSGE (2): New Keynesian Model - Clardia, Richard, Mark Gertler and Jordi Gali, 1999, "The Science of Monetary Policy: A New Keynesian Perspective," Journal of Economic Literature - Christiano, Lawrence, Martin Eichenbaum, and Charles Evans, 2005, Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy, Journal of Political Economy.
|Return of assessment
|Short Paper on VAR or DSGE
|Exam on practical questions on VAR and DSGE
* If the Due Date and Return of Assessment date are blank, see the Assessment Tab for specific Assessment Task details
PoliciesANU has educational policies, procedures and guidelines, which are designed to ensure that staff and students are aware of the University’s academic standards, and implement them. Students are expected to have read the Academic Misconduct Rule before the commencement of their course. Other key policies and guidelines include:
Assessment RequirementsThe ANU is using Turnitin to enhance student citation and referencing techniques, and to assess assignment submissions as a component of the University's approach to managing Academic Integrity. For additional information regarding Turnitin please visit the ANU Online website Students may choose not to submit assessment items through Turnitin. In this instance you will be required to submit, alongside the assessment item itself, hard copies of all references included in the assessment item.
Moderation of AssessmentMarks that are allocated during Semester are to be considered provisional until formalised by the College examiners meeting at the end of each Semester. If appropriate, some moderation of marks might be applied prior to final results being released.
There will be an exam on practical questions on VAR and DSGE
Final exam will be held in the mid-semester exam period in Semester 2.
Details are TBA.
Assessment Task 1
Short Paper on VAR or DSGE
Students are asked to write a short paper using the VAR, which is less than 10 page long. The paper does not have to be very unique, but must at least contains some new featues, such as new data, or new relationship among macroeconomic variables.
The evaluation of the assignments should be based on the three criteria below:
- whether the structure of the paper is consistent with the standard format in academic papers;
- how the students understand the basic theory of the VAR or the DSGE;
- how unique their findings are.
Assessment Task 2
Exam on practical questions on VAR and DSGE
Final exam will be held in the mid-semester exam period in Semester 2.
Details are TBA.
Academic IntegrityAcademic integrity is a core part of our culture as a community of scholars. At its heart, academic integrity is about behaving ethically. This means that all members of the community commit to honest and responsible scholarly practice and to upholding these values with respect and fairness. The Australian National University commits to embedding the values of academic integrity in our teaching and learning. We ensure that all members of our community understand how to engage in academic work in ways that are consistent with, and actively support academic integrity. The ANU expects staff and students to uphold high standards of academic integrity and act ethically and honestly, to ensure the quality and value of the qualification that you will graduate with. The University has policies and procedures in place to promote academic integrity and manage academic misconduct. Visit the following Academic honesty & plagiarism website for more information about academic integrity and what the ANU considers academic misconduct. The ANU offers a number of services to assist students with their assignments, examinations, and other learning activities. The Academic Skills and Learning Centre offers a number of workshops and seminars that you may find useful for your studies.
Online SubmissionThe ANU uses Turnitin to enhance student citation and referencing techniques, and to assess assignment submissions as a component of the University's approach to managing Academic Integrity. While the use of Turnitin is not mandatory, the ANU highly recommends Turnitin is used by both teaching staff and students. For additional information regarding Turnitin please visit the ANU Online website.
Hardcopy SubmissionFor some forms of assessment (hand written assignments, art works, laboratory notes, etc.) hard copy submission is appropriate when approved by the Associate Dean (Education). Hard copy submissions must utilise the Assignment Cover Sheet. Please keep a copy of tasks completed for your records.
No submission of assessment tasks without an extension after the due date will be permitted. If an assessment task is not submitted by the due date, a mark of 0 will be awarded.
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Extensions and PenaltiesExtensions and late submission of assessment pieces are covered by the Student Assessment (Coursework) Policy and Procedure The Course Convener may grant extensions for assessment pieces that are not examinations or take-home examinations. If you need an extension, you must request an extension in writing on or before the due date. If you have documented and appropriate medical evidence that demonstrates you were not able to request an extension on or before the due date, you may be able to request it after the due date.
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Macroeconomics; Monetary Economics; International Finance
Prof Ippei Fujiwara