-- -- MSc Macroeconomics G022
MSc Macroeconomics G022
Pr Guy Laroque
UCL Logo

Lectures: Tuesdays 11-12:30 and 14-15:30
Room: Wolfson House Haldane LT and Anatomy J Z Young LT

Classes: Andreas Uthemann

Second part: Macroeconomics and finance

Three books are useful references for the material taught in this part of the course: Jordi Gali, Monetary Policy, Inflation and the Business Cycle: An Introduction to the New Keynesian Framework, 2008, Princeton University Press; David Romer, Advanced Macroeconomics, 2006, McGrawHill; Gabrielle Demange and Guy Laroque, Finance and the economics of uncertainty, 2006, Blackwell. Also on some of the topics, some rough lecture notes are available here.

Course outline

  1. The general price level: temporary equilibrium and expectations [Lectures 11 and 12, Slides]
    1. Temporary equilibrium: real balance and substitution effects
    2. Bankruptcies

      3. References :

      • Notes Chapter 1
      • Grandmont J.M., 'Temporary general equilibrium theory', Econometrica, 1977, 45, 535-572
      • Grandmont J.M., 'Temporary equilibrium', CREST-INSEE working paper #2006-27, 2006
      • Grandmont J.M., Money and Value, Chapter 1, 1983
      • Grandmont J.M. ed., Temporary Equilibrium, Selected Readings, Part 1, 1988
      • Hool B., 'Money, Expectations, and the Existence of a Temporary Equilibrium', The Review of Economic Studies, 1976, 439-445
      • Hughes J., 'Winding up Lehman Brothers', Financial Times, November 7, 2008
      • Rochet J.C. and J. Tirole, 'Controlling risk in payment systems', Journal of Money Credit and Banking, 1996, 832-862
      • Stahl D., 'Bankruptcies in Temporary Equilibrium Forward Markets with and without Institutional Restrictions', The Review of Economic Studies, 1985, 459-471

  2. Expectations and learning [Lectures 13 and 14, Slides]
    1. The representative agent model
    2. The overlapping generations model
    3. Learning

      4. References :

      • Notes Chapters 2 and 3
      • Blanchard O. and S. Fischer, Lectures on Macroeconomics, M.I.T. Press, Sections 2.1, and 4.1, Chapter 3
      • Branch W. and G. Evans, 'A simple recursive forecasting model', Economic Letters, 2006, 91, 158-166
      • Grandmont J.M., 'Expectations Formation and Stability of Large Socioeconomic Systems', Econometrica, 1998, 66, 741-781
      • Mas-Colell A., M. Whinston and J. Green, Microeconomic Theory, Oxford University Press, Section 20.H
      • Romer D., Advanced Macroeconomics, 2006, 3rd edition, Chapter 2

  3. Risk and finance [Lectures 15 and 16, Slides]
    1. Pricing by arbitrage
    2. Asset markets and risk sharing
    3. The spot rate curve

      4. References :

      • Demange-Laroque, Finance and the economics of uncertainty 2006, Parts of Chapters 2 and 4, Chapter 8
      • Ingersoll J.E., The theory of financial decision making, 1987
      • Solow R., 'Getting it wrong', The New Republic, September 10, 2008
      • Varian H., 'The arbitrage principle in financial economics', The Journal of Economic Perspectives, 1987, 1, 55-72

  4. Models of inflation [Lectures 17 and 18, Slides]
    1. Stochastic shocks and money in the real business cycle model
    2. Price rigidities

      3. References :

      • Blanchard O. and C. Kahn, 'The solution of linear difference models under rational expectations', Econometrica, 1980, 48(5), 1305-1311
      • Gali J., Chapters 2 , 3
      • Romer D., Advanced Macroeconomics, 2006, 3rd edition, chapter 6

  5. Policy in the short and in the long run [Lectures 19 and 20, Slides]
    1. The quantity theory of money
    2. Transaction costs, seigniorage and the inflation tax
    3. How to finance pensions

      4. References :

      • Notes Chapter 4
      • Blanchard O. and S. Fischer, Lectures on Macroeconomics, M.I.T. Press, Chapter 4
      • Buiter W., 'Seigniorage', NBER Working Paper #12919, 2007

    Assignment


University College London - Gower Street - London - WC1E 6BT -+44 (0)20 7679 2000 - Copyright © 1999-2005 UCL