The lectures, shared with my colleage Lise Patureau, provide an introduction to advanced frictions in labor and financial markets.

The lectures with Lise Patureau will mainly deal with search frictions in the labor market. 

In contast, my lectures provide an introduction on capital market frictions, housing market friction and macroeconomic non-linearities. The lectures are divided in three main chapters that are detailed in the following section.

Handouts list

Handout 1: The Financial Accelerator
Objectives of the Lecture:
  • Understanding the costly state verification;
  • Finding the optimal financial contract;
  • Simulating the financial accelerator.

Materials:

chapter1.pdf Handout
baseline.mod The baseline model (Dynare file)
compare.m Compare the financial accelerator with the baseline model (MATLAB file)
BGG_ss.m BGG non-linear steady state function (MATLAB file)
BGG.mod Non-linear financial accelerator (Dynare file)
loop_ss.mod Looping over the BGG steady state (MATLAB file)
BGG_risk_shock.mod Risk shocks (Dynare file)
Handout 2: Collateral Constraints
Objectives of the Lecture:
  • Simulating collateral constraints;
  • Understanding the arbitrage between durable/non durable goods;
  • Tracking when the borrowing constraint binds.

Materials:

chapter2.pdf Handout
basic_CC.mod The baseline collateral model (Dynare file)
advanced_CC.mod The two agent collateral model (Dynare file)
Handout 3: Macroeconomic Asymmetries
Objectives of the Lecture:
  • Understanding the piece-wise solution methods;
  • Mastering the implications of business cycle asymmetries.

Materials:

chapter3.pdf Handout
simul_static_ZLB.mod The static ZLB (MATLAB file)
codes_ZLB.zip Dynamic NK+collateral models w/ Occbin (Dynare file)

Get MATLAB on your computer


Two possibibilities
Please use your own laptop if you can with MATLAB installed prior to the first lecture.
1/ Installing: Dauphine University provides a free licence for students. Please have Datafeed, Optimization and Econometrics toolboxes installed. This is the safest solution
2/ Citrix: Go to Citrix to connect to a remote server hosted in Dauphine. Note that your internet connection must be stable, which may not always be the case if many users are simultaneously connected to the wifi.

Real time macro-data on MATLAB


This is a must-read as all of the lectures will rely on DBnomics. The latter is a database aggregator which can be queried directly from MATLAB. Please read carefully this following note on DBnomics and download as well the MATLAB function which allows to get real time macro data:
DBnomics.pdf
Quick Guide. call_dbnomics.m
Query DBnomics w/ MATLAB.

The Dynare package


How to set up Dynare
1/ Download link. (For those of you using citrix, I suggest you to use an older version of dynare because of hard drive limitation, install on H:/ drive.)
2/ Load automatically Dynare.
3/ Call dynare by typing in the command window of MATLAB “dynare NAME_OF_YOUR_DYNARE_FILE”.