Description

This 15-hour course, led by Gauthier Vermandel (9 hours) and Benoit Campagne (6 hours), is tailored for policy institutions aiming to master the art of building macroeconomic scenarios with a special focus on environmental constraints. It delves into the utilization of the Intergovernmental Panel on Climate Change (IPCC) scenarios, emphasizing the integration of environmental policies through the Dynamic Integrated Climate-Economy (DICE) model. Additionally, the course offers an in-depth exploration of the New Keynesian Model and its estimation, equipping participants with advanced tools for assessing and crafting economic policies that consider environmental sustainability. This course is ideal for policymakers, economists, and strategists keen on blending economic planning with environmental considerations, ensuring a well-rounded approach to sustainable policy development.

Materials

Syllabus.pdf Very preliminary Syllabus

Slides 1 : The DICE model
Objectives of the Lecture:

  • Understanding the mechanics of the climate block;
  • The determination of optimal climate policy.

Materials:

Slides_1.pdf Slides
problem_set1.pdf Exercises
Dynare_DICE.zip DICE solved in Dynare
Slides 2 : Simulation of the 3-equation New Keynesian Model
Objectives of the Lecture:

  • Understanding the basic concepts of the New Keynesian Model;
  • Simulating the 3-equation New Keynesian Model.

Materials:

Slides_2.pdf Slides
problem_set2.pdf Exercises
NK3eq.mod New Keynesian model in Dynare
Slides 3 : Building a Sample for Time Series Analysis
Objectives of the Lecture:

  • Downloading data in real time in MATLAB;
  • Getting a stationary sample for macroeconomic analysis.

Materials:

Slides_3.pdf Slides
problem_set3.pdf Exercises
my_db_US.m Extracting US data and transforming them
Slides 4 : Estimating a Medium-Scale Model
Objectives of the Lecture:

  • Understanding the core mechanism of the New Keynesian model;
  • Estimating the New Keynesian model;
  • Building projections on alternative future actions of macroeconomic policies

Materials:

Slides_4.pdf Slides
my_db_US.m Extracting US data and transforming them
baseline_NK.mod Estimating New Keynesian Model
estim_NK.mod Estimating New Keynesian Model
draw_tables.m MATLAB code to plot different paths

Exam

AppliedMacro_Exam__2024_.pdf Guidelines of the exam in coordination with Benoit Campagne

A toy model of corporate credit frictions
credit_market_model.pdf Description of the model
credit_NK.mod New Keynesian Model with borrowing constraint
A toy model of mortgage frictions
mortgage_market_model.pdf Description of the model
mortgage_NK.mod New Keynesian Model with borrowing constraint
A toy model of two countries
two_countries.pdf Description of the model
soe_standard.mod New Keynesian Model with two exchange economies
A toy model of unemployment

unemployment.pdf

unemployment.pdf Description of the model
unemployment_NK.mod New Keynesian Model with unemployment

Additional tools


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.


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”.