Instructors

Kurt Mitman (CEMFI)

Dates

9-13 September 2024

Hours

15:00 to 18:30 CEST

Format

In person

Intended for

Practitioners, researchers, central bankers, and academics interested in state-of-the-art computational methods in Macroeconomics.

Prerequisites

Participants are assumed to be comfortable following master or PhD level courses in economics. In particular they should have basic knowledge of dynamic programming and to be familiar with a programming language (Matlab, Julia, Python, Fortran, C++).

Overview

In the last decades, the field of macroeconomics has changed dramatically. While modern macroeconomics was built on micro-foundations at its core - Euler equations, rational expectations and representative agents - its focus was more on the aggregate economy. As rich micro-data has become available to researchers, the field has moved from purely theoretical micro-foundations, to being micro-consistent-trying to integrate heterogeneous agents and distributional features to match the data. This change gave rise to a new set of models, to a shift in methodological focus, and to be rigorously disciplined by the empirical literature. This new line of research - often referred to as HANK (heterogeneous agents New Keynesian) models - has led to novel results with important implications for the core of central banking: monetary policy.

In the last decades, the field of macroeconomics has changed dramatically. While modern macroeconomics was built on micro-foundations at its core - Euler equations, rational expectations and representative agents - its focus was more on the aggregate economy. As rich micro-data has become available to researchers, the field has moved from purely theoretical micro-foundations, to being micro-consistent-trying to integrate heterogeneous agents and distributional features to match the data. This change gave rise to a new set of models, to a shift in methodological focus, and to be rigorously disciplined by the empirical literature. This new line of research - often referred to as HANK (heterogeneous agents New Keynesian) models - has led to novel results with important implications for the core of central banking: monetary policy.

This course explores recent advancements in quantitative macroeconomics from a perspective that emphasizes incomplete markets and household heterogeneity. It analyzes the importance of heterogeneity for capital flows and the transmission of foreign shocks and introduces students to frontier computational methods for solving heterogeneous agent models.

This course aims to provide (i) the basic theoretical insights about the key features of modern micro-based macro models dealing with monetary policy transmission, (ii) an understanding about the development of these tools, how to solve these models and major differences with regard to more traditional macro models, (iii) knowledge about the data needs and techniques to calibrate/estimate them based on micro-level household data.

Topics

• Heterogeneous-agent models in discrete time
• Sequence space methods to solve models with aggregate shocks and estimate them
• Monetary and fiscal policy, price-level determinacy
• Non-linear methods for solving heterogeneous-agent models with aggregate shocks

Kurt Mitman is Professor of Economics at the CEMFI. His research spans macroeconomics, labor economics, and household finance, with a focus on the distributional consequences of economic policies and economic forces. He has published extensively on the topics of inequality, unemployment, housing, fiscal policy, and monetary policy. Kurt was previously Associate and Assistant Professor at the Institute for International Economic Studies at Stockholm University. He has held visiting positions at the Stanford University, Bocconi University, European University Institute, and has been a consultant for Banco de España, Dankmarks Nationalbank, and the European Commission Joint Research Center. He was a Managing Editor at the Review of Economic Studies from 2019-2023, a Research Fellow at Centre for Economic Policy Research and the Institute of Labor Economics (IZA). Kurt received his PhD from the University of Pennsylvania in 2014, an MA from the University of Pennsylvania in 2009, and a BS with Highest Distinction from the University of Virginia in 2004.