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Lecture Empirical Macroeconomics

  • Course Information

    Scope:
    4 SWS, ECTS Credits: 6 (Lecture + Tutorial)
    Lecturer:
    Hayo, Bernd
    Time and Place:
    Please update the information on Marvin.
    Modules:
    M-METH/EMA

    Lecture (2 SWS) accompanied by a Tutorial (2 SWS) with a focus on student participation.

    The course language is English!

  • Pre-requisites

    Basic courses in Micro- and Macroeconomics, as well as Statistics.

  • Course Description

    The course introduces students to the analysis of macroeconomic and financial data. In particular, students will learn to use empirical research methods within the context of economic theories.

    After successful completion of the course, students should be able to:
    1. make educated comments on empirical macroeconomic work.
    2. conduct their empirical analyses.

    Econometrics topics covered include multivariate regression and time series techniques and the economic applications are taken from the fields of business cycle theory, economic growth theory, Monetary Economics, and International Economics.

    Lectures and hands-on exercises on real economic problems using the econometrics software programme Stata (an introduction to the programme will be given during the tutorial).

    Students are expected to actively contribute to the course in the form of teamwork.

  • Syllabus

    1. Introduction

    2. Basic Econometric Methods
    2.1 Basic statistics
    2.2 Bivariate regression
    2.3 Hypotheses testing
    2.4 Multivariate regression
    2.5 Diagnostic testing
    2.6 Dummy variables
    2.7 Regressions with time-based data

    3. International Financial Markets
    3.1 Market efficiency
    3.2 Testing for efficiency in foreign exchange markets

    4. Trend versus Cycle
    4.1 Separating trend and cycle
    4.2 Detrending methods

    5. Growth: Neoclassical Approach
    5.1 The Solow-growth model
    5.2 Empirical tests of the Solow growth model

    6. Business Cycle: Investment
    6.1 The investment accelerator model
    6.2 Instrumental variable techniques

    7. Business Cycle: Money and Output
    7.1 Output and money
    7.2 Granger-causality
    7.3 Autoregressive distributed lag models
    7.4 Implementation of Granger-causality tests

    8. Monetary Policy Transmission
    8.1 Monetary transmission channels
    8.2 VAR Analysis

    9. Important Time Series Characteristics
    9.1 Unit Roots
    9.2 Cointegration

    10. Purchasing Power Parity
    10.1 The PPP Condition
    10.2 Testing for PPP

  • Literature

    Recommended reading:
    There is no single text for the course.

    Useful books on econometric methods include:
    Berndt, E. (1991), The Practice of Econometrics, Addison-Wesley.
    Kennedy, P. (2003), A Guide to Econometrics, 5th ed., MIT Press.
    Maddala, G.S. (2001), Introduction to Econometrics, 3nd ed., New York: MacMillan.

    Additional references will be given in the course

  • Evaluation