Department of Economics
Queen's University

ECON 917: Topics in Macroeconomics

Winter Term, 2010

Office: Dunning 320
Telephone: 533-2276
E-mail: 
lloydell at econ dot queensu dot ca
 Course home page: http://qed.econ.queensu.ca/pub/faculty/lloyd-ellis/econ917
Lectures: 
TBA

Office Hours:  By appointment






Course Description: This is a topics course designed for second year PhD students who are interested in pursuing macro or macro-related reasearch. I have tried to choose topics that reflect key research areas in modern macro at the moment. In general, the articles we will focus on are very recent and may still be in working paper form. However, I have included earlier articles as background reading for those that we will discuss in more detail. Students are expected to choose papers from the reading list that they will present and discuss in the second half of the course. Other papers may be chosen provided they are sufficiently closely related and have been approved by me. Only papers dated 2004 or later may be presented. There will be one assignment, due half way though the term, and a term paper, due at the end. The term paper should be an original piece of research and can be theoretical, applied or empirical.

Grading:  The marks will be allocated according to the following grading scheme:

Citizenship (Participation)....................................................20%
Pedagogy (Assignment (20%) and Presentation (20%)).......40%
Research (Term paper).......................................................40%



    Readings

Klein, Paul, “Using the Generalized Schur Form to Solve a Multivariate Linear Rational Expectations Model,” Journal of Economic Dynamics and Control, 24 (2000), 1405–1423.

Credit Market problems and the Macroeconomy
Bernanke and Gertler (1989), “Agency Cost, Net Worth and Business Fluctuations,” American Economic Review, 79, March, pp. 14-31.
Kiyotaki, N. and J. Moore (1997), "Credit Cycles," Journal of Political Economy, vol. 105. Matlab code.
Carlstrom, Charles T. and Timothy S. Fuerst (1997), "Agency Costs, Net Worth, and Business Fluctuations: A Computable General Equilibrium Analysis" The American Economic Review, Vol. 87 (5), pp. 893-910
Bernanke, Gertler and Gilchrist (1999), "The Financial Accelerator in a Quantitative Business Cycle Framework," in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 21, pages 1341-1393.
Kocherlakota, N.R., (2000), "Creating Business Cycles Through Credit Constraints," Federal Reserve Bank of Minneapolis Quarterly Review, vol 24.
Cordoba, J.C. and M. Ripoll (2004), "Credit Cycle Redux," International Economic Review, vol. 45.
Iacoviello, Matteo and Raoul Minetti (2006), "International Business Cycles and domestic and foreign lenders," Journal of Monetary Economics, vol. 53(8) November, pp. 2267-2282. Technical Appendix.
Caterina (2008), "On the amplification role of collateral constraints," MPRA working paper #9425.
Kiyotaki, N. and J. Moore (2008), "Liquidity, Business Cycles, and Monetary Policy," preliminary unpublished paper
Monacelli, T. (2009), "New Keynesian models, durable goods, and collateral constraints," Journal of Monetary Economics, vol 56(2), pp. 242-254.
Gertler, Mark and Peter Karadi (2009), "A Model of Unconventional Monetary Policy," unpublished working paper.
Christiano, Lawrence, Roberto Motto, and Massimo Rostagno (2009), "Financial Factors in Economic Fluctuations," preliminary unpublished working paper
Jermann, Urban and Vincenzo Quadrini (2009), "Macroeconomic Effects of Financial Shocks," NBER working paper #15338.
Nezafat, P. and C. Slavik (2009), "Asset Prices and Business Cycles with Financial Frictions", unpublished working paper.


Housing and the Macroeconomy
 Campbell, J. R. and Z. Hercowitz, (2005), "The Role of Collateralized Household Debt in Macroeconomic Stabilization," NBER Working Paper #11330.
Morris A. Davis & Jonathan Heathcote (2005), "Housing And The Business Cycle," International Economic Review 46: 751-784
Ortalo-Magné, François and Sven Rady (2006), "Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints," Review of Economic Studies 73: 459-485.
Fisher, Jonas D. M. (2007), "Why Does Household Investment Lead Business Investment over the Business Cycle?," Journal of Political Economy, vol. 115, pages 141-168.
Piazzesi, Monika, Martin Schneider and Selale Tuzel (2007), "Housing, consumption and asset pricing," Journal of Financial Economics 83: 531-569.
Kiyotaki, N. A Michaelides and K. Nikolov (2007), "Winners and losers in Housing Markets," Centre for Dynamic Macroeconomic Analysis Conference paper CDMC07/05, St. Andrews University.
Iacoviello, Matteo and Marina Pavan (2009), "Housing and Debt over the Life Cycle and over the Business Cycle," unpublished manuscript
Halket, J. and S. Vasudev (2009), "Home Ownership, Savings and Mobility over the Life Cycle," unpublished manuscript, New York University
Zheng L., Pengfei W. and T. Zha (2009), "Do Credit Constraints Amplify Macroeconomic Fluctuations," preliminary unpublished working paper
Christensen, I., P. Corrigan, C. Mendicino and S. Nishiyama (2009)  "Consumption, Housing Collateral, and the Canadian Business Cycle," Bank of Canada Working Paper 09-26.

House Price Dynamics
Case, Karl E and Robert J. Shiller (1989), "The Efficiency of the Market for Single-Family Homes," American Economic Review, vol. 79(1), pages 125-37, March.
Wheaton, W. C. (1990), “Vacancy, search, and prices in a housing market matching model,” Journal of Political Economy 98 , pp. 1270—1292.
Stein, J. C. (1995), “Prices and trading volume in the housing market: A model with down-payment effects.” Quarterly Journal of Economics 110, pp. 379—406.
Williams, J. T. (1995) “Pricing real assets with costly search,” Review of Financial Studies 8, pp. 55—90.
Krainer, J. (2001), “A Theory of Liquidity in Residential Real Estate Markets”, Journal of Urban Economics, 49, 32—53
Case, Karl and Robert J. Shiller (2003), “Is there a bubble in the housing market?” Brookings Papers on Economic Activity, 2: 299-342.
Iacoviello, Matteo (2005), "House Prices, Borrowing Constraints and Monetary Policy in the Business Cycle," (2005), American Economic Review, vol. 95(3), pp. 739-764.  Technical appendix. Replication files are here.
Ríos-Rull, José-Víctor and Virginia Sánchez-Marcos (2008) "Aggregate Shocks and the volatility of house prices" working paper.
Khan, Aubhik and Julia K. Thomas,“Endogenous Market Segmentation and the Volatility of House Prices”  February 2009

Asset Market Segmentation and Monetary Policy
Grossman, Sanford and Laurence Weiss (1984) "A Transactions based model of the monetary transmission mechanism: Part 1"
Alvarez, Fernando, Andrew Atkeson, and Patrick J. Kehoe. 2002. Money, interest rates, and exchange rates with endogenously segmented markets. Journal of Political Economy
110 (February): 73—112.
Canzoneri, Matthew B., Robert E. Cumby, and Behzad T. Diba. (2007). "Euler equations and money market interest rates: A challenge for monetary policy models." Journal of Monetary Economics 54 (October): 1863—81.
King, Robert and Julia Thomas (2007) “Breaking the New Keynesian Dichotomy: Asset Market Segmentation and the Monetary Transmission Mechanism”, unpublished manuscript
Atkeson, Andrew and Patrick Kehoe (2008) "On the Need for a New Approach to Analyzing Monetary Policy," NBER Working Paper #14260
Khan, Aubik, and Julia Thomas (2009), "In‡flation and Interest Rates with Endogenous Market Segmentation," unpublished manuscript
Alvarez, Fernando, Andrew Atkeson and Chris Edmond (2009), "Sluggish Responses of Prices and Inflation to Monetary Shocks in an Inventory Model of Money Demand," Quarterly Jounrnal of Economics vol. 124(3), pp. 911-966

New Keynesian Models with State-Dependent Pricing
Dotsey, Michael, Robert King and Alexander Wolman, 1999, “State-Dependent Pricing and the General Equilibrium Dynamics of Money and Output,” Quarterly Journal of Economics,
114(2), pp. 655-690.
Klenow, Peter and O. Krystov (2008), "State-Dependent or Time-dependent pricing: Does it matter for recent US inflation?" Quarterly Journal of Economics, vol. 123 (3) pp. 863-904
Dotsey, Michael and Robert G. King (2005), "Implications of State-dependent pricing for dynamic macroeconomic models," 
Golosov, Mikhail, and Robert E. Lucas, Jr, (2004), “Menu Costs and Phillips Curves,” NBER working paper 10187
Virgiliu Midrigan (2006) "Menu Costs, Multi-Product Firms, and Aggregate Fluctuations," Center for Financial Studies worrking paper #2007/13
Gertler, Mark and John Leahy (2008), "A Phillips Curve with an SS Foundation," Journal of Political Economy vol. 116, 3.
Michael Dotsey, Robert G. King and Alexander L. Wolman (2009) "Inflation and real activity with firm-level productivity shocks," unpublished manuscript.