CEF.UP - Advanced Course

Macro, Money, and Finance

CEF.UP – Advanced Course
(mandatory course for Advanced Economic Analysis PhD Students)

December 2nd/3rd/4th/5th, 2024: 10:00h - 13:00h
December 6th, 2024: 10:00h - 12:00h



“Macro, Money, and Finance”


Sebastian Merkel – School of Economics, University of Bristol (England, United Kingdom)


Course Description:
This course exposes participants to modern continuous time modeling techniques at the intersection of macroeconomics, monetary economics, and finance. On the methodological side, the aim of the course is to provide advanced analytical and numerical tools and a step-by-step solution procedure that participants can apply to a variety of economic problems. In terms of economic topics, the first part of the course covers real models with financial frictions and exposes participants to several important macrofinance themes, including: non-linear amplification dynamics, endogenous risk and risk premia, imperfect idiosyncratic risk sharing, dynamics of the wealth distribution. The second part links the analysis to monetary economics by introducing monetary macrofinance models and applying them to a number of topics such as: price level determination, safe assets and flight to safety, rational bubbles, bank money creation, aggregate demand recessions

Plan of Lecture Topics:
0. Introduction: What is Macrofinance? Why continuous time?
1. Methods I: Stochastic Calculus, Stochastic Control, Portfolio Choice
2. Financial Frictions and Risk Dynamics
3. Idiosyncratic Risk and Wealth Dynamics
4. Methods II: Solving Low-Dimensional Differential Equations
5. Monetary Models and Concepts
6. [optional] Money and Banking
7. [optional] New Keynesian Price Setting Frictions
8. [optional] Methods III: Solving High-Dimensional Differential Equations with Machine Learning

Note: The last three topics are optional and subject to time constraints. These topics may be removed from the final syllabus or appear there in a different order.

Professor Sebastian will also give an ECO Seminar on December 6th at 13h, "Flight to Safety and New Keynesian Demand Recessions". Check it HERE.

Check your e-mail soon or contact Cef.Up for registration.


This is an in-person course, register no later than Friday, November 29th at 15:00h.

REGISTRATION FORM



“Cef.up is financed by Portuguese public funds through FCT - Fundação para a Ciência e Tecnologia, I.P., in the framework of the project with reference UIDB/04105/2020”