Lawrence J. Christiano
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Computational Economics and Econometrics
Computational Economics and Econometrics A. Ronald Gallant Penn State University c 2015 A. Ronald Gallant Course Website http://www.aronaldg.org/courses/compecon Go to website and discuss • Preassignment • Course plan (briefly now, in more detail a few slides later) • Source code • libscl • Lectures • Homework • Projects Course Objective – Intro Introduce modern methods of computation and numerical anal- ysis to enable students to solve computationally intensive prob- lems in economics, econometrics, and finance. The key concepts to be mastered are the following: • The object oriented programming style. • The use of standard data structures. • Implementation and use of a matrix class. • Implementation and use of numerical algorithms. • Practical applications. • Parallel processing. Details follow Object Oriented Programming Object oriented programming is a style of programming devel- oped to support modern computing projects. Much of the devel- opment was in the commercial sector. The features of interest to us are the following: • The computer code closely resembles the way we think about a problem. • The computer code is compartmentalized into objects that perform clearly specified tasks. Importantly, this allows one to work on one part of the code without having to remember how the other parts work: se- lective ignorance • One can use inheritance and virtual functions both to describe the project design as interfaces to its objects and to permit polymorphism. Inter- faces cause the compiler to enforce our design, relieving us of the chore. Polymorphism allows us to easily swap in and out objects so we can try different models, different algorithms, etc. • The structures used to implement objects are much more flexible than the minimalist types of non-object oriented language structures such as subroutines, functions, and static common storage. -
Estimating the Effects of Fiscal Policy in OECD Countries
Estimating the e®ects of ¯scal policy in OECD countries Roberto Perotti¤ This version: November 2004 Abstract This paper studies the e®ects of ¯scal policy on GDP, in°ation and interest rates in 5 OECD countries, using a structural Vector Autoregression approach. Its main results can be summarized as follows: 1) The e®ects of ¯scal policy on GDP tend to be small: government spending multipliers larger than 1 can be estimated only in the US in the pre-1980 period. 2) There is no evidence that tax cuts work faster or more e®ectively than spending increases. 3) The e®ects of government spending shocks and tax cuts on GDP and its components have become substantially weaker over time; in the post-1980 period these e®ects are mostly negative, particularly on private investment. 4) Only in the post-1980 period is there evidence of positive e®ects of government spending on long interest rates. In fact, when the real interest rate is held constant in the impulse responses, much of the decline in the response of GDP in the post-1980 period in the US and UK disappears. 5) Under plausible values of its price elasticity, government spending typically has small e®ects on in°ation. 6) Both the decline in the variance of the ¯scal shocks and the change in their transmission mechanism contribute to the decline in the variance of GDP after 1980. ¤IGIER - Universitµa Bocconi and Centre for Economic Policy Research. I thank Alberto Alesina, Olivier Blanchard, Fabio Canova, Zvi Eckstein, Jon Faust, Carlo Favero, Jordi Gal¶³, Daniel Gros, Bruce Hansen, Fumio Hayashi, Ilian Mihov, Chris Sims, Jim Stock and Mark Watson for helpful comments and suggestions. -
Computational Topics in Economics and Econometrics Spring Semester 2003 Tuesday 12-2 Room 315 Christopher Flinn Room 302 Christopher.fl[email protected]
Computational Topics in Economics and Econometrics Spring Semester 2003 Tuesday 12-2 Room 315 Christopher Flinn Room 302 christopher.fl[email protected] Introduction: The objective of this course is to develop computational modeling skills that will increase the stu- dent’s capacity for performing quantiative research in economics. The basic premise of the course is the following. To adequately explain social phenomena of interest to economists requires the use of relatively sophisticated, albeit stylized, models. These models, whether involving only the solution of individual decision rules in a dynamic context or the determination of equilibria in a general equilibrium model, can only be solved numerically. We will review techniques that allow the solution of a large class of fixed point problems, which virtually all economic problems can be cast as, and will illustrate and compare techniques in the context of diverse examples. As an integral part of the course, students will be expected to contribute problems of their own, hopefully taken from current research questions they are investigating. We will also study the use of computational-intensive techniques in econometrics. Over the past several decades there have been a lot of exciting developments in this area due to enormous increases in processor speed and affordability. Topics in this area that we will treat include general computational issues in the estimation of nonlinear models, simulation estimation methods (maximum likelihood and method of moments), bootstrap methods, and the E-M algorithm. Examples from my own and other applied economists’ research will be used to illustrate the methods where appropriate. Because applied numerical analysis is at least one-half art form, it will be extremely useful for all of us to hear from individuals who have successfully completed large research projects that required them to solve daunting computational problems in the process. -
Complexity Economics Theory and Computational Methods
Complexity Economics Theory and Computational Methods Dr. Claudius Gräbner Dr. Torsten Heinrich Institute for the Comprehensive Analysis of the Economy (ICAE) Institute for New Economic Thinking (INET) & Oxford Martin School Johannes Kepler University Linz University of Oxford & & Institute for Socio-economics University of Bremen University of Duisburg-Essen & www.torsten-heinrich.com ZOE. Institute for Future-Fit Economies @TorstenHeinriX www.claudius-graebner.com @ClaudiusGraebner Summer Academy for Pluralism in Economics Exploring Economics 10.08.2018 Plan for first lecture • Getting to know ourselves • Clarify organizational issues and resolve open issues • Introduce and explain background of course outline • Start with meta-theoretical framework 2 Claudius Gräbner & Torsten Heinrich: Complexity Economics. Theory and Comp Methods @ Exploring Economics Summer Academy, Aug 9-16 2019 Intro Claudius Torsten • Studied economics in Dresden and Madrid • Studied „Staatswissenschaften“, i.e. economics, law, and social sciences in Erfurt • PhD and Habilitation in economics in Bremen, Germany • PhD in economics in Bremen, Germany • Now: Post Doc at Oxford University • Several stays in Santa Fe, USA • Institute for New Economic Thinking (INET), • Now: Post Doc at the Johannes Kepler University in Oxford Martin School (OMS) & Wolfson College Linz, Austria & University of Duisburg-Essen, Germany • Main interests: • Main interests: • Complex systems science and agent-based • Economic development, technological change computational economics and -
Simulating Inflation 1
Running head: SIMULATING INFLATION 1 Simulating Inflation: Is the Economy a Big Balloon? Ryan Heathcote A Senior Thesis submitted in partial fulfillment of the requirements for graduation in the Honors Program Liberty University Spring 2013 SIMULATING INFLATION 2 Acceptance of Senior Honors Thesis This Senior Honors Thesis is accepted in partial fulfillment of the requirements for graduation from the Honors Program of Liberty University. ______________________________ Mark Shaneck, Ph.D. Thesis Chair ______________________________ Terry Metzgar, Ph.D. Committee Member ______________________________ Monty Kester, Ph.D. Committee Member ______________________________ James H. Nutter, D.A. Honors Director ______________________________ Date SIMULATING INFLATION 3 Abstract Inflation is a common problem in modern economics, and it seems to persist, requiring government financial policy intervention on a regular basis in order to properly manage. The mechanics of inflation are difficult to understand, since the best metric modern society has for inflation involves taking samples of prices across the country. A simulation can give deeper insight into more than the mere fact that prices rise over time: a simulation can help to answer the “why” question. The problem with this statement is that developing a simulation is not as simple as writing some code. A simulation is developed according to a paradigm, and paradigms are not created equal. Research reveals that traditional paradigms that impose order from the outside do not mimic reality and thus do not give a good degree of accuracy. By contrast, Agent Based Modelling models reality very closely and is consequently able to simulate economic systems much more accurately. SIMULATING INFLATION 4 Simulating Inflation: Is the Economy a Big Balloon? It is often said that life’s two inevitabilities are death and taxes. -
Professor Zvi Eckstein
Professor Zvi Eckstein January 2020 The Interdisciplinary Center Herzliya - IDC P. O. Box 167, Herzliya, ISRAEL 46150 [email protected] Phone: 972-9-960-2706 (office); 972-3-647-8146 (home) 972-5 0-381-0090 (mobile); Fax: 972-9-960-2758 (office) Home Page: http://www1.idc.ac.il/Faculty/Eckstein/index.html CURRICULUM VITAE Date of Birth: April 9, 1949, Israel Marital Status: Married + 3 children + 3 grandchildren EDUCATION 1971-1974 Tel-Aviv University Economics B.A. 1974 1976-1980 University of Minnesota Economics Ph.D.1981 Doctoral Dissertation: Rational Expectations Modeling of Agricultural Supply: The Egyptian Case Current Positions: Dean and Professor, the Tiomkin School of Economics, the Interdisciplinary Center Herzliya – IDC. Head, the Aaron Economic Policy Institute, IDC, Herzliya Tel Aviv University, the Eitan Berglas School of Economics, Emeritus Professor. ACADEMIC AND PROFESSIONAL EXPERIENCE 1980-1984 Yale University, Department of Economics & Economic Growth Center, Assistant Professor 1983-1985 Tel Aviv University, Department of Economics, Lecturer 1985-1989 Tel-Aviv University, Department of Economics Senior Lecturer 1989-1999 Tel-Aviv University, Department of Economics Associate Professor 1999-2012 Tel-Aviv University, Berglas School of Economics Full Professor 1986-1987 Carnegie-Mellon University, GSBA, Visiting Associate Professor 1987-1988 University of Pittsburgh, Department of Economics, Visiting Associate Professor 1989-2001 Boston University, Department of Economics Professor 2001-2006 University of Minnesota, Department of Economics Professor 2006-2011 Bank of Israel Deputy Governor 2011-2019 University of Pennsylvania, Wharton School of Business Visiting Professor ACADEMIC AND PROFESSIONAL AWARDS 1976-78 University of Minnesota, Korda Fellowship 1982 General Service Foundation, Grant to the Economic Growth Center at Yale University. -
Caesarea Forum - Xvii
CAESAREA FORUM - XVII PROGRAM Chair: Dr. Yuval Steinitz, Minister of Finance Academic Director of the Forum: Mr. David Brodet Wednesday and Thursday, 1st -2nd July 2009 Hotel Royal Beach, Eilat WEDNESDAY, 1st JULY 2009 8:30 - 9:30 Registration and assembly 9:30 - 13:00 First Session : "The Requisite Size of the Government - between Economy and Politics" [The Olive and Acacia Hall] Presentation of the Team's Recommendations: Prof. Joseph Zeira , Department of Economics, The Hebrew University of Jerusalem Presenters: Prof. Avishai Braverman, Minister of Minority Affairs Mr. Yoram Ariav , Director General and Acting Head of the Budget Department, Ministry of Finance Prof. Zvi Eckstein , Deputy Governor, Bank of Israel Dr. Michel Strawczynski, Director, Macro-Economic and Policy Department, Bank of Israel Prof. Omer Moav, Department of Economics, The Hebrew University of Jerusalem Prof. Manuel Trajtenberg , Head, National Economic Council, Prime Minister's Office Ms. Yael Andorn, Director General, Amitim Pension Funds Dr. Yossi Bachar , Economic Consulting and Business Development Ltd. Dr. Eldad Shidlovsky , Head, Economics and Research Department, Ministry of Finance Plenary discussion 13:00 - 14:15 Minister of Finance's Session : [The Ranch House Restaurant] Luncheon Address by the Dr. Yuval Steinitz, Minister of Finance 14:30 - 18:15 Second Session : "The Future of Growth Promotion in Israel: A Return to Boosting Avant-garde Industries and Scientific Technological Innovation" [The Olive and Acacia Hall] 14:30-16:30 Presentation of the Team's Recommendations: Prof. Arnon Bentor, Dean, Civil and Environmental Engineering Faculty, and Senior Researcher, The Neaman Institute, The Technion Presenters: Mr. Eli Hurvitz, Chairman, Teva Pharmaceutical Industries Ltd. -
Lawrence J. Christiano
1 May, 2017 LAWRENCE J. CHRISTIANO VITA Personal Data Home Address Office Address 2517 Thornwood Department of Economics Wilmette, Illinois 60091 Northwestern University (847) 251-5710 Evanston, Illinois 60208 Citizenship: U.S.A. (847) 491-8231 Education Degree Field Institution Year Ph.D. Economics Columbia University 1982 M.Sc. Econometrics/Mathematical London School of Economics 1977 Economics M.A. Economics University of Minnesota 1975 B.A. History/Economics University of Minnesota 1973 Experience September 1, 2016 – present: Chairman, Department of Economics, Northwestern University. September 1, 2002 – present: Alfred W. Chase Chair in Business Institutions, Northwestern University. Summers 1999, 2000, 2001: Visiting Scholar, International Monetary Fund. Summers, 2001 and 2002: Visiting Scholar, European Central Bank. Fall 1999 – present: Short courses on ‘Monetary Economics’ at Stockholm School of Economics; International Monetary Fund; Banca D’Italia; Central Bank of Portugal; Central Bank of Chile; European Central Bank; University of Bonn; New University of Lisbon; Humboldt University; Bocconi University; Massachusetts Institute of Technology; Study Center Gerzensee; Central Bank of Israel; Central Bank of Turkey; European Business Cycle Network; Brazilian Central Bank; Reserve Bank of New Zealand; Swiss National Bank; University of Amsterdam; University of 2 Toronto; American Economic Association; Central Bank of Peru; Central Bank of Colombia; Central Bank of Hungary; Central Bank of Czech Republic; Kiel Institute; Central Bank of Korea, Hanqing Advanced Institution of Economics and Finance, Renmin University of China; Shanghai Advanced Institute of Finance; Southwest University of Finance and Economics, Chengdu. Summer 1996 – 2007, consultant, Federal Reserve Bank of Cleveland. Fall 2008 - present, consultant, Federal Reserve Bank of Atlanta. July, 1995: consultant, Board of Governors, Federal Reserve System. -
Botticini Cvdecember2017-1.Pdf
MARISTELLA BOTTICINI December 2017 Department of Economics and IGIER, Università Bocconi http://www.igier.unibocconi.it/botticini Education 1997 PhD in Economics, Northwestern University, Evanston 1990 Laurea in Economics, Università Bocconi, Milano (110/110 cum laude) 1985 Diploma, Liceo classico statale “Arnaldo”, Brescia (60/60) Research Interests Economic History, Applied Microeconomics, Economics of Institutions Academic Career and Affiliations 2011-current Director, IGIER (Innocenzo Gasparini Institute for Economic Research), Università Bocconi 2009-current Professor of Economics, Università Bocconi 2006-2009 Professor of Economics, Università di Torino 2004-2005 Associate Professor with tenure, Department of Economics, Boston University 1997-2004 Assistant Professor, Department of Economics, Boston University 2011-current Fellow, European Economic Association 2009-current Fellow, IGIER (Innocenzo Gasparini Institute for Economic Research), Università Bocconi 2005-current Research Fellow, Center for Economic Policy and Research (CEPR), London Honors and Awards 2012 National Jewish book award in the category of “scholarship” (Nahum M. Sarna Memorial Award) for the book The Chosen Few written with Zvi Eckstein 2014, 2013, 2012, 2011, 2009 Teaching award (Premio per la didattica), Università Bocconi 2002-2004 Alfred P. Sloan research fellowship (annually awarded to eight economists in the U.S.) 2000-2001 John M. Olin Junior Faculty fellowship (annually awarded to young scholars in the U.S.) 2000 University-wide teaching award, Boston University 1999 Neu Family teaching and research awards, Department of Economics, Boston University 1993-1995 Scholarship from Ente Einaudi (Roma) 1991-1993 Scholarship “Luciano Jona” from Compagnia di San Paolo (Torino) Grants (Principal Investigator) 2012-2018 European Research Council (ERC), 5-year Advanced research grant (“Contracts, Institutions, and Markets in Historical Perspective”) 2004-2006 National Science Foundation, 2-year grant SES-0339133 (“Empirical Analysis of Matching Models”) with Daniel A. -
1 Political Shocks and Asset Prices Daniel Carnahan
Political Shocks and Asset Prices Daniel Carnahan (Business Insider) Sebastian Saiegh (University of California San Diego) Abstract We estimate how asset prices respond to a range of political shocks, including changes in a country’s economic stewardship, national elections, coup d'états, wars, and terrorist attacks. Multiple instances of these events took place in Argentina between 1967 and 2020. Using an event study approach and over 13,000 daily prices from the Buenos Aires exchange, we find that stock-market volatility increases in the days immediately following unexpected, major policy- shifting events. These results hold irrespective of whether market returns are measured in nominal terms, in local consumption units, or in US dollars. Our analysis allows us to establish comparisons across different types of political shocks while avoiding the identification problems of multi-country event studies. The most significant increase in post-event risk is associated with irregular government turnovers (coup d'états, presidential death, resignations); approximately 100 percent on average, when returns are expressed in US dollars. Volatility also increases in the days immediately following a defeat in an international war, national elections and changes in the country’s economic stewardship. No changes in stock market volatility occur, however, after terrorist attacks or when the date of a new administration’s inauguration is publicly known and determined sufficiently far in advance. Word Count: 10,929 1 Introduction Investors concerned about non-commercial risks need to consider their exposure to political events that may affect the value of their assets. These political risks can originate in specific government actions, such as laws or regulations. -
Enhanced Step-By-Step Approach for the Use of Big Data in Modelling for Official Statistics
Enhanced step-by-step approach for the use of big data in modelling for official statistics Dario Buono1, George Kapetanios2, Massimiliano Marcellino3, Gian Luigi Mazzi4, Fotis Papailias5 Paper prepared for the 16th Conference of IAOS OECD Headquarters, Paris, France, 19-21 September 2018 Session 1.A., Day 1, 19/09, 11:00: Use of Big Data for compiling statistics 1 Eurostat, European Commission. Email: [email protected] 2 King’s College London. Email: [email protected] 3 Bocconi University. Email: [email protected] 4 GOPA. Email: [email protected] 5 King’s College London. Email: [email protected] Dario Buono [email protected], European Commission George Kapetanios [email protected] King’s College London Massimiliano Marcellino [email protected] Bocconi University Gian Luigi Mazzi [email protected] GOPA Fotis Papailias [email protected] King’s College London Enhanced step-by-step approach for the use of big data in modelling for official statistics DRAFT VERSION DD/MM/2018 PLEASE DO NOT CITE (optional) Prepared for the 16th Conference of the International Association of Official Statisticians (IAOS) OECD Headquarters, Paris, France, 19-21 September 2018 Note (optional): This Working Paper should not be reported as representing the views of the Author organisation/s. The views expressed are those of the author(s). ABSTRACT In this paper we describe a step-by-step approach for the use of big data in nowcasting exercises and, possibly, in the construction of high frequency and new indicators. We also provide a set of recommendations associated to each step which are based on the outcome of the other tasks of the project as well as on the outcome of the previous project on big data and macroeconomic nowcasting. -
Dr Martin Kliem
Martin Kliem Deutsche Bundesbank Office Phone: +49-(0)69-9566-4759 Research Centre Mail: [email protected] Wilhelm-Epstein-Straße 14 60431 Frankfurt am Main Germany EDUCATION 05/2005 - 07/2009 Doctorate in Economics at the Humboldt-Universität zu Berlin (Ph.D. equivalent) Advisor: Prof. Harald Uhlig, Ph.D. Thesis: "Essays on Asset Pricing and the Macroeconomy" 10/1998 - 08/2004 Diploma in Business Administration at Humboldt-Universität zu Berlin (M.A. equivalent) 10/1998 - 04/2004 Diploma in Economics at Humboldt-Universität zu Berlin (M.A. equivalent) WORK EXPERIENCE 04/2009 - present Economist, Deutsche Bundesbank, Research Centre 09/2014 - 11/2014 European University Institute, Florence Pierre Werner Fellow at the Robert Schuman Centre of Advanced Studies 05/2005 - 03/2009 Humboldt-Universität zu Berlin Research associate at the Collaborative Research Center 649 "Eco- nomic Risk" 09/2004 - 04/2005 Consultant, J.O.R. FinConsult GmbH, Berlin RESEARCH INTERESTS Macroeconomics, Applied Macroeconometrics, Asset Pricing, Fiscal and Monetary Policy 1 PUBLICATIONS Monetary-fiscal policy interaction and fiscal inflation: a tale of three countries, with Alexan- der Kriwoluzky and Samad Sarferaz, European Economic Review, Vol. 88, 158-184, 2016. On the low-frequency relationship between public deficits and inflation, with Alexander Kri- woluzky and Samad Sarferaz, Journal of Applied Econometrics, Vol. 31(3), 566-583, 2016. Bayesian estimation of a dynamic stochastic general equlibrium model with asset prices, with Harald Uhlig, Quantitative Economcis, Vol. 7(1), 257-287, 2016. Toward a Taylor rule for fiscal policy, with A. Kriwoluzky, Review of Economic Dynamics, Vol. 17(2), 294-302, 2014. Assessing macro-financial linkages: A model comparison exercise, with R.