A Reading Note on 50 Macro and Finance Models (last update: Oct 11, 2022)
Partial List of Paper: (updated on Jan, 2022)
1. Moral Hazard: Innes (1990, JET); Rajan (1992, JF) ; Holmstrom and Tirole (1997, QJE) ; Farhi and Tirole (2012, AER)
2. Adverse Selection: Myers and Majluf (1984, JFE) ;Nenov (2017, RFS); Martin (2008, WP); Kurlat (2013, AER)
3. MH + AS: Dewatripont and Maskin (1995, REStud) ; Parlour and Plantin (2008, JF)
4. Bank Run: Diamond and Dybvig (1983, JPE) ; Morris and Shin (1998, AER) ; Liu (2020);
5. Pecuniary Externality: Korinek (2018, JIE); Davila and Korinek (2018, REStud)
6. Household heterogeneity: Krusell and Smith (1988, JPE); Auclert (2019, AER)
7. Firm Dynamics: Hopenhayn (1992, ECMA); Cooley and Quadrini (2001, AER) ; Arellano, Bai and Zhang (2012, JME) ; Khan and Thomas (2008, ECMA) ; Khan and Thomas (2013, JPE)
8. Uncertainty Shock: Bloom et al. (2018, ECMA); Basu and Bundick (2017, ECMA) ; Leduc and Liu (2016, JME) ; Arellano, Bai, and Kehoe (2019, JPE) ; Dong, Liu and Wang (2021, WP); Bernstein, Plante, Richter and Throckmorton (2021, WP)
9. Capital Reallocation: Jovanovic and Rousseau (2002, AER); David and Venkateswaran (2019, AER) ;David, Schmid, and Zeke (2018, WP)
10. Belief Heterogeneity: Geanakoplos (2010); Martin (2020); Simsek (2021); Dong, Liu, Wang and Zha (2022)
11. Asset Bubble: Miao and Wang (2018, AER); Plantin (2021)
12. Search and Matching in Macro (Housing): Genesove and Han (2012); Novy-Marx (2009)
2021/2022 Summer: Computation Study Group, PHBS
Welcome!
Part I: Introduction to Dynare and Representative Agent Macro Models (2021)
Introduction: Syllabus for 2021 summer.
Week 1: Slide and Sample Codes (updated on 05/28/2021) ; Problem Set 1 , and Solution with Codes for Q1 and Q2 (updated on 06/11/2021);
Week 2: Slide and Sample Codes (05/30/2021); Problem Set 2 (06/25/2021), and Solution with Codes for Q1 and Q2 (updated on 08/08/2021);
Week 3: Slide and Sample Codes (06/30/2021); Problem Set 3 (06/15/2021) , and Solution with Codes for Q1 and Q2 (updated on 08/23/2021);
Part II: Heterogeneous Agent Macro Models (2021)
Week 4: Slide and Sample Codes (08/10/2021); Problem Set 4 (08/10/2021), and Solution with Codes for Q1 and Q2 including a nice slide (updated on 09/02/2021);
Week 5: Slide and Sample Codes (09/10/2021); Problem Set 5 (09/10/2021),
Part III: Firm Dynamics/ Sovereign Default Models (2022)
Week 1: Slide on Hopenhayn (1992) and Cooley and Quadrini (2001); Replication Package for Hopenhayn (1992).
Week 2: Slide on Arellano (2008) and Arellano and Ramanarayanan(2012) (slide by Prof. Yan Bai); Replication Package for Arellano (2008).
Week 3: Slide on Arellano, Bai and Zhang (2012); Replication Package for ABZ (2012).
Part I: Introduction to Dynare and Representative Agent Macro Models (2021)
Introduction: Syllabus for 2021 summer.
Week 1: Slide and Sample Codes (updated on 05/28/2021) ; Problem Set 1 , and Solution with Codes for Q1 and Q2 (updated on 06/11/2021);
Week 2: Slide and Sample Codes (05/30/2021); Problem Set 2 (06/25/2021), and Solution with Codes for Q1 and Q2 (updated on 08/08/2021);
Week 3: Slide and Sample Codes (06/30/2021); Problem Set 3 (06/15/2021) , and Solution with Codes for Q1 and Q2 (updated on 08/23/2021);
Part II: Heterogeneous Agent Macro Models (2021)
Week 4: Slide and Sample Codes (08/10/2021); Problem Set 4 (08/10/2021), and Solution with Codes for Q1 and Q2 including a nice slide (updated on 09/02/2021);
Week 5: Slide and Sample Codes (09/10/2021); Problem Set 5 (09/10/2021),
Part III: Firm Dynamics/ Sovereign Default Models (2022)
Week 1: Slide on Hopenhayn (1992) and Cooley and Quadrini (2001); Replication Package for Hopenhayn (1992).
Week 2: Slide on Arellano (2008) and Arellano and Ramanarayanan(2012) (slide by Prof. Yan Bai); Replication Package for Arellano (2008).
Week 3: Slide on Arellano, Bai and Zhang (2012); Replication Package for ABZ (2012).
Presentation Slides at Reading Groups
1. Really Uncertain Business Cycles by Bloom et. al (2018): (1) presentation slides ; (2) notes. (presented at ECON5250 Macroeconomic Theory I, 2017/11/26)
2. Government Investment and Fiscal Stimulus by Leeper et. al (2010): (1) notes. (presented at HKUST Macro Group, 2018/02/22)
3. Uncertainty Shocks in a Model of Effective Demand by Basu and Bundick (2018): (1) in Chinese. (2) notes. (presented at HKUST Macro Group, 2018/04/06)
4. Increasing Returns and Economic Geography by Krugman (1991): (1) notes; (2) slides. (presented at ECON5560, 2018/04/26)
5. Household Heterogeneity in Macroeconomics: Part 1 . (1) slides. (presented at Macro Method Workshop in August, 2018)
6. The Great Housing Boom of China by Chen and Wen (2016). (1)slides . (presented at SOSC5720, 2018/10/18)
7. House prices, borrowing constraints, and monetary policy in the business cycle by Iacoviello (2005) (1)slides. (presented at HKUST Macro Group, 2018/11/20)
8. Monetary Policy and Re-distributional Channels by Auclert (2019): (1)slides. (presented at HKUST Macro Group, 2018/12/11)
9. Credit risk and Aggregate Fluctuations in an Economy with Production Heterogeneity by Khan and Thomas (2013): (1) slides. (presented at HKUST Macro Group, 2019/03/20)
10. Two Models of Firm Dynamics: Hopenhayn (1992) & Cooley and Quadrini (2001): (1)slides. (presented at HKUST Macro Group, 2019/09/09)
11. Endogenous Credit Cycles by Alberto Martin (2008): (1) notes; (2) slides. (prepared for HKUST Macro Group, 2019/11/11)
12. The Q-Theory of Mergers by Jovanovic and Rousseau (2012). (1)slides . (prepared for HKUST Macro Group)
13. Firm Dynamics and Financial Development by Arellano, Bai and Zhang (2012): (1) slides. (presented at HKUST Macro Group, 2020/04/16)
14. Solving the incomplete markets model with aggregate uncertainty using the Krusell–Smith algorithm by Maliar, Maliar and Valli (2010): (1) slides. (prepared for PHBS)
15. A method for solving and estimating heterogeneous agent macro models by Winberry (2018): (1) slides. (prepared for PHBS); (2) replication note
16. Default risk and income fluctuations in emerging economies by Arellano (2008): (1) replication code.
17. Pecuniary externalities in economies with financial frictions by Dávila and Korinek (2018): (1) slides. (presented at HKUST Macro Group, 2020/07/29)
18. Two models on endogenous leverage (Geanakopolos, 2010; Simsek, 2013): slide (presented at PHBS, Oct 2021)
19. Financial network and contagion by Elliott, Golub and Jackson (2014): slide (presented at PHBS, Mar 2022)
20. Real credit cycles by Bordalo, Gennaioli, Shleifer and Terry (2021): slide (presented at PHBS, June 2022); discussion (at CICM 2022)
21. Estimating the Fed’s unconventional policy shocks by Jarociński (2024): slide (presented at HKUST Macro Group, 2024/02/21)
2. Government Investment and Fiscal Stimulus by Leeper et. al (2010): (1) notes. (presented at HKUST Macro Group, 2018/02/22)
3. Uncertainty Shocks in a Model of Effective Demand by Basu and Bundick (2018): (1) in Chinese. (2) notes. (presented at HKUST Macro Group, 2018/04/06)
4. Increasing Returns and Economic Geography by Krugman (1991): (1) notes; (2) slides. (presented at ECON5560, 2018/04/26)
5. Household Heterogeneity in Macroeconomics: Part 1 . (1) slides. (presented at Macro Method Workshop in August, 2018)
6. The Great Housing Boom of China by Chen and Wen (2016). (1)slides . (presented at SOSC5720, 2018/10/18)
7. House prices, borrowing constraints, and monetary policy in the business cycle by Iacoviello (2005) (1)slides. (presented at HKUST Macro Group, 2018/11/20)
8. Monetary Policy and Re-distributional Channels by Auclert (2019): (1)slides. (presented at HKUST Macro Group, 2018/12/11)
9. Credit risk and Aggregate Fluctuations in an Economy with Production Heterogeneity by Khan and Thomas (2013): (1) slides. (presented at HKUST Macro Group, 2019/03/20)
10. Two Models of Firm Dynamics: Hopenhayn (1992) & Cooley and Quadrini (2001): (1)slides. (presented at HKUST Macro Group, 2019/09/09)
11. Endogenous Credit Cycles by Alberto Martin (2008): (1) notes; (2) slides. (prepared for HKUST Macro Group, 2019/11/11)
12. The Q-Theory of Mergers by Jovanovic and Rousseau (2012). (1)slides . (prepared for HKUST Macro Group)
13. Firm Dynamics and Financial Development by Arellano, Bai and Zhang (2012): (1) slides. (presented at HKUST Macro Group, 2020/04/16)
14. Solving the incomplete markets model with aggregate uncertainty using the Krusell–Smith algorithm by Maliar, Maliar and Valli (2010): (1) slides. (prepared for PHBS)
15. A method for solving and estimating heterogeneous agent macro models by Winberry (2018): (1) slides. (prepared for PHBS); (2) replication note
16. Default risk and income fluctuations in emerging economies by Arellano (2008): (1) replication code.
17. Pecuniary externalities in economies with financial frictions by Dávila and Korinek (2018): (1) slides. (presented at HKUST Macro Group, 2020/07/29)
18. Two models on endogenous leverage (Geanakopolos, 2010; Simsek, 2013): slide (presented at PHBS, Oct 2021)
19. Financial network and contagion by Elliott, Golub and Jackson (2014): slide (presented at PHBS, Mar 2022)
20. Real credit cycles by Bordalo, Gennaioli, Shleifer and Terry (2021): slide (presented at PHBS, June 2022); discussion (at CICM 2022)
21. Estimating the Fed’s unconventional policy shocks by Jarociński (2024): slide (presented at HKUST Macro Group, 2024/02/21)