Topics in Advanced Macroeconomics and Finance, Econ 221B

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1 Topics in Advanced Macroeconomics and Finance, Econ 221B François Geerolf "Chance favors only the prepared mind." (Louis Pasteur, , discoverer of vaccination, microbial fermentation and pasteurization) Lectures: Mondays and Wednesdays, 9:00am-10:15am, Bunche Office Hours: By appointment. (drop me an Course Website: Course Overview. I have two objectives for this course: 1. I will try to you a broad overview of near frontier research in macroeconomics. You should expect quite a bit of overlap with your finance, theory, IO, and even applied micro and public finance courses, especially in the third part of the course on heterogeneity in macroeconomics. I will also try to sometimes go as far as possible in narrowly defined subjects, to discuss what the frontier of research looks like. I will naturally present things that are closer to my own areas of interests, but I hope that you will find these topics interesting too. 2. Along the way I shall aim at giving you some basic methodological tools, which you may find useful when trying to pursue your own research interests. I will review the basics of optimal control theory, stochastic differential equations, and recursive methods. Textbook. This course is mostly based on recent journal articles, and no textbook covers them all. As we go along, you may want to refer to the following classic textbooks: Romer s Advanced Macroeconomics, Stokey, Lucas, Prescott Recursive Methods in Economic Dynamics, Cochrane s Asset Pricing, Ljungqvist and Sargent s Recursive Macroeconomic Theory, Blanchard and Fischer s Lectures on Macroeconomics. Grading. Your final grade shall have three components: 1. Presentation (20%). By groups of two, you should present and discuss a recent paper linked to the topic of the course and your subject of interest ( presentation) during Week 10. The paper should be one that you think will have an impact on the literature. You should send me a proposal by Week Referee Report (30%). The referee report should be sent by by Week 6. You have complete freedom on the paper you would like to referee, as long as it is related in some way to macroeconomics and finance. You should send me a proposal by Week A replication / extension exercise (50%). You should take an empirical macro / finance paper for which the data is public, replicate it, and extend it in some interesting way (among many examples: do robustness checks, add controls, merge with another dataset, etc.) by Week 11. You should send me a proposal by Week 8. 1

2 Reading List The course is divided in three parts: 1. Finance (Lectures 2-7). The first part will cover macro-finance with frictions, be they informational or behavioral. Lecture 2 will review basic production based asset pricing. Lecture 3 will move to classic models with financial frictions. Lecture will be developing behavioral models with heterogeneous beliefs. Finally, lectures 7-8 will introduce you to different theories of financial bubbles. Lecture 8, which looks at the link between bubbles and macroeconomics fluctuations, will allow us to transition to a more macro-oriented part of the course. 2. Economic Fluctuations (Lectures 8-11). The second part will cover non standard theories of the business cycles, be they driven by bubbles (Lecture 8), news in advance of real shocks (Lecture 10), or noise (Lecture 11). In the process, we will also touch upon equilibrium selection through the global games approach. 3. Heterogeneity and Macroeconomics (Lectures 12-16). In the third part of the course, I will review a very active line of research introducing heterogeneity in macroeconomics. We will review static as well as dynamic models. These models are used throughout industrial organization, trade, public, labor and growth. Lecture 1: Introduction to a Macro Finance Course R. J. Caballero, Macroeconomics after the Crisis: Time to Deal with the Pretense-of-Knowledge Syndrome, Journal of Economic Perspectives, vol. 24, no. 4, pp , nov 2010 O. J. Blanchard, The State of Macro, Annual Review of Economics, vol. 1, no. 1, pp , sep 2009 L. E. Ohanian, The Economic Crisis from a Neoclassical Perspective, Journal of Economic Perspectives, vol. 24, no. 4, pp , nov 2010 N. G. Mankiw, The Macroeconomist as Scientist and Engineer, Journal of Economic Perspectives, vol. 20, no. 4, pp , 2006 E. S. Phelps, Macroeconomics for a Modern Economy, American Economic Review, vol. 65, no. 2, pp , jun 2007 B. McCallum, New Classical Macroeconomics: A Sympathetic Account, The Scandinavian Journal of Economics, 1989 O. J. Blanchard, Comment on "New Classical Macroeconomics: A Sympathetic Account", The Scandinavian Journal of Economics, vol. 91, no. 2, pp , 1989 Lecture 2: Frictionless Investment Benchmark F. Hayashi, Tobin s Marginal Q and Average Q: a Neoclassical Interpretation, Econometrica, vol. 50, no. 1, pp ,

3 S. N. Kaplan and L. Zingales, Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints? The Quarterly Journal of Economics, vol. 112, no. 1, pp , 1997 F. Modigliani and M. Miller, The Cost of Capital, Corporation Finance and the Theory of Investment, American Economic Review, vol. 48, no. 3, pp , 1958 J. Cochrane, Presidential Address: Discount Rates, Journal of Finance, vol. 66, no. 4, pp , 2011 R. E. Lucas, Asset Prices in an Exchange Economy, Econometrica, vol. 46, no. 6, pp , 1978 Lecture 3: Classic Models of Financial Frictions B. Holmstrom and J. Tirole, Financial Intermediation, Loanable Funds, and the Real Sector, The Quarterly Journal of Economics, vol. 112, no. 3, pp , 1997, Private and Public Supply of Liquidity, Journal of Political Economy, vol. 106, no. 1, pp. 1 40, 1998 M. Mitchell, L. Pedersen, and T. Pulvino, Slow Moving Capital, American Economic Review, Papers and Proceedings, vol. 97, no. 2, pp , 2007 M. K. Brunnermeier and Y. Sannikov, A Macroeconomic Model with a Financial Sector, American Economic Review, vol. 104, no. 2, pp , feb 2014 B. S. Bernanke and M. Gertler, Agency Costs, Net Worth, and Business Fluctuations, American Economic Review, vol. 79, no. 1, pp , 1989 B. Bernanke, M. Gertler, and S. Gilchrist, The Financial Accelerator in a Quantitative Business Cycle Framework, Handbook of Macroeconomics, vol. 1, pp , 1999 N. Kiyotaki and J. Moore, Credit Cycles, Journal of Political Economy, vol. 105, no. 2, pp , 1997 B. S. Bernanke and M. Gertler, Inside the Black Box: The Credit Channel of Monetary Policy Transmission, Journal of Economic Perspectives, vol. 9, no. 4, pp , nov 1995 B. Bernanke and M. Gertler, Financial Fragility and Economic Performance, The Quarterly Journal of Economics, vol. 105, no. 1, pp , 1990 S. M. Fazzari, R. G. Hubbard, B. C. Petersen, A. S. Blinder, and M. James, Financing Corporate Constraints Investment, Brookings Papers on Economic Activity, vol. 1, no. 1, pp , 1988 M. K. Brunnermeier, T. M. Eisenbach, and Y. Sannikov, Macroeconomics with Financial Frictions : A Survey, Advances in Economics and Econometrics, Tenth World Congress of the Econometric Society, 2013 M. Gertler and P. Karadi, A Model of Unconventional Monetary Policy, Journal of Monetary Economics, vol. 58, no. 1, pp , jan

4 Lecture 4: Models of Heterogeneous Beliefs E. Miller, Risk, Uncertainty, and Divergence of Opinion, Journal of Finance, vol. 32, no. 4, pp , jul 1977 J. Harrison and D. Kreps, Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations, The Quarterly Journal of Economics, vol. 92, no. 2, pp , 1978 E. Ofek and M. Richardson, DotCom Mania: The Rise and Fall of Internet Stock Prices, Journal of Finance, vol. 58, no. 3, pp , jun 2003 J. Scheinkman and W. Xiong, Overconfidence and Speculative Bubbles, Journal of Political Economy, vol. 111, no. 6, pp , dec 2003 J. DeLong, A. Shleifer, L. H. Summers, and R. J. Waldmann, Noise Trader Risk in Financial Markets, Journal of Political Economy, vol. 98, no. 4, pp , 1990 J. Scheinkman, Speculation, Trading and Bubbles. New York: Columbia University Press, 2014 A. Shleifer and R. W. Vishny, The Limits of Arbitrage, Journal of Finance, vol. 52, no. 1, p. 35, mar 1997 J. Chen, H. Hong, and J. C. Stein, Breadth of Ownership and Stock Returns, Journal of Financial Economics, vol. 66, no. 2-3, pp , nov 2002 H. G. Hong and J. C. Stein, Differences of Opinion, Short-Sales Constraints, and Market Crashes, Review of Financial Studies, vol. 16, no. 2, pp , apr 2003 H. Hong, J. Scheinkman, and W. Xiong, Asset Float and Speculative Bubbles, Journal of Finance, vol. 61, no. 3, pp , jun 2006, Advisors and Asset Prices: A Model of the Origins of Bubbles, Journal of Financial Economics, vol. 89, no. 2, pp , aug 2008 H. Hong and J. Stein, Disagreement and the Stock Market, Journal of Economic Perspectives, vol. 21, no. 2, pp , 2007 A. Ashcraft, N. Garleanu, and L. Pedersen, Two Monetary Tools : Interest Rates and Haircuts, NBER Macroeconomics Annual, vol. 25, no. May, pp , 2011 Lecture 5-6: Models of Endogenous / Procyclical Leverage J. Geanakoplos, Promises promises, in The Economy as an Evolving Complex System II, addisonwe ed., D. L. B Arthur, S Durlauf, Ed. Reading, MA: SFI Studies in the Sciences of Complexity, 1997, pp , Liquidity, Default and Crashes: Endogenous Contracts in General Equilibrium, in Advances in Economics and Econometrics: Theory and Applications II, Econometric Society Monographs: Eighth World Congress, M. Dewatripoint, L. Hansen, and S. Turnovsky, Eds., Cambridge, UK, 2003, pp

5 , The Leverage Cycle, in NBER Macroeconomics Annual 2009, Volume 24. University of Chicago Press, 2010, pp A. Simsek, Belief Disagreements and Collateral Constraints, Econometrica, vol. 81, no. 1, pp. 1 53, 2013 F. Geerolf, Leverage and Disagreement, UCLA Working Paper, no. September, pp. 1 69, 2015 A. Fostel and J. Geanakoplos, Leverage Cycles and the Anxious Economy, American Economic Review, vol. 98, no. 5, pp , 2008, Tranching, CDS, and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes, American Economic Journal: Macroeconomics, vol. 4, no. 1, pp , 2012, Endogenous Collateral Constraints and the Leverage Cycle, Annual Review of Economics, vol. 6, no. 1, pp , aug 2014 J. Geanakoplos and W. Zame, Collateral and the Enforcement of Intertemporal Contracts, Unpublished manuscript, 2002 Lecture 7: Financial Bubbles: Taxonomy of Theoretical Models P. Samuelson, An Exact Consumption-Loan Model of Interest with or without the Social Contrivance of Money, Journal of Political Economy, vol. 66, no. 6, pp , 1958 J. Tirole, Asset Bubbles and Overlapping Generations, Econometrica, vol. 53, no. 5, p. 1071, sep 1985 D. Abreu and M. K. Brunnermeier, Bubbles and Crashes, Econometrica, vol. 71, no. 1, pp , 2003 O. J. Blanchard and M. W. Watson, Bubbles, Rational Expectations and Financial Markets, in Crises in Economic and Financial Structure, lexington ed., P. Wachtel, Ed. Lexington, MA: National Bureau of Economic Research Cambridge, Mass., USA, 1983 E. Farhi and J. Tirole, Bubbly Liquidity, Review of Economic Studies, vol. 79, no. 2, pp , nov 2012 A. Martin and J. Ventura, Economic Growth with Bubbles, American Economic Review, vol. 102, no. 6, pp , oct 2012 F. Allen and D. Gale, Financial Contagion, Journal of Political Economy, vol. 108, no. 1, pp. 1 33, 2000 B. Diba and H. Grossman, On the Inception of Rational Bubbles, The Quarterly Journal of Economics, vol. 102, no. 3, pp , 1987 M. K. Brunnermeier, Deciphering the Liquidity and Credit Crunch , Journal of Economic Perspectives, vol. 23, no. 1, pp , feb

6 J. Tirole, On the Possibility of Speculation under Rational Expectations, Econometrica, vol. 50, no. 5, pp , 1982 A. Martin and J. Ventura, Theoretical notes on bubbles and the current crisis, IMF Economic Review, vol. 59, no. 1, pp. 6 40, 2011 Lecture 8: Financial Bubbles and Macroeconomics : Evidence V. Carvalho, A. Martin, and J. Ventura, Understanding Bubbly Episodes, American Economic Review, Papers and Proceedings, vol. 102, no. 3, pp , may 2012 I.-H. Cheng, S. Raina, and W. Xiong, Wall Street and the Housing Bubble, American Economic Review, vol. 104, no. 9, pp , 2014 M. K. Brunnermeier, Bubbles, The New Palgrave Dictionnary of Economics edited by Steven N. Durlauf and Lawrence E. Blume, Second Edition, 2008 R. Caballero and E. Farhi, Speculative Growth: Hints from the US Economy, American Economic Review, vol. 96, no. 4, pp , 2006 A. Kraay and J. Ventura, The Dot-com Bubble, the bush deficits, and the US Current Account, G7 Current Account Imbalances: Sustainability and Adjustment, no. May, 2007 Further reading (also linked to endogenous leverage, financial frictions): T. Adrian, E. Etula, and T. Muir, Financial Intermediaries and the Cross-Section of Asset Returns, Federal Reserve Bank of New York Staff Report, 2011 A. Ashcraft, N. Garleanu, and L. Pedersen, Two Monetary Tools : Interest Rates and Haircuts, NBER Macroeconomics Annual, vol. 25, no. May, pp , 2011 M. Gertler and P. Karadi, A Model of Unconventional Monetary Policy, Journal of Monetary Economics, vol. 58, no. 1, pp , jan 2011 M. Goodfriend, Central Banking in the Credit Turmoil: An Assessment of Federal Reserve Practice, Journal of Monetary Economics, vol. 58, no. 1, pp. 1 12, 2011 R. Reis, Interpreting the Unconventional U.S. Monetary Policy of , Brookings Papers on Economic Activity, vol. 2009, no. 2, pp , 2009 Lecture 9: Information in Macroeconomics H. Carlsson and E. V. Damme, Global Games and Equilibrium Selection, Econometrica, vol. 61, no. 5, pp , 1993 S. Morris and H. Shin, Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks, American Economic Review, vol. 88, no. 3, pp , 1998 A. Atkeson, Rethinking Multiple Equilibria in Macroeconomic Modeling: Comment. vol. 15, no. 2000, pp , 2001 S. Morris and H. Shin, Social Value of Public Information, American Economic Review, vol. 92, no. 5, pp ,

7 G.-M. Angeletos and I. Werning, Crises and Prices: Information Aggregation, Multiplicity, and Volatility, American Economic Review, vol. 96, no. 5, pp , 2006 S. J. Grossman and J. E. Stiglitz, On the Impossibility of Informationally Efficient Markets, American Economic Review, vol. 70, no. 3, pp , 1980 R. Townsend, Forecasting the Forecasts of Others, Journal of Political Economy, vol. 91, no. 4, pp , 1983 Lecture 10: News Driven Business Cycles P. Beaudry and F. Portier, An exploration into Pigou s theory of cycles, Journal of Monetary Economics, vol. 51, no. 6, pp , sep 2004, Stock Prices, News, and Economic Fluctuations, American Economic Review, vol. 96, no. 4, pp , 2006 R. B. Barsky and E. R. Sims, Information, Animal Spirits, and the Meaning of Innovations in Consumer Confidence, American Economic Review, vol. 102, no. 4, pp , jun 2012 P. Beaudry and F. Portier, When Can Changes in Expectations Cause Business Cycle Fluctuations in Neo-Classical Settings? Journal of Economic Theory, vol. 135, no. 1, pp , jul 2007 R. B. Barsky and E. R. Sims, News shocks and business cycles, Journal of Monetary Economics, vol. 58, no. 3, pp , apr 2011 Lecture 11: Noise Driven Business Cycles G. Lorenzoni, A Theory of Demand Shocks, American Economic Review, vol. 99, no. 5, pp , 2009 G. Angeletos and J. La O, Noisy Business Cycles, NBER Macroeconomics Annual 2009, Volume 24, vol. 24, no. April, 2009 G.-M. Angeletos and H. Dellas, Quantifying Sentiments, 2013 K. P. Nimark, Man-Bites-Dog Business Cycles, American Economic Review, vol. 104, no. 8, pp , 2014 P. Fajgelbaum, E. Schaal, and M. Taschereau-Dumouchel, Uncertainty Traps, 2014 C. Ilut and M. Schneider, Ambiguous Business Cycles, American Economic Review, vol. 104, no. 8, pp ,

8 Lecture 12-13: Random Growth Models D. Champernowne, A Model of Income Distribution, The Economic Journal, vol. 63, no. 250, pp , 1953 X. Gabaix, Zipf s Law for Cities : An Explanation, The Quarterly Journal of Economics, vol. 114, no. 3, pp , 1999, Power Laws in Economics and Finance, Annual Review of Economics, vol. 1, no. 1, pp , sep 2009 E. G. Luttmer, Selection, Growth, and the Size Distribution of Firms, The Quarterly Journal of Economics, no. August, pp , 2007 H. Simon, On a Class of Skew Distribution Functions, Biometrika, vol. 42, no. 3, pp , 1955 H. Simon and C. Bonini, The Size Distribution of Business Firms, American Economic Review, vol. 48, no. 4, pp , 1958 H. Kesten, Random Difference Equations and Renewal Theory for Products of Random Matrices, Acta Mathematica, vol. 131, no. 1, pp , 1973 J. Sutton, Gibrat s Legacy, Journal of Economic Literature, vol. 35, no. March, pp , 1997 C. I. Jones and J. Kim, A Schumpeterian Model of Top Income Inequality, 2014 X. Gabaix, J.-m. Lasry, P.-l. Lions, and B. Moll, The Dynamics of Inequality, no. January, pp. 1 34, 2015 Lecture 14: Dynamic Models of Idea Flows R. E. Lucas and B. Moll, Knowledge Growth and the Allocation of Time, Journal of Political Economy, vol. 122, no. 1, pp. 1 51, 2014 F. E. Alvarez, F. J. Buera, and R. E. Lucas, Models of Idea Flows, Nber Working Paper Series, vol. June, pp. 0 12, 2008 J. Perla and C. Tonetti, Equilibrium Imitation and Growth, Journal of Political Economy, vol. 122, no. 1, pp. 1 21, 2014 S. Kortum, Research, Patenting, and Technological Change, Econometrica, vol. 65, no. 6, pp , 1997 J. Eaton and S. Kortum, Technology, Geography, and Trade, Econometrica, vol. 70, no. 5, pp ,

9 Lecture 15: Static Models of Heterogeneity L. Caliendo, F. Monte, and E. Rossi-Hansberg, The Anatomy of French Production Hierarchies, Journal of Political Economy, vol. 123, no. 4, pp. 1 75, 2015 L. Garicano, Hierarchies and the Organization of Knowledge in Production, Journal of Political Economy, vol. 108, no. 5, pp , 2000 L. Garicano and E. Rossi-Hansberg, Organization and Inequality in a Knowledge Economy, The Quarterly Journal of Economics, vol. 121, no. 4, pp , 2006 F. Geerolf, A Static and Microfounded Theory of Zipf s Law for Firms and of the Top Labor Income Distribution, 2014 R. E. Lucas, On the Size Distribution of Business Firms, The Bell Journal of Economics, vol. 9, pp , 1978 M. Sattinger, Comparative Advantage and the Distributions of Earnings and Abilities, Econometrica, vol. 43, no. 3, pp , 1975 Lecture 16: Heterogeneity and Taxation J. A. Mirrlees, An Exploration in the Theory of Optimum Income Taxation, Review of Economic Studies, vol. 38, no. 2, pp , 1971 P. A. Diamond, Optimal Income Taxation : An Example with a U-Shaped Pattern of Optimal Marginal Tax Rates, American Economic Review, vol. 88, no. 1, pp , 1998 E. Saez, Using Elasticitles to Derive Optimal Income Tax Rates, The Review of Economic Studies, vol. 68, no. 1, pp , 2001 T. Piketty, E. Saez, and S. Stantcheva, Optimal Taxation of Top Labor Incomes: A Tale of Three Elasticities, American Economic Journal: Economic Policy, vol. 6, no. 1, pp , feb 2014 M. Tuomala, Optimal Income Tax and Redistribution. Oxford Clarendon Press, 1990 I. Werning, Optimal fiscal policy with redistribution, The Quarterly Journal of Economics, no. August, 2007 T. Piketty and E. Saez, Optimal Labor Income Taxation, in Handbook of Public Economics. Elsevier B.V., 2013, vol. 5, pp

10 Preliminary Course Time Table (Tentative, subject to change) Date Don t miss! Topics / Assignments 1/04 M Introduction to a Macro Finance Course 1/06 W Frictionless Investment Benchmark 1/11 M Classic Models of Financial Frictions 1/13 W Models of Heterogeneous Beliefs 1/18 M Martin Luther King, Jr, Holiday 1/20 W Models of Endogenous / Procyclical Leverage 1/2 1/25 M Models of Endogenous / Procyclical Leverage 2/2 1/27 W Financial Bubbles: Taxonomy of Theoretical Models 2/01 M Financial Bubbles and Macroeconomics : Evidence 2/03 W Information in Macroeconomics 2/07 S Proposal Due Referee Report Proposal Due 2/08 M News Driven Business Cycles 2/10 W Noise Driven Business Cycles 2/14 S Referee Due Referee Report Due (30%) 2/15 M Presidents Day, Holiday 2/17 W Introduction to Heterogeneity in Macroeconomics 2/21 S Proposal Due Presentation Proposal Due 2/22 M Random Growth Models 2/24 W Dynamic Models of Idea Flows 2/28 S Proposal Due Paper Replication / Extension Proposal Due 2/29 M Static Models of Heterogeneity 3/02 W Heterogeneity and Taxation 3/07 M In Class Pres. Presentations (20%) 3/09 W In Class Pres. Presentations (20%) 3/20 S Replication due Replication and Extension of a Paper (50%) 10

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