1、Macroeconomics: Growth, Eciency, andFluctuationsJames BullardResearch DepartmentFederal Reserve Bank of St. Louisbullardstls.frb.orgCourse informationThis version. April 30, 2004.Nature of course and prerequisites. This is a second semester coursein macroeconomics for first-year PhD students. I assu
2、me knowledge of thematerial taught in the first semester PhD course in macroeconomics.Class meeting times. The class meets from 4:00 pm to 5:30 pm Mondaysand Wednesdays. Spring break is the week of Monday, March 8. Reading“week” is Monday, May 3 to Wednesday, May 5. The time of the final willbe anno
3、unced later. The class meets in Lopata House 21.Prof. Bullards oce hours. By appointment.Grading. The grade for the course will be based on assignments (10%),two midterms (30% each), and a final (30%).Disclaimer. This syllabus is subject to change during the course.1 PART I. WHAT TO STUDY? James Bul
4、lardCourse overview. Wednesday, January 21.1. Part I. What to study?1.1. Lucass calculation.Monday, January 26.Lucas, R. 1987. Models of Business Cycles, Part III, pp. 20-31. Excerptfrom the Yrjo Jahnsson lectures. Basil-Blackwell.Candidate exam question.In what sense might economic fluctuations be
5、viewed as a second-orderissue for macroeconomics?Background material.Chatterjee, S. 2001. Why does countercyclical monetary policy matter?Business Review, Federal Reserve Bank of Philadelphia, Second Quar-ter.Lucas, Robert E., Jr. 2003. Macroeconomic priorities. American EconomicReview, March, pp. 1
6、-14.Related papers.Chatterjee, S., and D. Corbae. 2000. On the welfare gains of reducing thelikelihood of economic crises. Working paper, Federal Reserve Bank ofPhiladelphia and University of Texas.Dolmas, J. 1999. Risk preferences and the welfare cost of business cycles.Review of Economic Dynamics
7、1: 646-676.Gali, J., M. Gertler, and J-D. Lopez-Salido. 2003. Markups, gaps and thewelfare costs of business fluctuations. Working paper, CEPR.Krusell, P. and A. Smith. 1999. On the welfare eects of eliminatingbusiness cycles. Review of Economic Dynamics 2: 245-272.2JamesBullard 1 PARTI.WHATTOSTUDY?
8、1.2. Diculties in pricing risk as a caveat to Lucas.Wednesday, January 28.Campbell, J. 1996. Consumption and the stock market: interpreting inter-national evidence. NBER working paper #5610.Candidate exam question.What is the nexus between asset pricing puzzles and the welfare cost ofeconomic fluctu
9、ations?Background material.Kocherlakota, N. 1996. The equity premium: its still a puzzle. Journal ofEconomic Literature, 34(1): 42-71.Classic: Mehra, R., and E. Prescott. 1985. The equity premium: a puzzle.Journal of Monetary Economics, 15: 145-162.Related papers.Campbell, J., and J. Cochrane. 1999.
10、 By force of habit: a consumption-based explanation of aggregate stock market behavior. Journal of Po-litical Economy, 107(2): 205-251.Epstein, L., and S. Zin. 1991. Substitution, risk aversion, and the temporalbehavior of consumption and asset returns: An empirical investigation.Journal of Politica
11、l Economy 99: 263-286.Goetzmann, W., and P. Jorion. 1999. Global stock markets in the twentiethcentury. Journal of Finance 54(3), June, pp. 953-80.McGrattan, E., and E. Prescott. 2001. Taxes, regulations, and the valueof U.S. corporations: a general equilibrium analysis. Working paper,University of
12、Minnesota and Federal Reserve Bank of Minneapolis.McGrattan, E., and E. Prescott. 2003. Average debt and equity returns:Puzzling? Sta Report 313, Federal Reserve Bank of Minneapolis,January.31 PART I. WHAT TO STUDY? James BullardSome reference books on asset pricing and macroeconomics.Altug, S., and
13、 P. Labadie. 1994. Dynamic Choice and Asset Markets.Academic Press.Campbell, J., A. Lo, and A.C. MacKinlay. 1997. The Econometrics ofFinancial Markets. Princeton University Press.Cochrane, J. 2001. Asset Pricing. Princeton University Press.Siegel, J. 1998. Stocks for the Long Run.McGraw-Hill.1.3. Th
14、enatureoftimeseriesdataasacaveattoLucas.Monday, February 2.Hansen, B. 2001. The new econometrics of structural change: dating breaksin U.S. labour productivity. Journal of Economic Perspectives 97(1):93-115.Candidate exam question.Are themacroeconomicdataconsistentwithuninterrupted, balanced growth?
15、Background material.Diebold, F., and A. Senhadji. 1996. The uncertain unit root in real GNP:comment. American Economic Review 86(5): 1291-1298.Hamilton, J. 1989. A new approach to the economic analysis of nonstation-ary time series and the business cycle. Econometrica 57(2): 357-384.McConnell, M. an
16、d G-P. Quiros. 2000. Output fluctuations in the UnitedStates: what has changed since the early 1980s? American EconomicReview, December, pp 1464-1476.Classic: Nelson, C., and C. Plosser. 1982. Trends and random walks inmacroeconomic time series: some evidence and implications. Journalof Monetary Eco
17、nomics 10(2): 139-62.Perron, P. 1989. The great crash, the oil price shock, and the unit roothypothesis. Econometrica 57(6): 1361-1401.Rotemberg, J. 2003. Stochastic technical progress, smooth trends, andnearly distinct business cycles. American Economic Review 93(5):1543-1559.4James Bullard 2 PART
18、II. GROWTH.Stock, J., and M. Watson. 1988. Variable trends in economic time series.Journal of Economic Perspectives 2(3): 147-174.A reference book on time series macroeconometrics.Hamilton, J. 1994. Time series analysis. Princeton University Press.2. Part II. Growth.2.1. Growth and development facts
19、.Wednesday, February 4.Parente, S., and E. Prescott. 1993. Changes in the wealth of nations.Quarterly Review, Federal Reserve Bank of Minneapolis, Spring, pp.3-16.Pritchett, L. 1997. Divergence, big time. Journal of Economic PerspectivesVolume 11, Number 3 (Summer), pp. 3-18.Candidate exam question.
20、Are world per capita incomes converging, diverging, or staying about thesame?Related material.Easterly, W. 2001. The Elusive Quest for Growth: Economists Adventuresand Misadventures in the Tropics. MIT Press.Levine, R., and D. Renelt. 1992. A sensitivity analysis of cross-countrygrowth regressions.
21、American Economic Review 82(4): 942-63.Lucas, R. 2000. Some macroeconomics for the 21st century. Journal ofEconomic Perspectives 14(1): 159-168.Sala-i-Martin, X. 1997. I just ran two million regressions. American Eco-nomic Review 87(2): 178-83.2.2. A problem with growth via transition dynamicsMonday
22、, February 9.King, R., and S. Rebelo. 1993. Transitional dynamics and economic growthin the neoclassical model. American Economic Review 83(4): 908-931.52 PART II. GROWTH. James BullardCandidate exam question.Do neoclassical transitional growth dynamics provide a satisfactory expla-nation for growth
23、 patterns observed over the last century?Papers on growth.Lucas, R. 1988. On the mechanics of economic development. Journal ofMonetary Economics 2(1): 3-42.Lucas, R. 1990. Why doesnt capital flow from rich to poor countries?American Economic Review 80: 92-96.Lucas, R. 1993. Making a miracle. Econome
24、trica 61: 251-272.Parente, S., and E. Prescott. 1999. Monopoly rights: a barrier to riches.American Economic Review 89: 1216-1233.2.3. Industrial revolutionWednesday, February 11.Hansen, G., and E. Prescott. 2002. Malthus to Solow. American EconomicReview 92(4): 1205-1217.Candidate exam question.How
25、 do Hansen and Prescott reconcile modern, balanced growth with thewidespread stagnation and poverty observed two or more centuriesago?Book on worldwide growth patterns since 1000 AD.Maddison, A. 2001. The World Economy: A Millennial Perspective. Devel-opment Centre Studies, Organization for Economic
26、 Cooperation andDevelopment.Related research.Lucas, R. 2001. The industrial revolution: past and future. In R.E. Lucas,Jr., Lectures on Economic Growth. Harvard University Press.Laitner, J. 2000. Structural change and economic growth. Review of Eco-nomic Studies 67(3): 545-61.6James Bullard 2 PART I
27、I. GROWTH.2.4. Human capital and external eects.Monday, February 16.Azariadis, C. and A. Drazen. 1990. Threshold externalities in economicdevelopment. Quarterly Journal of Economics 105: 50126.Candidate exam question.How could a “poverty trap” be keeping per capita income low in manynations?Related
28、material.Azariadis, C. 1996. The economics of poverty traps, part one: completemarkets. Journal of Economic Growth 1996: 449-486.Romer, P. 1986. Increasing returns and long-run growth. Journal of Polit-ical Economy, 94(5): 1002-37.Basu, S., and J. Fernald. 1997. Returns to scale in U.S. production:
29、esti-mates and implications. Journal of Political Economy 105(2): 249-83.Reference books on growth.Aghion, P., and P. Howitt. 1998. Endogenous growth theory.MITPress.de la Croix, D., and P. Michel. 2002. Atheoryofeconomicgrowth.Cam-bridge University Press.2.5. Two optimists and a pessimist.Wednesday
30、, February 18.Jovanovic, B., and P. Rousseau. 2002. Moores law and learning by doing.Review of Economic Dynamics 5: 346-375.Jones, C. 2002. Sources of U.S. economic growth in a world of ideas. Amer-ican Economic Review 92(1): 220-239.Candidate exam question.Describe reasons to be optimistic and reas
31、ons to be pessimistic concerningthe future of economic growth.73 PART III. EFFICIENCY. James BullardAnother empirical growth paper.Jones, C. 1995. Time series tests of endogenous growth models. QuarterlyJournal of Economics 110(2): 495-525.2.6. First exam.Monday, February 23.3. Part III. Eciency.3.1
32、. Dynamic ineciency.Wednesday, February 25.Bullard, J. and S. Russell. 1999. An empirically plausible model of low realinterest rates and unbacked government debt. Journal of MonetaryEconomics 44(3): 477-508.Candidate exam question.Are observed industrialized economies dynamically inecient?Related m
33、aterial.Abel, A., N.G. Mankiw, L. Summers, and R. Zeckhauser. 1989. Assessingdynamic eciency: theory and evidence. Review of Economic Studies56: 1-20.Santos, M., and M. Woodford. 1997. Rational asset pricing bubbles.Econometrica 65: 19-57.Tirole, J. 1985. Asset bubbles and overlapping generations. E
34、conometrica53: 1499-1528.Dynamic stochastic general equilibrium life-cycle models.Krueger, D., and F. Kubler. 2003. Pareto-improving social security reformwhen financial markets are incomplete. NBER working paper 9410.Krueger, D., and F. Kubler. 2003. Computing equilibrium in OLG mod-els with stocha
35、stic production. Journal of Economic Dynamics andControl 28: 1411-1436.8James Bullard 3 PART III. EFFICIENCY.Rios-Rull, J-V. 1996. Life-cycle economies and aggregate fluctuations. Re-view of Economic Studies 63: 465-490.3.2. Financial market frictions.Monday, March 1.Azariadis, C., and B. Smith. 199
36、8. Financial intermediation and regimeswitching in business cycles. American Economic Review 88(3): 516-36.Candidate exam question.In what sense could private information interfere with financial intermedia-tion, thus becoming an important determinant of the nature of macroe-conomic equilibrium?Rela
37、ted material.Kiyotaki, N., and J. Moore. 1997. Credit cycles. Journal of PoliticalEconomy 2(105): 211-248.Carlstrom, C., and T. Fuerst. 1997. Agency costs, net worth, and businessfluctuations: a computable general equilibrium analysis. AmericanEconomic Review.Bernanke, B., M. Gertler, and S. Gilchri
38、st. 1998. The financial acceleratorin a quantitative business cycle framework. NBER Working Paper#6455, March.Boyd, J., and B. Smith. 1998. Capital market imperfections in a monetarygrowth model. Economic Theory 11(2): 241-73.3.3. Endogenous debt constraints.Monday, March 3.Azariadis, C., and L. Lam
39、bertini. 2003. Endogenous debt constraints inlife-cycle economies. Review of Economic Studies 70: 461-487.Candidate exam question.What are some of the implications of endogenous debt constraints formacroeconomics?93 PART III. EFFICIENCY. James BullardRelated papers.Azariadis, C., and L. Lambertini.
40、2002. Excess asset returns with lim-ited enforcement. American Economic Review Papers and Proceedings,May, pp. 135-140.Bulow, J., andK. Rogo. 1989. Aconstantrecontractingmodel of sovereigndebt. Journal of Political Economy 97(1): 155-178.Kehoe, T., and D. Levine. 1993. Debt-constrained asset markets
41、. Reviewof Economic Studies 60: 865-888.Alvarez, F., and U. Jermann. 2000. Eciency, equilibrium, and assetpricing with risk of default. Econometrica 68: 775-797.3.4. Spring Break.Monday, March 8 and Wednesday, March 10.3.5. Time consistency in policy choice.Wednesday, March 15.Jensen, C. 2003. Imple
42、mentation delays and time-inconsistency in policy-making. Working paper, Southern Methodist University.Candidate exam question.Explain the nature of the time-inconsistency policy problem and how the“timeless perspective” may or may not provide a resolution.Related material.Albanesi, S., V.V. Chari,
43、and L. Christiano. 2001. How severe is thetime inconsistency problem in monetary policy? NBER Working Paper8139.Sargent, T. 1999. The Conquest of American Inflation. Princeton Univer-sity Press.Sargent, T., and N. Williams. 2002. Impacts of priors on convergence andescapes from Nash inflation. Worki
44、ng paper, Princeton.Stokey, N. 2002. Rules versus discretion after twenty-five years. NBERMacroeconomics Annual 2002.10James Bullard 3 PART III. EFFICIENCY.3.6. Capital taxation.Wednesday, March 17.Atkeson, A., V.V. Chari, and P. Kehoe. 1999. Taxing capital income:A bad idea. 1999. Federal Reserve B
45、ank of Minneapolis QuarterlyReview.Candidate exam question.Explain the argument for not taxing capital.Related material.Bull, Nicholas. 1993. When all the optimal dynamic taxes are zero. Work-ing paper #137, July, Board of Governors.Chamley, Christophe. 1986. Optimal taxation of capital income in ge
46、neralequilibrium with infinite lives. Econometrica 54 (May): 60722.Gervais, M. Optimal taxation in infinitely-lived agent and overlapping gen-erations models: A review. Federal Reserve Bank of Richmond Eco-nomic Quarterly v87, n2 (Spring 2001): 23-44.Jones, L., R. Manuelli, and P. Rossi. 1997. On th
47、e optimal taxation ofcapital income. Journal of Economic Theory 73(1): 93-117.Judd, Kenneth L. 1985. Redistributive taxation in a simple perfect foresightmodel. Journal of Public Economics 28 (October): 5983.3.7. Inflation as a tax.Monday, March 22.Lucas, R. 2000. Inflation and welfare. Econometrica
48、 68(2): 247-274.Candidate exam question.What is the welfare cost of an ongoing inflation like the industrial worldexperienced in the 1970s, according to Lucas?113 PART III. EFFICIENCY. James BullardRelated material.Aiyagari, S., R. Braun, and Z. Eckstein. 1998. Transaction services, infla-tion, and
49、welfare. Journal of Political Economy 106(6): 1274-1301.Cooley, T., and G. Hansen. 1989. The inflation tax in a real business cyclemodel. American Economic Review 79(4): 733-748.Heterogeneous agents.Ventura, G., and A. Erosa. 1999. On inflation as a regressive consumptiontax. Manuscript, University of Western Ontario.Phelpss view.Chari, V., L. Christiano, and P. Kehoe. 1996. Optimality of the Fried-man Rule in economies with distorting taxes. Journal of MonetaryEconomics 37(2): 203-23.Woodford, M. 1990. The optimum quantity of money. In B. Friedman andF. Hahn, eds., The
