Johann Wolfgang
GoetheUniversitδt
Fachbereich
Wirtschaftswissenschaften
Jan Mutl
Sommersemester 2004
Syllabus Version April 13, 2004
Advanced International Macroeconomics
Course Language
The language of
instruction for the course will be English and course participants are
expected to
satisfy all
course requirements in English.
Class Time and Location
Tuesdays,
4:156:30, room 120C. Some of the classes will be used for discussion
sessions and
will take place
at the computer lab.
Course Description
This course will
provide a selective
discussion of various
topics in international macroeconomics.
We will begin
with a review of empirical methods and practical tutorials on STATA and
MATLAB. The aim
of the course is to provide an introduction to the issues discussed in
the
literature and
develop an understanding of the tools used so that the students will be
able to carry
independent
research in the field.
Course Requirements
Grading will be
based on a final exam (40%), short paper (40%) and several problem sets
(20%).
The final exam
will take place at the conclusion of the class.
Course Prerequisites
I will presume
knowledge of econometric techniques at the level of, say, Greene,
Econometric
Analysis
and a basic knowledge of
mathematics at the level of Simon and Blume
Mathematics for
Economists.
The students are also expected to have taken the methodological course
Advanced
Macroeconomics.
Course Logistics
First Class:
April 13, 2004.
Office Hours:
Room 107B, Wednesday, 10:00 am 11:00 am
There will be a
course website:
http://www.wiwi.unifrankfurt.de/profs/binder/mutl/teaching.htm
The web site
will contain further updates of this syllabus, course
news/administrative
announcements,
class notes, assignments, and data sets.
Texts
Although there
will be no official textbook, most of the material covered is discussed
in
Obstfeld, M., and K. Rogoff (1996):
Foundations of
International Macroeconomics,
Cambridge (MA):
MIT Press.
Further books
containing useful material for this course are listed below. See also
the course
outline for
additional references.
Econometric
Techniques
Baltagi, B.H. (2001):
Econometric Analysis of
Panel Data, (Second
Edition),
New York: John
Wiley.
Hamilton, J.D. (1994):
Time Series Analysis,
Princeton University Press.
Maddala, G.S. and InMoo Kim (1999):
Unit Roots,
Cointegration and Structural
Change,
Cambridge University Press.
Judge, G.G., W.E. Griffiths, R.C.
Hill, H. Luetkepohl and T.C. Lee (1985):
Theory and
Practice of
Econometrics, Wiley.
Dhrymes, P. (1978):
Mathematics for
Econometrics, Springer.
Magnus, J.R. and H. Neudecker
(1999): Matrix
Differential Calculus with its
Applications in
Statistics and Econometrics,
John Wiley and Sons.
International
Macroeconomics
Mark, N.C. (2001):
International
Macroeconomics and Finance,
Oxford: Basil
Blackwell.
Agenor, P. and P. Montiel (1996):
Development
Macroeconomics, Princeton
University
Press.
Calvo, G. (1996):
Money Exchange Rates and
Output, MIT Press.
Dornbusch, R. (1980):
Open Economy
Macroeconomics, New York:
Basic Books.
Dornbusch, R. (1988):
Exchange Rates and
Inflation, MIT Press.
Flood, R. and P. Garber (1994):
Speculative Bubble,
Speculative Attacks, and Policy
Switching,
MIT Press.
Frankel, J. (1993):
On Exchange Rates,
MIT Press.
Kenen, P. (1995):
Understanding
Interdependence: The Macroeconomics of the Open
Economy,
Princeton University Press.
The Handbooks in
International Economics,
Vols. IIII., North Holland.
Course Outline:
I. Review of
Econometric Methods
1. Background
Mathematic Results and Concepts
Matrix Algebra,
Differentiation, Statistical Theory
2. Basic
Estimation Methods
OLS and
extensions, IV, GMM, ML, QML, MD
3. Time Series
Topics
Unit Roots and
Cointegration, VAR Models
4. Panel Data
Methods
 Static Panels,
Fixed vs. Random Effects, ANOVA Models
 Dynamic Panels
Additional
References:
Pφetscher, B. and I. Prucha (2001):
Basic Elements of Asymptotic Theory, in Baltagi,
BadiH., ed.
A Companion to
Theoretical Econometrics.
Malden, Mass. and Oxford:
Blackwell; pp.
20129.
II. Practical Sessions
1. Introduction
to STATA
2. Introduction
to MATLAB
Additional
References:
Kermit, S. (1992):
Matlab Primer
available at
http://math.ucsd.edu/~driver/21ds99/matlabprimer.html
Juul, S. (2004):
Introduction to Stata 8
available at
http://www.biostat.au.dk/teaching/software/STATA/Stata8.pdf
III. Exchange Rate Issues
1. Theoretical
Models of Exchange Rate Determination
Taylor (1995):
Economics of Exchange Rates, JEL 33, 1347.
Krugman (1991):
Target Zones and Exchange Rate Dynamics, QJE 106, 66982.
2. Empirical
Studies
Meese and
Rogoff: (1983): Empirical Exchange Rate Models of the Seventies:
Do The Fit Out
of Sample?, Journal of International Economics 14, 324.
3. Devaluation
Issues
Lizondo and
Montiel (1989): Contractionary Devaluation in Developing
Countries: An
Analytical Survey, IMF Staff Papers.
Goldfajn and
Valdes (1996): The Aftermath of Appretiations, NBER WP5650.
4. PPP Testing
Rogoff (1996):
The Purchasing Parity Puzzle, JEL 34, 64768.
Engel and Rogers
(1996): How Wide is the Border, AER 86, 11121125.
Taylor (2001):
Potential Pitfalls for the PurchasingPower Parity Puzzle?
Sampling and
Specification Biases in MeanReversion Tests of the Law of One
Price, Econometrica 69, also
NBER WP7577.
5. Real Exchange
Rate Behavior
Engel (1993):
Real Exchange Rates and Relative Prices: An Empirical
Investigation,
Journal of Monetary Economics, 32, 3550.
6. Exchange Rate
Regime Choice, Stabilization Issues
Reinhart and
Rogoff (2004): The Modern History of Exchange Rate
Arrangements: A
Reinterpretation, QJE, forthcoming.
IV. Speculative Attacks
1. Theoretical
Currency Crises Models
Krugman (1979):
A Model of BalanceofPayments Crises, Journal of Money,
Credit and
Banking, 11(3), 31125.
Calvo (1998):
Varieties of CapitalMarket Crises, mimeo.
Dooley (1997): A
Model of Crises in Emerging Markets, NBER WP6300.
Obstfeld (1994):
The Logic of Currency Crises, NBER WP4640.
Obstfeld (1996):
A Model of Currency Crises with Selffulfilling Features, EER
40(1), 103747..
Velasco and
Chang (2002): A Model of Financial Crises in Emerging Markets,
QJE.
Morris and Shin
(1998): Unique Equilibrium in a Model of SelfFulfilling
Currency
Attacks, AER 88, 58797.
2. Empirical
Studies
Kaminski,
Lizondo and Reinhart (1998): Leading Indicators of Currency Crises,
IMF Staff
Papers.
Larrain, F. and
G. Esquivel (1998): Explaining Currency Crises, HIID Harvard
University,
November.
Goldfajn and
Valdes (1999): Are Currency Crises Predictable?, EER 42, 87385.
3. Contagion
Issues
Calvo and
Mendoza (1997): Rational Contagion and the Globalization of
Securities
Markets, mimeo.
Gerlach, and
Smets (1994): Contagious Speculative Attacks, CEPR Discussion
Paper No. 1055.
Yuzefovich
(2003): Estimating Contagion: A New Approach, mimeo.
4. Banking
Crises
Calorimis and
Gorton (1991): The Origins of Banking Panics.
Gorton (1988):
Banking Panics and Business Cycles, Oxford Economic Papers,
40, 75181.
5. Twin Crises
Velasco (1987):
Financial and BalanceofPayments Crises, Journal of
Development
Economics, 27(1/2), 26383.
McKinnon and
Pill (1997): Credible Liberalizations and Overborrowing, AER,
87, 189203.
5
Goldfajn and
Valdes (1996): Balance of Payments Crises and Capital Flows: The
Role of
Liquidity, mimeo.
V. International
Capital Flows
1. Theory and
Policy Consequences
Calvo, Liederman
and Reinhart (1993): Capital Inflows and Real Exchange Rate
Appreciation in
Latin America: The Role of External Factors, IMF Staff Papers.
Calvo, G.
(1998): Capital Flows and CapitalMarket Crises: The Simple
Economics of
Sudden Stops, mimeo.
2. Capital
Controls
Gourinchas and
Jeanne (2003): The Elusive Gains From International Financial
Integration,
NBER WP9684.
Forbes (2003):
One Cost of Chilean Capital Controls: Increased Financial
Constraints for
Small Traded Firms, NBER WP9777.
VI. Some Remaining Puzzles
1.
FeldsteinHorioka
Feldstein and
Horioka (1980): Domestic Savings and International Capital Flows,
Economic
Journal, 31429.
Tesar (1991):
Savings, investment and international capital flows, Journal of
International
Economics 31, 5578.
2. Home Bias and
Consumption Correlation
Backus, Kehoe
and Kydland (1992): International Real Business Cycles, Journal
of Political
Economy, 100 (4), 745775.
AER = American
Economic review
EER = European
Economic Review
JEL = Journal of
Economic Literature
QJE = Quaterly
Journal of Economics
