總体經濟分析(III) 2006 by MWL maotai@nccu.edu.tw
 本課程為博士班必修，主要目的是引介當代總体經濟學之發展趨勢、分析工具、
新概念之衍生。每一子題均涵蓋-概念/模型/實證 三個構面，希望能奠定同學
良好之理論基礎，熟悉計算技巧，兼具建構實證模型之能力。
Text: (LS) Ljungqvist and Sargent, (2004) Recursive Macroeconomic Theory, 2nd ed. MIT
Press,(standard, encyclopedia- like textbook, modern approaches and extensions)
(AD) Adda & Cooper (2002) Dynamic Economics, MIT Press. ( simple, concise illustration of
important issues on modern macroeconomics, nice in DP, econometrics)
Ref:

許振明(2006) 總体經濟分析 第三版. (極佳之中文參考書,推演詳盡)

(Rm) Romer (2006) Advanced Macroeconomics, 3rd ed. McGraw Hill (nice background book in
fundamental macroeconomic models--OLG, Growth, Contemporary Consumption,
Dynamic Control)
Themes:
1. Overview and Backgrounds

Introduction --Cycles

Prescriptions for Macroeconomic Policy: Example- Economic Growth
2. Tools for Dynamic Macroeconomic Analysis

Rational Expectations

Recursive Method --Dynamic Programming

Microfoundations (GE+EUT→DSGE) DSGM
3. Building Blocks for Macro-Models with Micro-Foundations

Stochastic Growth model

Consumption/Saving /Investment

Wealth Accumulation/Asset Pricing
4. Modeling the Macro-Economy

Real Business Cycle Models

The New-Keynesian Model / Price Rigidities and Monopolistic Competition
5. Policy design Applications


Monetary policy

Fiscal/Pension
Scheme:
OLG → C/S →
↓
↘
Risk
↓
→
→
Policy →
CCAPM →
Retirement/pension
Saving → Wealth →
Distribution
↓
Investment -→ Capital →
Growth
Fluctuation
Markets
1
1
Backgrounds:
1.0 Review of Fundamentals of Dynamics
許振明, chapter 2-3 + appendicies
AD, Chapter5 (stochastic Growth)
1.1 Tools-1: Dynamic Programming
LS, chapter 1, chapter 3. AD, Chapter 2-3
1.2 Tools-2: Time Series and Econometrics
LS, chapter 2. AD, Chapter 4
2
Consumption: The Life Cycle-Permanent Income Hypothesis (LCH/PIH)
2.0 Overview
Rm, Chapter 7,
AD, Chapter6
Deaton (1992), Chapter 2. Understanding Consumption, Princeton University Press
Attanasio, Orazio. (2000) Consumption Demand. In the Handbook of Macroeconomics, edited by
Taylor and Woodford.
2.1 Testing Euler Equations
Gross, David and Nicholas Souleles.(2002) “Do Liquidity Constraints and Interest Rates
Matter for Consumer Behavior?”. QJE, pp. 149-185.
2.2 Testing for Full Consumption Insurance
Epstein, Larry and Stanley Zin. (1991). “Substitution, Risk Aversion, and the Temporal
Behavior of Consumption and Asset Returns” JPE, 99:2, 263-286.
3. Extension of LCH/PIH paradigm
3.0 Investment Theory: Adjustment costs and Q-theory Rm Ch.8 AD, Chapter 8
Demers and Altug (2003) Ch2 Investment Dynamics in Dynamic Macro Analysis
3.1 Incomplete Information and the PIH
Pishcke Jörn-Stephen, (1995) “Individual Income, Incomplete Information and Aggregate
Consumption” Econometrica 63, 4: 805-40.
3.2 Habit Formation
Meghir C. and G. Weber. (1996) “Intertemporal Non-Separability or Borrowing Restrictions?
A disaggregated analysis” Econometrica, 64: 1151-1181.

Hyberbolic Discounting: Laibson (QJE, 1997)
3.3 Buffer Stock Saving and Liquidity Constraints
Carroll, Christopher D. (1997) “Buffer Stock Saving and the Life Cycle / Permanent Income
Hypothesis” QJE, 1: 3-55.
Hubbard, Skinner and Zeldes (JPE, 1995)

Precautionary Saving L-S, chapter 17.13
4. Wealth Accumulation and Savings Problem
4.0 Overview : 鍾經樊等(2004) 財富在不同時期對臺灣消費行為的影響 經濟論文
4.1 Accumulation Process
2
Cagetti, Marco. (2003). “Wealth Accumulation over the life cycle and Precautionary Savings”,
Journal of Business and Economic Statistics, 21(3), pp. 339-353.
4.2 Wealth Distribution

Dynan, Skinner and Zeldes (AER, 2002))

Entrepreneurship (Quadrini, Cagetti and DiNardi, 2002)

Discount rate heterogeneity (JPE, Krusell-Smith (1998))

Life cycle GE models ( Huggett and Ventura, JME (2000)),
4.3 Retirement Models
French, Eric. (2005) “.The Effects of Health, Wealth, and Wages on Labor Supply and
Retirement Behavior” RES, 72: 2, pp. 395-427.
4.4 Self – insurance & Incomplete markets

L-S, chapter 16 L- S, chapter 17
5. Portfolio Choice
5.0 Overview AD, Chapter 6
Campbell, John and Luis Viceira. (1999) “Consumption and Portfolio Decisions When
Expected Returns are Time Varying” QJE, 114, 433-495.
Viceira, Luis. (2001). “Optimal Portfolio Choice for Long-Horizon Investors with
Non-tradable Labor” Journal of Finance, 55, 1163-98.
5.1 CCAPM
L- S, chapter 13

Risk sharing with complete markets L-S (chapter 12.5) Arrow-Debreu securities

Risky assets and consumption

Consumption, Permanent Income Hypothesis (L-S, Ch25)
L- S, chapter 8.
5.2 Equity Premium Puzzles / Solutions to asset pricing puzzles

Preferences
Barberis, Huang, and Tano, (2001) “Prospect Theory and Asset Prices”,
QJE, 116: 1-53.

Incomplete markets and heterogeneity
Lettau,(2002) “Can Models with Idiosyncratic
Risk Solve the Puzzle?”, Review of Economics and Statistics, 84, pp. 376-80.

Changing growth rates & Is the premium falling? Bansal and Yaron, (2004) “Risks for
L-R: A potential resolution of asset pricing puzzles”, J of Finance, 1481-1509.
6. Macroeconomic Modeling
6.1 Real Business Cycle: a DSGM paradigm Rm Ch.4 L- S, chapter 12

Calibration : Watson, M. (1993) “Measures of Fit for Calibrated Model”, JPE, 101: 1011-41.

Simulation: Bouakez & Kano (2005) “Learning by Doing or Habit Formation?”. Bank
of Canada WP# 2005-15.
6.2 New Keynesian Rm Ch.5-6 L- S, chapter 12
6.3 Employment Adjustment AD, Chapter 9
3