Syllabus
Lecture Notes
Download (Last updated: May 10, 2021. If you would like to print the lecture notes and bring them to the class, you are recommended to print chapter by chapter since I will be updating the notes constantly as the course proceeds.)
Homework Assignments
- Assignment 1 (in class)
- Assignment 2 (in class)
- Assignment 3
- Assignment 4
Reading List
Baillie, R. T. and Bollerslev, T. (1989). The message in daily exchange rates: A conditional-variance tale. Journal of Business & Economic Statistics, 7(3):297–305.
Baxter, M. and King, R. G. (1999). Measuring business cycles: Approximate band-pass filters for economic time series. The Review of Economics and Statistics, 81(1):575-593.
Beaudry, P. and Portier, F. (2006). Stock prices, news, and economic fluctuations. American Economic Review, 96(4):1293-1307.
Bernanke, B. S., Boivin, J., and Eliasz, P. (2005). Measuring the effects of monetary policy: A factor-augmented vector autoregressive (FAVAR) approach. The Quarterly Journal of Economics, 120(1):387-422.
Blanchard, O. J. (1989). A traditional interpretation of macroeconomic fluctuations. The American Economic Review, 79(5):1146-1164.
Cochrane, J. H. (1988). How big is the random walk in GNP? Journal of Political Economy, 96(5):893–920.
Diebold, F. X. and Nerlove, M. (1989). The dynamics of exchange rate volatility: A multivariate latent factor arch model. Journal of Applied Econometrics, 4(1):1–21.
Engel, C. and Hamilton, J. D. (1990). Long swings in the dollar: Are they in the data and do markets know it? American Economic Review, 80(4):689–713.
Engle, R. F. and Ng, V. K. (1993). Measuring and testing the impact of news on volatility. Journal of Finance, 48(5):1749–1778.
Fama, E. F. and French, K. R. (1992). The cross-section of expected stock returns. The Journal of Finance, 47(2):427–465.
Filardo, A. J. (1994). Business-cycle phases and their transitional dynamics. Journal of Business & Economic Statistics, 12(3):299–308.
Gali, J. (1999). Technology, employment, and the business cycle: Do technology shocks explain aggregate fluctuations? American Economic Review, 89(1):249-271.
Hall, R. E. (1978). Stochastic implications of the life cycle-permanent income hypothesis: Theory and evidence. Journal of Political Economy, 86(6):971–987.
Hansen, L. P. and Hodrick, R. J. (1980). Forward exchange rates as optimal predictors of future spot rates: An econometric analysis. Journal of Political Economy, 88(5):829–853.
Harvey, A. and Jaeger, A. (1993). Detrending, stylized facts and the business cycle. Journal of Applied Econometrics, 8(3):231-247.
Nelson, C. R. and Plosser, C. I. (1982). Trends and random walks in macroeconomic time series. Journal of Monetary Economics, 10(2):139–162.
Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57(6):1361-1401.
Sims, C. A. (1972). Money, income, and causality. American Economic Review, 62(4):540–552.
Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1):1-48.
Stock, J. H. and Watson, M. W. (1989). Interpreting the evidence on money- income causality. Journal of Econometrics, 40(1):161–181.
Stock, J. H. and Watson, M. W. (1999). Chapter 1: Business cycle fluctuations in US macroeconomic time series. In Handbook of Macroeconomics, volume 1, pages 3 -64. Elsevier.