Istanbul Bilgi University Boğaziçi University Koç University Sabancı University ISTANBUL GRADUATE ECONOMICS SUMMER SCHOOL 2015 (IGESS ’15) COURSES and SCHEDULE: SPECIAL TOPICS IN ECONOMETRICS: Empirical Time Series Methods for Macroeconomic Analysis Instructor: Luca Gambetti (Autonomous University of Barcelona) Dates: July 20 2015, 14:00-17:30 July 21- 24, 2015, 9:00-12:30 Location: Bilgi University, Room: E2-213/ LAB E3-305 (Last one hour of each session) SPECIAL TOPICS IN MICROECONOMICS: Matching Markets: Theory and Practice Instructor: Tayfun Sönmez (Boston College) Dates: July 27 - 31, 2015, 9:00-12:30, Location: Bilgi University, Room: E2-213 SPECIAL TOPICS IN INTERNATIONAL MACROECONOMICS: Financial Crises and Global Business Cycles Instructor: M. Ayhan Köse (World Bank) Dates: July 27 - 31, 2015, 14:00-17:30, Location: Bilgi University, Room: E2-213 ISTANBUL BILGI UNIVERSITY SUMMER 2015 SPECIAL TOPICS IN MICROECONOMICS: Matching Markets - Theory and Practice Instructor: Tayfun Sönmez, Professor of Economics Boston College Dates: July 21 - 25, 2014, Monday-Friday, 3½ hour lectures every day Course Description The mini-course will provide an overview of some recent research and policy work on matching markets. The focus of the course is the evolution of the literature both from a theoretical and also practical perspective. Topics include two-sided matching, house allocation, school choice, kidney exchange, matching with contracts, and cadet branching. Course Outline 1. House Allocation & Housing Markets Sönmez and Ünver (2011), Matching, Allocation, and Exchange of Discrete Resources", J. Benhabib, A. Bisin, and M. Jackson (eds.) Handbook of Social Economics, Elsevier, 2011, Chapter 2 (background reading). Shapley and Scarf (1974), On cores and indivisibility," Journal of Mathematical Economics 1, 23-28. Roth and Postlewaite (1977), Weak versus strong domination in a market with indivisible goods, Journal of Mathematical Economics 4, 131-137. Hylland and Zeckhauser (1977) The eficient allocation of individuals to positions." Journal of Political Economy 87, 293-314. Roth (1982), Incentive compatibility in a market with indivisible goods," Economics Letters 9, 127-132. Abdulkadiroğlu and Sönmez (1998), Random serial dictatorship and the core from random endowments in house allocation problems," Econometrica 66, 689-701. Abdulkadiroğlu and Sönmez (1999), House allocation with existing tenants," Journal of Economic Theory 88, 233-260.1 Sönmez and Ünver (2005) House Allocation with Existing Tenants: An Equivalence," Games and Economic Behavior 52, 153-185. 2. Kidney Exchange Sönmez and Ünver (2011), Matching, Allocation, and Exchange of Discrete Resources", J. Benhabib, A. Bisin, and M. Jackson (eds.) Handbook of Social Economics, Elsevier, 2011, Chapter 3,(background reading.) Roth, Sönmez and Ünver (2004), Kidney Exchange," Quarterly Journal of Economics 119, 457488. Roth, Sönmez and Ünver (2005), Pairwise Kidney Exchange,"Journal of Economic Theory, 125, 151-188. Roth, Sönmez and Ünver (2007), Eficient Kidney Exchange: Coincidence of Wants in Markets with Compatibility-Based Preferences," American Economic Review, 97-3: 828-851. Ünver (2010), Dynamic Kidney Exchange," Review of Economic Studies, 77 (1): 372-414. Sönmez and Ünver (2011), Altruistically Unbalanced Kidney Exchange,"Boston College working paper. 3. School Matching Two-Sided Matching: A Study in Game-Theoretic Modeling and Analysis, by A.E. Roth and M.A.O. Sotomayor, Cambridge University Press, 1990, Chapters 2, 3 and 5, (background reading.) Sönmez and Ünver (2011), Matching, Allocation, and Exchange of Discrete Resources", J. Benhabib, A. Bisin, and M. Jackson (eds.) Handbook of Social Economics, Elsevier, 2011, Chapter 4, (background reading.) Gale and Shapley (1962), College Admissions and the Stability of Marriage," American Mathematical Monthly, 69, 915. Balinski and Sönmez (1999), A Tale of Two Mechanisms: Student Placement," Journal of Economic Theory 84, 73-94. Abdulkadiroğlu and Sönmez (2003), School choice: A mechanism design approach, American Economic Review 93, 729-747. Ergin and Sönmez (2006), Games of School Choice under the Boston Mechanism," Journal of Public Economics, 90, 215-237. Pathak and Sönmez (2008), Leveling the Playing Field: Sincere and Strategic Players in the Boston Mechanism" American Economic Review, 98(4), 1636-52. Kesten (2010), School Choice with Consent," Quarterly Journal of Economics, 125(3), 12971348. Pathak and Sönmez (2011), School Admissions Reform in Chicago and England: Comparing Mechanisms by their Vulnerability to Manipulation," American Economic Review, forthcoming. 4. Cadet-Branch Matching Kelso and Crawford (1982) Job Matching, Coalition Formation, and Gross Substitutes", Econometrica, 50, 1483-1504, (background reading.) Hatfield and Milgrom (2005), Auctions, Matching and the Law of Aggregate Demand," American Economic Review, 95, 913-935, (background reading.) Hatfield and Kojima (2010), Substitutes and Stability for Matching with Contracts," Journal of Economic Theory, 145, 1704-1723. Echenique (2011), Contracts vs. Salaries in Matching," American Economic Review, 102 (1), 594-601. Sönmez and Switzer (2011), Matching with (Branch-of-Choice) Contracts at United States Military Academy," Boston College working paper. Sönmez (2011), Bidding for Priorities: Improving ROTC Branching Mechanism," Boston College working paper. İSTANBUL BİLGİ UNİVERSİTY SUMMER 2015 SPECIAL TOPICS IN ECONOMETRICS: Empirical Time Series Methods for Macroeconomic Analysis Instructor: Luca Gambetti Associate Professor of Economics Autonomous University of Barcelona Dates: July 20 - 24, 2015, Monday-Friday, 3½ hour lectures every day Course Description: The objective of the course is twofold. First, the course aims at presenting some of the most popular time series models designed to analyze the propagation mechanisms and measure the effects of macroeconomic shocks. Special emphasis will be put on the role of information for the correct identification and estimation of structural shocks. Second, the course aims at discussing some recent applications in macroeconomics. In particular the focus will be on the ongoing debate about fiscal multipliers and the effects of fiscal policy shocks and the role of news for macroeconomic fluctuations. Matlab programs to implement the theoretical methods and replicate the applications studied in class will be made available to students. Course Outline 1) Structural VAR (SVAR) models: a) Theory. b) Application: Fiscal policy shocks and fiscal foresight (part I). c) Application: News shocks and the business cycle (part I). 2) The role of information in SVARs a) Nonfundamentalness and noninvertibility. b) Testing for nonfundamentalness. c) Solutions to nonfundamentalness in the VAR approach: FAVAR models d) Application: Fiscal policy shocks and fiscal foresight (part II). e) Application: News shocks and the business cycle (part II). 3) Structural Factor Models (SFM) a) Theory. b) Application: Fiscal policy shocks and fiscal foresight (part III). c) Application: News shocks and the business cycle (part III). 4) Time-varying Coefficients Models a) Time-Varying Coefficients VARs. b) Stochastic Volatility VARs. c) Application: Evolving macroeconomic volatility. d) Application: Monetary policy regime changes. References Barsky, R.B. and Sims, E.R., 2011, News shocks and business cycles, Journal of Monetary Economics 58, pp. 273-289. Beaudry, P. and Portier, F., 2006, Stock prices, news, and economic fluctuations, American Economic Review, vol. 96(4), pp. 1293-1307. Bernanke, B. S., Boivin, J. and Eliasz, P., 2005, Measuring monetary policy: a factor augmented autoregressive (FAVAR) approach, The Quarterly Journal of Economics 120, pp. 387-422. Blanchard, O.J. and R. Perotti (2002). An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output, The Quarterly Journal of Economics: 1329-1368. Canova F, and Gambetti L. 2009. Structural Changes in the US Economy: Is There a Role for Monetary Policy?. Journal of Economic Dynamics and Control, 33(2):477-490. Canova, F. 2007, Methods for Applied Macroeconomic Research, Princeton University Press: Princeton. Cogley T, and Sargent T. J. (2001). Evolving Post WWII U.S. Inflation Dynamics. In Macroeconomics Annual, 331-373. MIT Press. Cogley T, and Sargent T. J. (2005). Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII US. Review of Economic Dynamics, 8: 262-302. Fernandez-Villaverde J., Rubio-Ramirez, J.F. , Sargent, T.J. and Watson, M.W. , 2007, ABCs (and Ds) of understanding VARs, American Economic Review, 97(3), pp. 1021-1026. Feve, P., Matheron, J. and Sahuc, J.G. , 2009, On the dynamic implications of news shocks", Economics Letters 102, pp. 96-98. Forni, M. and Gambetti, L., 2011, Suffcient information in structural VARs," Center for Economic Research (RECent) 062, University of Modena and Reggio Emilia, Dept. of Economics. Forni, M., Giannone, D., Lippi, M. and Reichlin, L., 2009, Opening the black box: structural factor models with large cross-sections", Econometric Theory 25, pp. 1319-1347. Gali J, and Gambetti L. (2009). On the sources of the Great Moderation. American Economic Journal: Macroeconomics, 1(1):26-57. Giannone, D., and L. Reichlin 2006. Does Information Help Recovering Structural Shocks from Past Observations? Journal of the European Economic Association, 4(2-3), 455465. Hamilton J. D. 1994, Time Series Analysis, Princeton University Press: Princeton. Hansen, L.P., and T.J. Sargent (1991). Two problems in interpreting vector autoregressions. In Rational Expectations Econometrics, L.P. Hansen and T.J. Sargent,eds. Boulder: Westview, pp.77-119. Leeper, E.M., Walker, T.B. and Yang, S.S. , 2008, Fiscal foresight: analytics and econometrics", NBER Working Paper No. 14028. Lippi, M. and Reichlin, L., 1993, The dynamic effects of aggregate demand and supply disturbances: comment", American Economic Review 83, pp. 644-652. Lutkepohl, H. 2005, New Introduction to Multiple Time Series, Springer-Verlag: Berlin. Mertens, K. and M. Ravn (2010). Measuring the Impact of Fiscal Policy in the Face of Anticipation: a Structural VAR Approach. The Economic Journal, 120:544. Mountford, A. and H. Uhlig (2002). What Are the Effects of Fiscal Policy Shocks. CEPR Discussion Paper No. 3380. Perotti, R. (2007). In Search of the Transmission Mechanism of Fiscal Policy. NBER Macroeconomics Annual. Perotti, R. (2011). Fiscal Policy and Expectations: An Empirical Investigation. Primiceri, Giorgio E. (2005): "Time Varying Structural Vector Autoregressions and Monetary Policy," Review of Economic Studies, 72, pp. 821-852. Ramey, V.A. (2009). Identifying Government Spending Shocks: It's All in the Timing, NBER Working Papers no. 15464. Ramey, V.A. and M. Shapiro (1998). Costly Capital Reallocation and the Effects of Government Spending. Carnegie Ro Ravenna, F. (2007). Vector autoregressions and reduced form representations of DSGE models, Journal of Monetary Economics 54(7): 2048-2064. Schmitt-Grohe, S. and Uribe, M., 2008, What's news in business cycles", NBER Working Paper no. 14215. Sims, C. A. 1980. Macroeconomics and Reality. Econometrica, 48 (1), 148. Sims, E., 2011, News, non-invertibility, and structural VARs, mimeo, University of Notre Dame. Stock, J. H. and Watson, M. W., 2002, Macroeconomic forecasting using diffusion indexes", Journal of Business and Economic Statistics 20, pp. 147-162. Stock, J. H. and Watson, M. W. , 2005, Implications of dynamic factor models for VAR analysis", NBER Working Paper no. 11467. İSTANBUL BİLGİ UNİVERSİTY SUMMER 2015 SPECIAL TOPICS IN INTERNATIONAL MACROECONOMICS: Instructor: M. Ayhan Köse (World Bank) Dates: July 27 - 31, 2015, Monday-Friday, 3½ hour lectures every day Course Description These lectures provide a broad review of two major topics in international macroeconomics: (i) macro-financial linkages; (ii) global business cycles. The former topic focuses on the two-way interactions between the real economy and financial markets. The latter one examines the transmission and synchronization of business cycles across countries. The lectures cover the main theoretical predictions and recent empirical studies on each topic. In addition, they present policy related challenges, applications and future research directions. Course Outlıne (i) Macro-Financial Linkages Asset Prices and Macroeconomic Outcomes Stijn Claessens and M. Ayhan Kose, forthcoming Macroeconomic Implications of Financial Imperfections Stijn Claessens and M. Ayhan Kose, forthcoming How Do Business and Financial Cycles Interact? Stijn Claessens, M. Ayhan Kose, and Marco Terrones, Journal of International Economics, 87, 178-190, 2012. http://www.imf.org/external/pubs/cat/longres.aspx?sk=24805.0 Global House Price Fluctuations: Synchronization and Determinants Hideaki Hirata, M. Ayhan Kose, Christopher Otrok, and Marco Terrones, NBER International Seminar on Macroeconomics 2012, in Francesco Giavazzi and Kenneth West eds., University of Chicago Press, forthcoming. http://www.nber.org/papers/w18362 Financial Cycles: What? How? When? Stijn Claessens, M. Ayhan Kose, and Marco Terrones, NBER International Seminar on Macroeconomics, 2011 http://www.imf.org/external/pubs/cat/longres.aspx?sk=24775.0 Do Credit Shocks Matter? A Global Perspective Thomas Helbling, Raju Huidrom, M. Ayhan Kose and Chris Otrok, European Economic Review, 55, 340–353, 2011. http://www.imf.org/external/pubs/cat/longres.aspx?sk=24366.0 What Happens During Recessions, Crunches and Busts? Stijn Claessens, M. Ayhan Kose, and Marco Terrones, Economic Policy, 60, 653-700, 2009. http://www.imf.org/external/pubs/cat/longres.aspx?sk=22511.0 Can Remittances Help Promote Consumption Stability? Supriyo De, Ergys Islamaj, M. Ayhan Kose, Dilip Ratha, and Seyed Reza Yousefi, Global Economic Prospects, 175-189, January, 2015. Does Financial Integration Affect Liquidity Constraints? Ergys Islamaj and M. Ayhan Kose, forthcoming Financial Crises: Causes, Consequences, and Policy Responses Stijn Claessens, M. Ayhan Kose, Luc Laeven, and Fabián Valencia, IMF Publications (Book), 2014. Financial Crises: Explanations, Types, and Implications Stijn Claessens, M. Ayhan Kose, IMF Working Papers 13/28, 2013. http://ideas.repec.org/p/imf/imfwpa/13-28.html Understanding Financial Crises: Causes, Consequences, and Policy Responses Stijn Claessens, M. Ayhan Kose, Luc Laeven, and Fabián Valencia Koc University-TUSIAD Economic Research Forum Working Papers 1301, 2013. http://ideas.repec.org/p/koc/wpaper/1301.html Ten Take aways from the “Rethinking Macro Policy: Progress or Confusion?” Olivier Blanchard, IMF Blog, May 1, 2015 http://blog-imfdirect.imf.org/2015/05/01/ten-take-aways-from-the-rethinking-macro-policyprogress-orconfusion/ The Global Financial Crisis: How Similar? How Different? How Costly? Stijn Claessens, M. Ayhan Kose, and Marco E. Terrones Journal of Asian Economics, vol. 21(3), pages 247-264, 2010. http://ideas.repec.org/p/koc/wpaper/1011.html Symposium: Macroeconomics after the Financial Crisis Journal of Economic Perspectives, Vol. 24, No. 4, Fall 2010. http://www.aeaweb.org/issue.php?doi=10.1257/jep.24.4 Macroeconomics after the Crisis: Time to Deal with the Pretense-of-Knowledge Syndrome Ricardo J. Caballero, Journal of Economic Perspectives, 2010. How Did Economists Get It So Wrong? Paul Krugman, September 2, 2009 http://www.nytimes.com/2009/09/06/magazine/06Economic-t.html?pagewanted=all How Did Paul Krugman Get It So Wrong? John H. Cochrane, September 16, 2009 http://faculty.chicagobooth.edu/john.cochrane/research/papers/krugman_response.htm Gyrations in Financial Markets Stijn Claessens, M. Ayhan Kose, and Marco E. Terrones Finance & Development, 30-33, March 2011. When Crises Collide Stijn Claessens, M. Ayhan Kose, and Marco E. Terrones Finance & Development, 26-28, December 2008. (ii) Global Business Cycles Regionalization vs. Globalization Hideaki Hirata, M. Ayhan Kose, and Christopher Otrok, Global Interdependence, Decoupling and Recoupling, forthcoming in Frank Westermann and Yin-Wong Cheung eds., MIT Press, 2013. http://ideas.repec.org/p/imf/imfwpa/13-19.html Collapse and Revival: Understanding Global Recessions and Recoveries M. Ayhan Kose and Marco Terrones, IMF Publications (Book), forthcoming. From the Global to the National Cycle: An Intricate Liaison M. Ayhan Kose, Prakash Loungani, and Marco Terrones, Pacific Economic Review, 18, 370-402, 2013. Global Business Cycles: Convergence or Decoupling? M. Ayhan Kose, Chris Otrok, and Eswar Prasad, International Economic Review, 53, 511538, 2012 http://www.imf.org/external/pubs/cat/longres.aspx?sk=21875.0 What are the Driving Forces of International Business Cycles? Mario Crucini, M. Ayhan Kose, and Chris Otrok, Review of Economic Dynamics, 14, 156175, 2011 http://www.nber.org/papers/w14380 Globalization, the Business Cycle, and Macroeconomic Monitoring Boragan Aruoba, Frank Diebold, M. Ayhan Kose and Marco Terrones, NBER International Seminar on Macroeconomics, 2011 http://www.imf.org/external/pubs/cat/longres.aspx?sk=24609.0 Can the Standard International Business Cycle Model Explain the Relation between Trade and Comovement? M. Ayhan Kose and Kei-Mu Yi, Journal of International Economics, 68, 267-295, 2006. http://www.imf.org/external/pubs/cat/longres.aspx?sk=18606.0 International Business Cycles: World, Region, and Country Specific Factors M. Ayhan Kose, Chris Otrok and Charles Whiteman, American Economic Review, 93, 12161239, 2003. http://ideas.repec.org/a/aea/aecrev/v93y2003i4p1216-1239.html Emerging Markets: Resilience and Growth amid Global Turmoil M. Ayhan Kose and Eswar Prasad, Brookings Institution Press (Book), 2010. Changing Nature of North-South Linkages: Stylized Facts and Explanations Cigdem Akin and M. Ayhan Kose, Journal of Asian Economics, 19, 1-28, 2008. http://www.imf.org/external/pubs/cat/longres.aspx?sk=21423.0 Regional vs. Global: How are Countries’ Business Cycles Moving Together These Days? Diana A. Cooke, M. Ayhan Kose, Christopher Otrok and Michael T. Owyang, Federal Reserve Bank of St. Louis Regional Economist, 5-9, April, 2015 Tracking the Global Recovery M. Ayhan Kose, Prakash Loungani and Marco Terrones Finance & Development, 10-13, June 2012. Out of the Ballpark M. Ayhan Kose, Prakash Loungani and Marco Terrones Finance & Development, 25-28, June 2009. Held Back by Uncertainty Nicholas Bloom, M. Ayhan Kose, and Marco E. Terrones Finance & Development, 38-41, March 2013.
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