Economics 607 Monetary Theory and Policy

Syllabus for Winter 2011

Monetary Theory and Policy
Course: Economics 607
Professor: Mark Thoma
Office/Hours: PLC 471 on T/Th from 1:30-2:30 p.m.
Phone/Email: (541) 346-4673, mthoma@uoregon.edu
Web Page: http://economistsview.typepad.com/economics607monetary/

Tests and Grading: There will be a midterm and a final.  The midterm will be given on Thursday, February 3^rd.  The final will be given on Tuesday, March 15^th at 1:oo p.m.  No make-up exams will be given.  The midterm is worth 35% and the final is worth 45%.  The remaining 20% will come from the class presentation and the homework assignments.  Grades will be assigned according to your relative standing in the class.

Homework: Problem sets will be assigned periodically.  These will be worth 15%.

Class Presentation:  In this assignment, choose a fairly recent paper covering monetary issues (theory or policy), and present it to the class. This is worth 5% of your grade. I will talk more about this during lecture. (Note: Ph.D. students only; optional for M.A. students, homework counts 20% if M.A. students choose not to do the presentation).

Course Outline: [Tentative]

Topic	Reference
The St. Louis Equation	*Carlson, Keith Does the St. Louis Equation Now Believe in Fiscal Policy?, FRB St. Louis
New Classical Tests	*Barro, R.J.  "Unanticipated Money Growth and Unemployment in the United States, 1977, AER. *Barro, R.J.  "Unanticipated Money, Output, and the Price Level in the United States"  1978, JPE. *Mishkin, F.S. 1982.  "Does Anticipated Monetary Policy Matter?  An Econometric Investigation"  JPE  90:22-51. Mishkin, F.S. 1983.  A Rational Expectations Approach to Macroeconomics.  Chicago:  University of Chicago Press for the NBER. Hoffman, D.H. and Schlagenhauf, D.E.  1982.  "An Econometric Investigation of the Monetary Neutrality and Rationality Propositions from and International Perspective,"  RESTAT  pp. 562-571.
Granger Causality	Granger, C.W.J. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods" 1969, Econometrica. *Sims, C.A. "Money, Income, and Causality" 1972, AER. *Sims, C.A. "Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered" , AER.
Levels versus Differences	*Stock and Watson 1987. "Interpreting the Evidence on Money-Income Causality" NBER Discussion Paper No. 2228. *Friedman, Benjamin M. and Kuttner, Kenneth N., "Another Look at the Evidence on Money-Income Causality," Working Paper #90-17, Federal Reserve Bank of Chicago, October, 1990 Krol and Ohanion, "The Impact of Stochastic and Deterministic Trends on Money-Income Causality: A Multi-Country Investigation," Journal of Econometrics 45 (September, 1990), 291-308
Rolling Regression Techniques	*Thoma, Mark Subsample Instability in Money‑Income Causality, 1994 , Journal of Econometrics
Is the Real Interest Rate Exogenous?	*Litterman, R.L. and Weiss, L. 1985. "Money, Real Interest Rates and Output: A Reinterpretation of U.S. Postwar Data," Econometrica 53: 129-155.
Structural VARS and Co-integration	*Friedman, Benjamin M. and Kuttner, Kenneth N., "Money, Income, Prices, and Interest Rates," American Economic Review (volume 82, no. 3), June 1992, 472-492. *Bernanke, Ben S. and Blinder, Alan S., "The Federal Funds Rate and the Channels of Monetary Transmission," American Economic Review (volume 82, no. 4), September 1992, 901-921. *Blanchard, Olivier and Quah, Danny, "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, September 1989, 655-673. *Shapiro, Mathew D. and Watson, Mark W., "Sources of Business Cycle Fluctuations," in Stanley Fischer, ed., NBER Macroeconomics Annual, Cambridge: MIT Press, 1988, 111-148. McCandless, George T. and Weber, Warren E. Some Monetary Facts, 1995, FRB Minneapolis
Bootstrapping	Class notes
ARCH Models	*Engle, R.F. "Estimates of the Variance of U.S. Inflation Based upon the ARCH Model," JMCB, August, 1983.
Narrative Measures of Monetary Policy and Case Studies	*Romer and Romer, Does Monetary Policy Matter? A New Test in the Spirit of Friedman and Schwartz, 1990, NBER Macroeconomics Annual Sargent The Ends of Four Big Inflations, 1986, FRB Minneapolis.
Factor Models	*Bernanke, Boivin, Eliasz, Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach.
Other Papers	*Jordi Galí and Luca Gambetti, On the Sources of the Great Moderation. *Jean Boivin and Marc P. Giannoni, Has Monetary Policy Become More Effective?. *Richard Clarida, Jordi Gali, Mark Gertler, Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory. John Taylor, An Historical Analysis of Monetary Policy Rules. Judd and Rudebusch, Taylor's Rule and the Fed: 1970-1997, FRBSF, 1998. *Athanasios Orphanides, Monetary Policy Rules, Macroeconomic Stability, and Inflation: A View from the Trenches, JMCB, April 2004. Woodford, Michael, The Simple Analytics of the Government Spending Multiplier, June 2010.

Syllabus for Winter 2010

Monetary Theory and Policy
Course: Economics 607
Professor: Mark Thoma
Office/Hours: PLC 471 on M/W from 4:00-5:00 p.m.
Phone/Email: (541) 346-4673, mthoma@uoregon.edu
Web Page: http://economistsview.typepad.com/economics607monetary/

Text: Carl E. Walsh, Monetary Theory and Policy, 2^nd ed., MIT Press

Tests and Grading: There will be a midterm and a final.  The midterm will be given on Monday, February 8^th.  The final will be given on Monday, March 15^th at 3:15 p.m.  No make-up exams will be given.  The midterm is worth 35% and the final is worth 45%.  The remaining 20% will come from the duplication exercise and homework described below.  Grades will be assigned according to your relative standing in the class.

Homework: Problem sets will be assigned periodically.  These will be worth 10%.

Duplication Exercise:  For this assignment, choose a paper with theoretical content related to monetary economics, either a working paper or something published, duplicate one of the main results in the paper, explain the importance of the result, and write a referee's report on the paper. This is worth 10% of your grade. I will talk more about this in class.

Course Outline: [Tentative]

Topic	Walsh Text
Empirical Evidence on Money, Prices, and Output	Ch. 1
Money-in-the-Utility Function	Ch. 2
Money and Transactions	Ch. 3
Money and Public Finance	Ch. 4, pgs. 135-144
Midterm
Money, Output, and Inflation in the Short-Run	Ch. 5
Discretionary Policy and Time Consistency	Ch. 8, pgs. 363-378
Monetary Policy Operating Procedures	Ch. 9
Interest Rates and Monetary Policy	Ch. 10, pgs. 473-488
Policy Analysis in New Keynesian Models	Ch. 11

Syllabus for Winter 2009

Monetary Theory and Policy
Course: Economics 607
Professor: Mark Thoma
Office/Hours: PLC 471 on W/F from 3:30-4:30 p.m.
Phone/Email: (541) 346-4673, mthoma@uoregon.edu
Web Page: http://economistsview.typepad.com/economics607monetary/

Tests and Grading: There will be a midterm and a final.  The midterm will be given on Monday, February 9^th.  The final will be given on Monday, March 16^th at 10:15 a.m..  No make-up exams will be given.  The midterm is worth 35% and the final is worth 45%.  The remaining 20% will come from the class presentation and the homework assignments.  Grades will be assigned according to your relative standing in the class.

Homework: Problem sets will be assigned periodically.  These will be worth 15%.

Class Presentation:  In this assignment, choose a fairly recent paper covering monetary issues (theory or policy), and present it to the class. This is worth 5% of your grade. I will talk more about this during lecture. (Note: Ph.D. students only, M.A. students will have homework count for 20%).

Course Outline: [Tentative]

Topic	Reference
The St. Louis Equation	*Carlson, Keith Does the St. Louis Equation Now Believe in Fiscal Policy?, FRB St. Louis
New Classical Tests	*Barro, R.J.  "Unanticipated Money Growth and Unemployment in the United States, 1977, AER. *Barro, R.J.  "Unanticipated Money, Output, and the Price Level in the United States"  1978, JPE. *Mishkin, F.S. 1982.  "Does Anticipated Monetary Policy Matter?  An Econometric Investigation"  JPE  90:22-51. Mishkin, F.S. 1983.  A Rational Expectations Approach to Macroeconomics.  Chicago:  University of Chicago Press for the NBER. Hoffman, D.H. and Schlagenhauf, D.E.  1982.  "An Econometric Investigation of the Monetary Neutrality and Rationality Propositions from and International Perspective,"  RESTAT  pp. 562-571.
Granger Causality	Granger, C.W.J. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods" 1969, Econometrica. *Sims, C.A. "Money, Income, and Causality" 1972, AER. *Sims, C.A. "Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered" , AER.
Levels versus Differences	*Stock and Watson 1987. "Interpreting the Evidence on Money-Income Causality" NBER Discussion Paper No. 2228. *Friedman, Benjamin M. and Kuttner, Kenneth N., "Another Look at the Evidence on Money-Income Causality," Working Paper #90-17, Federal Reserve Bank of Chicago, October, 1990 Krol and Ohanion, "The Impact of Stochastic and Deterministic Trends on Money-Income Causality: A Multi-Country Investigation," Journal of Econometrics 45 (September, 1990), 291-308
Rolling Regression Techniques	*Thoma, Mark Subsample Instability in Money‑Income Causality, 1994 , Journal of Econometrics
Is the Real Interest Rate Exogenous?	*Litterman, R.L. and Weiss, L. 1985. "Money, Real Interest Rates and Output: A Reinterpretation of U.S. Postwar Data," Econometrica 53: 129-155.
Structural VARS and Co-integration	*Friedman, Benjamin M. and Kuttner, Kenneth N., "Money, Income, Prices, and Interest Rates," American Economic Review (volume 82, no. 3), June 1992, 472-492. *Bernanke, Ben S. and Blinder, Alan S., "The Federal Funds Rate and the Channels of Monetary Transmission," American Economic Review (volume 82, no. 4), September 1992, 901-921. *Blanchard, Olivier and Quah, Danny, "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, September 1989, 655-673. *Shapiro, Mathew D. and Watson, Mark W., "Sources of Business Cycle Fluctuations," in Stanley Fischer, ed., NBER Macroeconomics Annual, Cambridge: MIT Press, 1988, 111-148. McCandless, George T. and Weber, Warren E. Some Monetary Facts, 1995, FRB Minneapolis
Bootstrapping	Class notes
ARCH Models	*Engle, R.F. "Estimates of the Variance of U.S. Inflation Based upon the ARCH Model," JMCB, August, 1983.
Narrative Measures of Monetary Policy and Case Studies	*Romer and Romer, Does Monetary Policy Matter? A New Test in the Spirit of Friedman and Schwartz, 1990, NBER Macroeconomics Annual Sargent The Ends of Four Big Inflations, 1986, FRB Minneapolis.
Factor Models	*Bernanke, Boivin, Eliasz, Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach.
Other Papers	*Jordi Galí and Luca Gambetti, On the Sources of the Great Moderation. *Jean Boivin and Marc P. Giannoni, Has Monetary Policy Become More Effective?. *Richard Clarida, Jordi Gali, Mark Gertler, Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory. John Taylor, An Historical Analysis of Monetary Policy Rules. Judd and Rudebusch, Taylor's Rule and the Fed: 1970-1997, FRBSF, 1998. *Athanasios Orphanides, Monetary Policy Rules, Macroeconomic Stability, and Inflation: A View from the Trenches, JMCB, April 2004.

Syllabus for Winter 2007

[Syllabus in pdf format]

Monetary Theory and Policy
Course: Economics 607
Professor: Mark Thoma
Office/Hours: PLC 471 on M//W 12:00-1:00 p.m.
Phone/Email: (541) 346-4673, mthoma@uoregon.edu
Web Page: http://www.uoregon.edu/~mthoma/

Text: Carl E. Walsh, Monetary Theory and Policy, 2^nd ed., MIT Press

Tests and Grading: There will be a midterm and a final.  The midterm will be given on Monday, February 5^th.  The final will be given on Wednesday, March 21^st from 3:15 p.m. – 5:15 p.m.  No make-up exams will be given.  The midterm is worth 35% and the final is worth 45%.  The remaining 20% will come from the referee’s reports and homework described below.  Grades will be assigned according to your relative standing in the class.

Homework: Problem sets will be assigned periodically. These will be worth 10%.

Referee’s Report:  You will be assigned two referee’s reports during the quarter. More details will be given in class.  They are worth 5% each.

Course Outline: [Tentative]

Topic	Walsh Text
Empirical Evidence on Money, Prices, and Output	Ch. 1
Money-in-the-Utility Function	Ch. 2
Money and Transactions	Ch. 3
Money and Public Finance	Ch. 4, pgs. 135-144
Midterm
Money, Output, and Inflation in the Short-Run	Ch. 5
Discretionary Policy and Time Consistency	Ch. 8, pgs. 363-378
Monetary Policy Operating Procedures	Ch. 9
Interest Rates and Monetary Policy	Ch. 10, pgs. 473-488
Policy Analysis in New Keynesian Models	Ch. 11