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 3rd. The final will be given on Tuesday, March 15th 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. Woodford, Michael, The Simple Analytics of the Government Spending Multiplier, June 2010. |