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Topics in Macroeconomics: Modelling Information, Learning and Expectations PhD Course, Economics Department, Universitat Pompeu Fabra and Barcelona GSE, Fall 2008 Tuesdays 15.00 and Thursdays 17.00, Room 20.101 Overview Many economic decisions depend on expectations about either inherently unobservable variables or about future realisations of a variable. Different theories of expectations formation will therefore have different implications for economic behavior. This course aims at equipping students with the tools needed to model two alternative theories to the full information rational expectations hypothesis: (i) Imperfectly informed, but model consistent, expectations and (ii) boundedly rational expectations, that is, expectations formed without complete knowledge of the structure of the economy. Both theories have delivered interesting results, ranging from positive predictions about the dynamics of aggregate time series and asset prices, to normative implications about the value of public information and the design of monetary policy. The substantive results from the literature will be discussed along with the specific techniques that were employed to derive them. The Kalman filter is an indispensable tool for modelling information and learning, and some time will initially be devoted to deriving the filter and exploring its properties. Homework 1 (due Friday October 10) Histogram of Course Results Lecture 1 Overview and some basics Lecture 2 Solving Full Information Rational Expectations Models Lecture 3 The Kalman Filter Lecture 4 Imperfect Information Models Lecture 5 Private and Public Information Lecture 6 The Information Revealed by Market Outcomes Lecture 7 Endogenous Information Choice Lecture 8 Learning and Bounded Rationality |