授業科目名上級マクロ経済学講義・演習題目上級マクロ経済学
担当学期夏・冬・通年曜日・時限木曜2 限事項
教員氏名BRAUN, R. Anton
科目番号修士5 0 1 ─ 0 8 博士5 1 1 ─ 0 3 単位2 ・4
講義内容：The objective of this course is to learn the tools of modern dynamic macroeconomics and
to use these tools to answer questions. The course will develop tools needed to analyze dynamic
representative agent and heterogeneous agent general equilibrium models with complete and
incomplete markets. The course will describe the formulation of these models and then consider
substantive applications in the areas of business cycle analysis, economic growth, monetary
policy and fiscal policy. The text for this course is the second edition of “Recursive Macroeconomic
Theory” by Ljungqvist and Sargent. Additional readings will be made available to students
through the course homepage. I will assume that students have mastered the material from the
first term of Core Graduate Macroeconomics I will also assume that the students know how to use
Matlab and will ask students to write Matlab programs for some of the homework assignments.
教科書：The second edition of “Recursive Macroeconomic Theory” by Ljunqvist and Sargent.
授業のキーワード：Macroeconomics
成績評価の方法：Students will be assessed on the basis of homework assignments、 quizzes and a
final exam.
[ 授業概要 (Course Overview) ] 最終更新日：2009-01-15
One of the most practical and realistic applications of non-cooperative game theory is auction theory. The course provides an analysis of auctions as games with incomplete information.
[ 学部・学年の指定 (Who Should Attend) ] 最終更新日：2009-01-20
※履修ルール上の指定内容については必ずルールブックおよびガイドブックの該当箇所を確認して下さい。
The students who has basic knowledge of linear algebra, calculus of
several variables, and probability theory.
[ 授業の目的・到達目標と方法 (Goals & Methodology) ] 最終更新日：2009-01-15
Modern auction theory started with the seminal article of Vickery (1961). Our goal is to cover the main developments in auction theory since the appearance of that pioneering work.
[ 授業の内容・計画 (Topics / Schedule) ] 最終更新日：2009-01-15
1. Auctions with complete information
2. Private value auctions
3. The revenue equivalence principle
4. Auctions with interdependent values
5. Efficiency and the English auction
6. Sealed-bid auctions for selling identical units
7. Sequential auctions
[ テキスト・参考文献 (Textbooks / References) ] 最終更新日：2009-01-15
1. Vijay Krishna, Auction Theory, Academic Press, 2002.
2. Paul Milgrom, Putting Auction Theory to Work, Cambridge University Press, 2004.
3. Bulow, J., and J. Roberts: The simple economics of optimal auctions. Journal of Political Economy, 97, 1060-1090, 1989.
4. Milgrom, P., and R. Weber: A theory of auctions and competitive bidding. Econometrica, 50, 1089-1122, 1982.
5. Vickrey, W.: Counterspeculations, auctions, and competitive sealed tenders. Journal of Finance, 16, 8-37.
[ 他の授業科目との関連・教育課程の中での位置付け (Relation with other Courses) ]
[ 成績評価の方法 (Requirements & Grading Allocation) ]
[ 成績評価基準の内容 (Grading Criteria) ]
[ 受講生に対するメッセージ (Message to Students) ]
[ その他 (Additional Information) ]
[ 授業概要 (Course Overview) ] 最終更新日：2009-01-20
１）企業と市場の分析に必要なゲーム理論（古典寡占モデルを含むy）を復習 ）(Review basic game theory (classical oligopoly) necessary for analysis of firm and market behavior)
２）イノベーション、知財（特許、著作権、トレードシークレット）、法と経済学、ネットワークの経済学の基礎を勉強 (Learn basics of innovation, intellectual property (patents, trade secrets, copyright), law and economics, network economics)
３）最近の論文の紹介 (Read recent papers)
[ 学部・学年の指定 (Who Should Attend) ] 最終更新日：2009-01-20
※履修ルール上の指定内容については必ずルールブックおよびガイドブックの該当箇所を確認して下さい。
ミクロ経済学、ゲーム理論の基礎を知っていること (Must know basics of microeconomics and game theory)
[ 授業の目的・到達目標と方法 (Goals & Methodology) ] 最終更新日：2009-01-20
ミクロ経済学を使って企業行動を理解・分析できるようになる。(Able to perform microeconomic analysis of firm and market behvaior)
[ 授業の内容・計画 (Topics / Schedule) ] 最終更新日：2009-01-20
1．Classical oligopoly theory
2．Competition with asymmteric information
3．Prouduct differentiation
4．Innovation, intellectual property and patent pools
5．Networks and standards
6．Two-sided markets
7. International antitrust
[ テキスト・参考文献 (Textbooks / References) ] 最終更新日：2009-01-20
1. Vives,X., 2001."Oligopoly Pricing - Old Ideas and New Tools,"MIT Press
2．Tirole, J., 1988. "Theory of Industrial Organiazation", MIT Press
3．Handbook of Industrial Organization Volumes 1 and 3 の該当する章 (Chapters from handbooks)
4．Reading List を配布 (Distributed in class)
[ 他の授業科目との関連・教育課程の中での位置付け (Relation with other Courses) ] 最終更新日：2009-01-20
産業経済学、技術開発論、国際経済学 などと補完的 (Complementary to applied microeconomic courses, such as industrial economics, innovation, and international economics.)
[ 成績評価の方法 (Requirements & Grading Allocation) ] 最終更新日：2009-01-20
宿題（2回、各２５％）と レポート（Take home exam、５０％）
( 2 homeworks (25% each) and one take home exam (50%))
[ 成績評価基準の内容 (Grading Criteria) ] 最終更新日：2009-01-20
A 85+
B 75-85
C 60-75
D 50-60
F below 50
[ 受講生に対するメッセージ (Message to Students) ] 最終更新日：2009-01-20
学生の要望があれば、他のトピックを講義します。(Will cover other topics if there are sufficient interest.)
[ その他 (Additional Information) ] 最終更新日：2009-01-20
質問はメールかオフィスアワーでお願いします。 (Questions welcome by email or during office hours.)
[ 授業概要 (Course Overview) ] 最終更新日：2009-01-20
１）企業と市場の分析に必要なゲーム理論（古典寡占モデルを含むy）を復習 ）(Review basic game theory (classical oligopoly) necessary for analysis of firm and market behavior)
２）イノベーション、知財（特許、著作権、トレードシークレット）、法と経済学、ネットワークの経済学の基礎を勉強 (Learn basics of innovation, intellectual property (patents, trade secrets, copyright), law and economics, network economics)
３）最近の論文の紹介 (Read recent papers)
[ 学部・学年の指定 (Who Should Attend) ] 最終更新日：2009-01-20
※履修ルール上の指定内容については必ずルールブックおよびガイドブックの該当箇所を確認して下さい。
ミクロ経済学、ゲーム理論の基礎を知っていること (Must know basics of microeconomics and game theory)
[ 授業の目的・到達目標と方法 (Goals & Methodology) ] 最終更新日：2009-01-20
ミクロ経済学を使って企業行動を理解・分析できるようになる。(Able to perform microeconomic analysis of firm and market behvaior)
[ 授業の内容・計画 (Topics / Schedule) ] 最終更新日：2009-01-20
1．Classical oligopoly theory
2．Competition with asymmteric information
3．Prouduct differentiation
4．Innovation, intellectual property and patent pools
5．Networks and standards
6．Two-sided markets
7. International antitrust
[ テキスト・参考文献 (Textbooks / References) ] 最終更新日：2009-01-20
1. Vives,X., 2001."Oligopoly Pricing - Old Ideas and New Tools,"MIT Press
2．Tirole, J., 1988. "Theory of Industrial Organiazation", MIT Press
3．Handbook of Industrial Organization Volumes 1 and 3 の該当する章 (Chapters from handbooks)
4．Reading List を配布 (Distributed in class)
[ 他の授業科目との関連・教育課程の中での位置付け (Relation with other Courses) ] 最終更新日：2009-01-20
産業経済学、技術開発論、国際経済学 などと補完的 (Complementary to applied microeconomic courses, such as industrial economics, innovation, and international economics.)
[ 成績評価の方法 (Requirements & Grading Allocation) ] 最終更新日：2009-01-20
宿題（2回、各２５％）と レポート（Take home exam、５０％）
( 2 homeworks (25% each) and one take home exam (50%))
[ 成績評価基準の内容 (Grading Criteria) ] 最終更新日：2009-01-20
A 85+
B 75-85
C 60-75
D 50-60
F below 50
[ 受講生に対するメッセージ (Message to Students) ] 最終更新日：2009-01-20
学生の要望があれば、他のトピックを講義します。(Will cover other topics if there are sufficient interest.)
[ その他 (Additional Information) ] 最終更新日：2009-01-20
質問はメールかオフィスアワーでお願いします。 (Questions welcome by email or during office hours.)
[ テキスト・参考文献 (Textbooks / References) ] 最終更新日：2009-01-19
テキスト
・渡部敏明（2000）『ボラティリティ変動モデル』朝倉書店.
・Kim, C.-J. and Nelson, C. R. (1999), State-Space Models with Regime Switching, MIT Press.
本年度は，Optimal Dynamical Systems for Biology and Economics を研究する．主たる講義内容として以下を予定している．
1. First Order Differential Equations Systems
2. First Order Difference Equations Systems
3. Nonlinear Systems
4. Lagrangean and Hamiltonian Systems
5. Chaos and Catastrophes in Dynamical Systems
6. Optimal Dynamical Systems
7. Dynamical Systems in Biology
8. Bioeconomics and Optimal Management of Natural Resources
テイラー・ルールによる金融政策分析
地主敏樹、黒木祥弘、宮尾龍蔵、「1980年代後半以降の日本の金融政策：政策対応の遅れとその理由」、in 三木谷良一、A.;ポーゼン『日本の金融危機』、東洋経済新報社、2001年、115−155ページ
Kuttner, Kennth N. and Adam S. Posen (2004). “The Difficulty of Discerning What’s Too Tight: Taylor Rules and Japanese Monetary Policy.” The North American Journal of Economics and Finance, 2004 Vol. 15, pp53-74
Okina, Kunio; Masaaki Shirakawa, and Shigenori Shiratsuka (2001), “The Asset Price Bubble and Monetary Policy: Japan’s Experience in the Late 1980s and the Lessons” Background Paper
for the conference: Monetary and Economic Studies (special edition) February: 395-450.
Oda, Nobuyuki and Kazuo Ueda (2005). "The Effects of the Bank of Japan's Zero Interest Rate Commitment and Quantitative Monetary Easing on the Yield Curve: A Macro-Finance Approach" Grad School of Economics, Univ of Tokyo, Discussion paper, CIRJE-F-336, April 2005
中央銀行の独立性
Cargill, Thomas F., Michael M. Hutchison and Takatoshi Ito, (2001), Financial policy and Central Banking in Japan, Cambridge, MA: MIT Press.
Cukierman, Alex, Steven B. Webb, and Bilin Neyapti, 1992. “Measuring the Independence of Central Banks and Its Effect on Policy Outcome,” World Bank Economic Review, vol. 6: 353-398.
為替レートの変動分析
Ito, Takatoshi and Yuko Hashimoto, “Intra-day Seasonality in Activities of the Foreign Exchange Markets: Evidence from the Electronic Broking System” Journal of the Japanese and International Economies, vol. 20, no. 4, December 2006: 637-664.
Takatoshi Ito and Yuko Hashimoto (2008). “Price Impacts of Deals and Predictability of the Exchange Rate Movements,” in T. Ito and A. Rose (eds.) International Financial Issues in the Pacific Rim, NBER East Asia Seminar on Economics, Volume 17, Chicago: University of Chicago Press, 2008: 177-215.
為替介入の分析
Ito, Takatoshi, (2007). “Myths and reality of foreign exchange interventions: An application to Japan”, International Journal of Finance & Economics, Volume 12, Issue 2, April 2007: 133-154.
Ito, Takatoshi and Tomoyoshi Yabu, “What Prompts Japan to Intervene in the Forex Market? A New Approach to a Reaction Function” Journal of International Money and Finance, vol. 26, no.2, March 2007: 193-212. [NBER working paper. No. 10456, May 2004.]
REFERENCES (additional readings will be assigned as necessary)
The Role of IFIs
Visit IFI websites to get introduction
International Monetary Fund (IMF), 2009a, Initial Lessons of the Crisis for the Global
Architecture and the IMF, Washington DC.
Eichengreen, Barry, 1999, Toward A New International Financial Architecture: A Practical
Post-Asia Agenda, Institute for International Economics.
Fischer, Stanley, 1997, “Applied Economics in Action: IMF Programs,” the American
Economic Review Papers and Proceedings, Vol. 87, No. 2.
*Krueger, Anne, “Whither the World Bank and the IMF?,” Journal of Economic Literature, Vol.
36, No. 4 (Dec., 1998), pp. 1983-2020.
*Ito, Takatoshi, 2007a, 経済教室「IMF の監視機能強化を」日本経済新聞 7 月１１日
ttp://www.e.u-tokyo.ac.jp/~tito/KeizaiKyoshitsu20070711.pdf
*Ito, Takatoshi, 2008, 経済教室「金融安定に向けた国際協調−IMF の統治改革が重要」日
本経済新聞、11 月20 日
Rogoff, Kenneth, 2003, “The IMF strikes back,” Foreign Policy, No. 134, pp. 38-46.
Easterly, William, 2002, The Elusive Quest for Growth, MIT Press.
Stiglitz, J., 2002, Globalization and its Discontents. New York: W.W. Norton.
The Asian Crises
*Ito, Takatoshi, 2007b, "Asian Currency Crisis and the International Monetary Fund, 10 Years
Later: Overview," Asian Economic Policy Review 2, pp16-49.
Fischer, S., “The Asian Crisis: A view from the IMF,”
ttp://www.imf.org/external/np/speeches/1998/012298.htm
*IMF factsheets: “The IMF’s Response to the Asian Crisis,” January 1999
IMF, Independent Evaluation Office, 2002. The IMF and Recent Capital Account Crises:
Indonesia, Korea, and Brazil
ttp://www.imf.org/external/np/ieo/2003/cac/pdf/all.pdf
*Krugman, P. and M. Obstfeld “East Asia: Success and Crisis,” in International Economics:
Theory and Policy, 8th Edition.
Mishkin, Frederic S., 1999, “Lessons from the Asian crisis,” Journal of International Money
and Finance, 18.
“The Asian Crisis: Causes and Cures,” Finance & Development, June 1998, Volume 35,
Number 2.
Radelet, S., Sachs J, Cooper, RN, and BP Bosworth, 1998, “The East Asian financial crisis:
diagnosis, remedies, prospects,” Brookings Papers on Economic Activity , No. 1, pp. 1-90.
The Current Global Crisis
Latest articles on the current events are found at:
The Economist Magazine: ttp://www.economist.com
Roubini’s Global Economic Monitor ttp://rgemonitor.com
担当教員一覧
詳細情報
授業の目的／Course Objective The goal of this class is to have knowledge of elementary econometrics in graduate level. After taking this class, students can study more advanced econometrics for themselves.
履修条件・受講条件／Requirement / Prerequisite This class is based on Statistics and Econometrics, which are provided by Department of Economics, and Econometrics I, provided by Graduate School of Economics.
講義内容／Course Content To achieve the above goal, the following contents are lectured. We aim to learn basic concepts of econometrics and apply them.
1. Simple Regression (Review of Econometrics for undergraduate
2. Multiple Regression using Matrix
3. Review of Matrix
4. Multiple Regression
5. Restricted OLS
6. F Distribution (Restricted and Unrestricted OLS)
7. Generalized OLS (GLS)
8. MLE
9. Asymptotic Theory
10. Consistency and Asymptotic Normality of OLS
11. Instrumental Variable
12. Large Sample Test
13. Heteroscedasticity
14. Auto-correlation
15. Specification Error
16. Multi-collinearity
17. Time Series Analysis
18. Unit Root and Co-integration
19. GMM (Generalized Method of Moments)
We proceed the above contents in order. However, they are planned for now. We change the contents of the class by progress.
教科書／Textbooks The handouts are distributed.
参考文献／Reference W.H. Greene (2012), Econometric Analysis (7th ed.)
J.D. Hamilton (1994), Time Series Analysis
成績評価／Grading Policy The grade is based on the final exam and some homework.
コメント／Other Remarks If you are absent from the class, you will not be able to understand at all.
Applied Computational Economics and Finance
Mario J. Miranda & Paul L. Fackler
The Ohio State University & North Carolina State University
MIT Press, 2002
［１］Abe, K., 1992. Tariff reform in a small open economy with public production. International Economic Review 33, 209-222.
［２］Acemoglu, D., Ventura, J., 2002. The world income distribution. Quarterly Journal of Economics 117, 659-694.
［３］Bhagwati, J. N., Brecher, R. A., Hatta, T., 1983. The generalized theory of transfers and welfare: bilateral transfers in a multilateral world. American Economic Review 73, 606-618.
［４］Brander, J., Krugman, P., 1983. A‘reciprocal dumping’model of international trade. Journal of International Economics 15, 313-321.
［５］Brander, J. A., Spencer, B. J., 1985. Export subsidies and international market share rivalry. Journal of International Economics 18, 83-100.
［６］Dornbusch, R., Fischer, S., Samuelson, P. A., 1977. Comparative advantage, trade, and payments in a Ricardian model with a continuum of goods. American Economic Review 67, 823-839.
［７］Jones, R. W., 1965. The structure of simple general equilibrium models. Journal of Political Economy 73, 557-572.
［８］Krugman, P., 1980. Scale economies, product differentiation, and the pattern of trade. American Economic Review 70, 950-959.
［９］Melitz, M. J., 2003. The impact of trade on intra-industry reallocations and aggregate industry productivity. Econometrica 71, 1695-1725.
［10］Mussa, M., 1974. Tariffs and the distribution of income: the importance of factor specificity, substitutability, and intensity in the short and long run. Journal of Political Economy 82, 1191-1203.
また、演習開始時点までに以下の教科書程度の知識を身につけておくべきである：
中西訓嗣、広瀬憲三、井川一宏（編）、2003.『国際経済理論』。有斐閣、東京。
Feenstra, R. C., 2004. Advanced International Trade: Theory and Evidence. Princeton UniversityPress,Princeton,NJ. Wong, K.-y., 1995. International Trade in Goods and Factor Mobility. MIT Press, Cambridge, MA.
Markusen, J. R., et al., 1995. International Trade: Theory and Evidence. McGraw-Hill, New York.
Feenstra, R. C., 2004. Advanced International Trade: Theory and Evidence. Princeton University Press, Princeton, NJ.
参考文献 Wong, K.-y., 1995. International Trade in Goods and Factor Mobility. MIT Press, Cambridge, MA.
教科書 Feenstra, R. C., Taylor, A. M., 2008. International Economics. Worth Publishers, New York.
参考文献 Markusen, J. R., et al., 1995. International Trade: Theory and Evidence. McGraw-Hill, New York.
Ⅱ 主体均衡の数量分析
２-１ Euler equationの検証（１）
２-２ Euler equationの検証（２）
２-３ Value functionの数値計算（１）
２-４ Value functionの数値計算（２）
Ⅲ 一般均衡の数量分析
３-１DSGEモデル（１）：基本的概念
３-１DSGEモデル（２）：Calibration form
３-２DSGEモデル（３）：Bayesian estimation form
３-３DSGEモデル（４）：DSGE-VAR
■成績評価と基準
① レポート
② 期末試験
■履修上の注意（関連科目情報等を含む）
上級計量経済学・上級マクロ経済学を履修していることが望ましい。
■学生へのメッセージ
講義で学んだ内容を、自分自身で積極的に実践していくことが望まれる。
■教科書
Structural Macroeconometrics / D. N. DeJong and C. Dave : Princeton University press. ,2007 ,ISBN:
■参考書・参考資料等
Recursive Macroeconomics Theory, Second edition / L. Ljunggvist and T. J. Sargent : MIT press ,2004 ,ISBN:
消費者行動と日本の資産市場 / 羽森茂之 : 東洋経済新報社 ,1996 ,ISBN:
対外不均衡とマクロ経済：理論と実証 / 松林洋一 : 東洋経済新報社 ,2010 ,ISBN:
■授業における使用言語
This is an advanced undergraduate level course on macroeconomics. The course is aimed at (i) understanding basic notions of the macroeconomics, (ii) being equipped with the basic analytical tools (models) for policy analysis both in the closed economy and the open economies, and (iii) being able to consider the real-world problem, such as the recent financial crisis, through the lens of these tools.
Central issues considered in the course include (i) capital flows, (ii) international transmission of shocks, and (iii) the role of stabilization policy.
Students are expected to be familiar with intermediate macroeconomic theory and with undergraduate mathematical economics.
On successful completion of this course, students will be able to understand (i) the analytics behind key macroeconomic models, (ii) how policy can affect these outcomes and (ii) the real-world problem through macroeconomic thinking.
テキスト（教科書）
Schmitt-Grohe, Stephanie and Martin Uribe, 2011, International Macroeconomics;
- downloadable for free at ttp://www.columbia.edu/~mu2166/UIM/notes.pdf.
Corsetti, Giancarlo and Paolo Pesenti, 2009, “The Simple Geometry of Transmission and Stabilization in Closed and Open Economies, in NBER International Seminar on Macroeconomics 2007;
- downloadable for free at ttp://www.nber.org/chapters/c3000.pdf.
参考書
Barro, Robert, and Xavier, Sala-I-Martin, 1995, Economic Growth, McGrow Hill.
Cochrane, John, 2001, Asset Pricing, Princeton University Press.
Enders, Walter, 1995, Applied Econometric Time Series, Wiley.
Jones, Charles, Introduction to Economic Growth, Norton.
Obstfeld, Maurice and Kenneth Rogoff, Foundations of International Macroeconomics, MIT Press, 1996.
Romer, David, 2006, Advanced Macroeconomics, McGrawHill.
Walsh, Carl, 2003, Monetary Theory and Policy, MIT Press.
授業科目の内容
In the first part of the course, we learn the basic dynamic stochastic general equilibrium (DSGE) models under the complete market, or with the representative agent, in other words. We will learn how to derive the model as well as how to obtain the solutions of the rational expectations equilibrium.
We then further discuss both positive and normative analyses using the DSGE models: how the basic model has been developed in order to better explain the data; how such models are used for the optimal policy analysis.
In the second part, we depart from the representative agent assumption and the complete market model and investigate models with heterogeneous agents in incomplete markets. We will learn the skills to solve workhorse models in quantitative macroeconomics with incomplete markets and discuss various topics and papers that use micro-founded dynamic models with heterogeneous agents.
We will study selected papers carefully and in depth, reviewing the model, equilibrium definition and conditions, calibration and computational methods in each of the papers. There will be computational assignments based on the papers we read. We will also read more papers at a faster pace from various topics, based on the interest of the students, that are broad extensions of a Bewley model, such as inequality in income and wealth, life-cycle pattern of consumption, saving and labor supply, fiscal policy and optimal taxation, health and medical expenditures, aging demographics, retirement and social security.
テキスト（教科書）
特に指定しない。
参考書
- Adda, Jerome, and Russell Cooper, Dynamic Economics, MIT Press, 2003.
- Cooley, Thomas, Frontiers in Business Cycle Research, Princeton University Press, 1996.
- Gali, Jordi, Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework, Princeton University Press, 2008.
- Herr, Burkhard, and Alfred Mausner, Dynamic General Equilibrium Modeling: Computational Methods and Applications, Springer, 2009.
- Judd, Kenneth, Numerical Methods in Economics, MIT Press, 1998.
- Ljungqvist, Lars, and Thomas J. Sargent, Recursive Macroeconomic Theory, 3rd edition, MIT Press, 2012.
- Marimon, Ramon, and Andrew Scott, Computational Methods for the Study of Dynamic Economics, Oxford University Press, 1998.
- Pissarides, Christopher, Equilibrium Unemployment, MIT Press, 2000.
- Stachurski, John, Economic Dynamics: Theory and Computation, MIT Press, 2009.
- Stokey, Nancy, Robert Lucas and Edward Prescott, Recursive Methods in Economic Dynamics, Harvard University Press, 1989.
- Walsh, Carl, Monetary Theory and Policy, 3rd edition, MIT Press, 2010.
- Woodford, Michael, Interest and Prices: Foundations of a Theory of Monetary Policy, Princeton University Press, 2003.
