Prerequisiti e modalità di esame
Students can participate to the laboratory only after having passed the Time Series Analysis exam. For participating, students must register by sending an email to the professor at firstname.lastname@example.org
. A maximum number of 20 students will be admitted (the first registered 20 students).
Materiale didattico e bibliografia
Verbeek M. - A guide to modern econometrics John Wiley & Sons, Ltd. (main reference)
Cochrane H.J. - Time Series for Macroeconomic and Finance, downloadable from ARIEL - Advanced Econometrics
Brooks C. - Introductory Econometrics for Finance, Cambridge university Press, Chapters 5-6-7-8.
Favero C.A. - Applied Macroeconometrics, Oxford University Press.
Bacchiocchi, E. and Fanelli, L. (2015), Identification in Structural Vector Autoregressive models with structural changes, with an application to U.S. monetary policy, Oxford Bulletin of Economics and Statistics 77, 761-779.
Bacchiocchi, E., Castelnuovo, E. and Fanelli, L. (2017), Give me a break! Identification and estimation of the macroeconomic effects of monetary policy shocks in the U.S., Macroeconomic Dynamics, forthcoming.
Beetsma, R. and Giuliodori, M. (2012), The changing macroeconomic response to stock market volatility shocks, Journal of Macroeconomics 34, 281-293.
Bekaert, G., Hoereva,M. and Lo Duca, M. (2013), Risk, uncertainty and monetary policy, Journal of Monetary Economics 60, 771-786.
Bloom, N. (2009), The impact of uncertainty shocks, Econometrica 77, 623-685.
Boivin, J., and M. Giannoni (2006): Has Monetary Policy Become More Effective?, Review of Economics and Statistics, 88(3), 445-462.
Christiano, L., M. Eichenbaum, and C. Evans (1996), The effects of monetary policy shocks: Evidence from the ow of funds, Review of Economics and Statistics 78(1), 16-34.
Jurado, K., Ludvigson, S.C. and Ng, S. (2015), Measuring uncertainty, American Economic Review 105(3), 1177-1216.