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A Sufficient Statistics Approach to Macro-Finance (ECO-AD-MACROFIN)

ECO-AD-MACROFIN

Purpose

Course Abstract (including student assessment):
This course provides an introduction to a sufficient statistics approach in macroeconomics and its applications in macroeconomics, with a focus on the role of financial intermediaries. We will show how to represent a large class of macroeconomic models in a “sequence space” which allows us to interpret equilibria as solutions to an intertemporal supply-demand system. The advantage of this representation is that it makes clear which features of various parts of the economy matter most and allows for their empirical discipline without having to take stance on particular microfoundations. We will then introduce commonly used models of financial intermediation and show that they share a common structure that can be easily linked to data and integrated with state-of-the-art quantitative macroeconomic models. Finally, we will discuss how to formulate optimal asset market policies in terms of observable sufficient statistics and how to estimate these sufficient statistics in the data.
 
Students will be expected to read the assigned literature and to solve a problem set.


 

Description

Literature:

• Auclert, Rognlie, and Straub (2024), “The Intertemporal Keynesian Cross”
• Auclert, Bardoczy, Rognlie, and Straub, (2021), “Using the Sequence-Space Jacobian to Solve and Estimate Heterogeneous-Agent Models
• Chetty (2009), “Sufficient Statistics for Welfare Analysis: A Bridge Between Structural and Reduced Form Methods
• Chiang and Zoch (2024),” Financial Intermediation and Aggregate Demand: A Sufficient Statistics Approach
• Chiang and Zoch (2024), “Optimal Asset Market Operations”
• Gabaix and Koijen (2024), “Granular Instrumental Variables”

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