Stockholm Doctoral Program in Economics 2017 Behavioural Macroeconomics and Expectation Formation. Preliminary Syllabus

Transcription

1 Stockholm Doctoral Program in Economics 2017 Behavioural Macroeconomics and Expectation Formation Preliminary Syllabus Kathrin Schlafmann & Tobias Broer Contact: Aim of the course: This course wants to introduce the students to some key concepts of behavioural economics and their application to Macroeconomics, with a particular focus on learning and expectation formation. Course Website: Course Organisation and Format: The course will start with an introduction in lecture format. The rest of the course will be based on papers that students are expected to read and present. Specifically, all students will present a paper in depth, and be called upon randomly at the beginning of each session to give a short summary and evaluation of the papers. Office hours: After the lecture or on appointment by . Readings A marks readings that may be presented in class. Assessment: Students will be assessed on the basis of their presentations (30 percent), their participation in the discussions in classs (20 percent) and a term project (50 percent). For the latter, students should send a one-page research proposal by Dec 15. General Reading 1. Matthew Rabin, Incorporating limited rationality into economics, Journal of Economic Literature 51 (2013), no. 2, George A. Akerlof, Behavioral Macroeconomics and Macroeconomic Models, Nobel Prize Lecture Janet Yellen on Behavioural Economics and Monetary Policy,

2 4. Ian McDonald s Behavioral Macroeconomics selection of articles Other Courses 1. SU PhD: Behavioural Economics I and II 2. SU PhD: Information, Learning, and Expectations in Macroeconomics 3. Mainz University: Preliminary Reading List 1. Introduction and Methods George W Evans and Seppo Honkapohja, Learning and expectations in macroeconomics, Princeton University Press, 2012 Lars Peter Hansen and Thomas J Sargent, Robust control and model uncertainty, The American Economic Review 91 (2001), no. 2, 60 66, Implications of rational inattention, Journal of monetary Economics 50 (2003), no. 3, David Laibson, Golden eggs and hyperbolic discounting, The Quarterly Journal of Economics (1997), Faruk Gul and Wolfgang Pesendorfer, Temptation and self-control, Econometrica 69 (2001), no. 6, , Self-control and the theory of consumption, Econometrica 72 (2004), no. 1, Mark J Machina and Marciano Siniscalchi, Ambiguity and ambiguity aversion, Handbook of the Economics of Risk and Uncertainty 1 (2014), Botond Kőszegi and Matthew Rabin, A model of reference-dependent preferences, The Quarterly Journal of Economics (2006), , Reference-dependent risk attitudes, The American Economic Review 97 (2007), no. 4, , Reference-dependent consumption plans, The American Economic Review 99 (2009), no. 3, Daniel Kahneman and Amos Tversky, Prospect theory: An analysis of decision under risk, Econometrica: Journal of the econometric society (1979), Andrew B Abel, Asset prices under habit formation and catching up with the joneses, The American Economic Review 80 (1990), no. 2,

3 Jordi Gali, Keeping up with the joneses: Consumption externalities, portfolio choice, and asset prices, Journal of Money, Credit and Banking 26 (1994), no. 1, Learning and expectation formation Pedro Bordalo, Nicola Gennaioli, and Andrei Shleifer, Diagnostic expectations and credit cycles, Journal of Finance (Forthcoming) Nicola Gennaioli, Yueran Ma, and Andrei Shleifer, Expectations and investment, 2016 Cosmin L. Ilut and Martin Schneider, Ambiguous business cycles, American Economic Review 104 (2014), no. 8, Arturo Ormeño and Krisztina Molnár, Using survey data of inflation expectations in the estimation of learning and rational expectations models, Journal of Money, Credit and Banking 47 (2015), no. 4, Anmol Bhandari, Jaroslav Borovička, and Paul Ho, Identifying ambiguity shocks in business cycle models using survey data, Tech. report, National Bureau of Economic Research, 2016 David Andolfatto, Scott Hendry, and Kevin Moran, Are inflation expectations rational?, Journal of Monetary Economics 55 (2008), no. 2, Sydney C. Ludvigson, Consumer confidence and consumer spending, Journal of Economic Perspectives 18 (2004), no. 2, Timothy Cogley and Thomas J Sargent, The market price of risk and the equity premium: A legacy of the great depression?, Journal of Monetary Economics 55 (2008), no. 3, Lars Peter Hansen, Thomas J Sargent, Thomas D Tallarini, et al., Robust permanent income and pricing, Review of Economic studies 66 (1999), no. 4, Julian Kozlowski, Laura Veldkamp, and Venky Venkateswaran, The tail that wags the economy: Belief-driven business cycles and persistent stagnation, Tech. report, National Bureau of Economic Research, 2015 Ulrike Malmendier and Stefan Nagel, Learning from inflation experiences, The Quarterly Journal of Economics 131 (2016), no. 1, Fatih Guvenen, Learning your earning: Are labor income shocks really very persistent?, The American economic review 97 (2007), no. 3, Timothy Cogley and Thomas J. Sargent, The conquest of US inflation: Learning and robustness to model uncertainty, Review of Economic Dynamics 8 (2005), no. 2, Klaus Adam, Albert Marcet, and Juan Pablo Nicolini, Stock market volatility and learning, The Journal of Finance 71 (2016), no. 1,

4 Thomas Sargent, Noah Williams, and Tao Zha, Shocks and government beliefs: The rise and fall of american inflation, The American Economic Review 96 (2006), no. 4, Christopher A Sims, Pitfalls of a minimax approach to model uncertainty, The American Economic Review 91 (2001), no. 2, Consumption, saving and portfolio choice David Laibson, Andrea Repetto, and Jeremy Tobacman, Estimating discount functions with consumption choices over the lifecycle, Tech. report, National Bureau of Economic Research, 2007 Makoto Nakajima, Assessing bankruptcy reform in a model with temptation and equilibrium default Michaela Pagel, A news-utility theory for inattention and delegation in portfolio choice, Tech. report, working paper, 2016 Francisco Gomes and Alexander Michaelides, Portfolio choice with internal habit formation: A life-cycle model with uninsurable labor income risk, Review of Economic Dynamics 6 (2003), no. 4, Business cycles Roger EA Farmer and Jang-Ting Guo, Real business cycles and the animal spirits hypothesis, Journal of Economic Theory 63 (1994), no. 1, Peter Howitt and R Preston McAfee, Animal spirits, The American Economic Review (1992), Cosmin L Ilut and Martin Schneider, Ambiguous business cycles, The American Economic Review 104 (2014), no. 8, Bartosz Maćkowiak and Mirko Wiederholt, Business cycle dynamics under rational inattention, The Review of Economic Studies (2015), rdv027 Ricardo Reis, Inattentive consumers, Journal of monetary Economics 53 (2006), no. 8, Asset prices Shlomo Benartzi and Richard H Thaler, Myopic loss aversion and the equity premium puzzle, The Quarterly Journal of Economics 110 (1995), no. 1, Nicholas Barberis, Ming Huang, Tano Santos, et al., Prospect theory and asset prices, The Quarterly Journal of Economics 116 (2001), no. 1, 1 53 Monika Piazzesi, Martin Schneider, et al., Inflation and the price of real assets, Citeseer,

5 David N DeJong and Marla Ripoll, Do self-control preferences help explain the puzzling behavior of asset prices?, Journal of Monetary Economics 54 (2007), no. 4, John Y Campbell and John H Cochrane, By force of habit: A consumptionbased explanation of aggregate stock market behavior, The Journal of Political Economy 107 (1999), no. 2, Sparcity-based model of bounded rationality Xavier Gabaix, A sparsity-based model of bounded rationality, The Quarterly Journal of Economics 1661 (2014), 1710, Behavioral macroeconomics via sparse dynamic programming, Tech. report, National Bureau of Economic Research, 2016, A behavioral new keynesian model, preliminary New York University working paper (2016) 7. Policy with behavioural agents (tbd) Emmanuel Farhi and Xavier Gabaix, Optimal taxation with behavioral agents, NBER Working Paper Series (2015), 21524, Implications of rational inattention, Journal of monetary Economics 50 (2003), no. 3, Farhi / Werning (2016): Monetary Policy, Bounded Rationality and Incomplete Markets Per Krusell, Burhanettin Kuruşçu, and Anthony A Smith, Temptation and taxation, Econometrica 78 (2010), no. 6, Joint with: Per Krusell, Burhanettin Kurusçu, and Anthony A Smith, How much can taxation alleviate temptation and self-control problems?, Available at SSRN (2010) 5