Dottorato di Ricerca in
Economia delle Istituzioni e dei Mercati Monetari e Finanziari
Anno Accademico 2000-2001

Programma dei corsi I semestre

PRECORSI
Gli esami si svolgeranno il 10 ottobre 2000 e il 13 ottobre 2000.

MATEMATICA
Docente: Dr.ssa Elisabetta Tessitore

  • Algebra lineare: vettori e matrici.
  • Studio di funzioni: derivazione, integrazione, massimi e minimi liberi e vincolati.
  • Equazioni differenziali del primo ordine: a variabili separabili, lineari a coefficienti variabili.
  • Equazioni differenziali lineari di ordine superiore a coefficienti costanti.
  • Equazioni alle differenze lineari a coefficienti costanti.

Testi di riferimento:

  • Howard Anton, "Elementary linear algebra", John Wiley.
  • Alpha Chiang, "Introduzione all'economia matematica", Bollati Boringhieri.
  • E. Giusti: Analisi matematica 1e2, Boringhieri

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PROBABILITA'
Docente: Dr. Roberto Monte

  • Insieme dei possibili esiti di un esperimento aleatorio
  • Algebre di eventi
  • Nozione "naive" di probabilità
  • Elementi di calcolo combinatorio
  • Statistiche di Bose-Einstein, Fermi-Dirac e Maxwell-Boltzman
  • Spazi di probabilità finiti, la probabilità come misura, cenni al caso di spazi di probabilità infiniti
  • Eventi indipendenti
  • Probabilità condizionata
  • Formula della probabilità totale e formula di Bayes
  • Variabili aleatorie discrete, funzioni di ripartizione, densità
  • Densità bernoulliana, binomiale, e di Poisson
  • Speranza e varianza di una variabile aleatoria
  • Speranza e varanza di variabili aleatoria a densità bernoulliana, binomiale, e di Poisson
  • Variabili aleatorie indipendenti
  • Covarianza e correlazione di variabili aleatorie
  • Speranza condizionata di una variabile aleatoria
  • Funzioni caratteristiche
  • Elementi di statistica, campionamento infinito e finito
  • Statistiche elementari, media e varianza campionaria
  • Applicazioni

Testi di riferimento:

  • Chung, A Course in probability theory, Probability and Mathematical Statistics series, Jonh Wiley & Sons
  • Fisz, Probability Theory and Mathematical Statistics, Probability and Mathematical Statistics series, Jonh Wiley & Sons
  • Donato Michele Cifarelli, Introduzione al calcolo delle probabilità, McGraw-Hill Italia
  • Baldi, Calcolo delle Probabilità e Statistica, McGraw-Hill Italia
  • Giorgio Dall'Aglio, Calcolo delle Probabilità, Zanichelli
  • Baldi, Giuliano, Ladelli, Laboratorio di probabilità e statistica matematica, McGraw-Hill Italia

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I SEMESTRE
Gli esami si svolgeranno tra il 17 gennaio 2000 e il 4 Febbraio 2000.

MACROECONOMIA
Course Coordinator: Prof. Giancarlo Marini

Teaching Staff:

  • A.Dalmazzo (University of Siena)
  • G.Marini (University of Rome Tor Vergata)
  • F.Mattesini (University of Rome Tor Vergata)
  • A. Petrucci (University of Molise)
  • P.Scaramozzino (University of London)
  • R. Waldmann (University of Rome Tor Vergata)

Teaching Assistant:

  • P. Senesi (University of Tor Vergata)

Closed Economy Models

  • Expectations, Cycles and the Neutrality of Money: Neo-keynesian Rational Expectations Models. Econometric Policy Evaluation
  • Time consistency and Optimal Monetary Policy
  • Introduction to Real Business Cycle Models
  • Public Debt and Economic Activity
  • Dynamic Optimization
  • Consumption and Investment
  • Growth Theory
  • Externalities, Human Capital and Endogenous Growth
  • Monopolistic Competition and Monetary Policy
  • Monetary transmission mechanisms
  • Strategic Complementarity and Multiple Equilibria

Reference Books:

  • P. Aghion and P. Howitt (1998), Endogenous growth theory, MIT Press
  • F. Bagliano and G.Bertola (1999), Metodi dinamici e fenomeni macroeconomici, Il Mulino
  • R.J.Barro and X. Sala-́-Martin, Economic Growth (1995), McGraw-Hill
  • O.J.Blanchard and S.Fischer, Lectures in Macroenomics (1989), MIT Press.
  • Chiang, A.C. (1992), Elements of Dynamic Optimization, New York, McGraw-Hill
  • Deaton, A. (1992), Understanding Consumption, Oxford, Clarendon Press
  • D.Romer, Advanced Macroeconomics, McGraw-Hill, 2000
  • Solow, R.M. (1992), Siena Lectures on Endogenous Growth Theory, Università di Siena, Dipartimento di Economia Politica.

Suggested reading list:

  • Aghion, P., e Howitt, P. (1992), "A Model of Growth through Creative Destruction", Econometrica, Vol. 60, No. 2, March, pp. 323-351.
  • Abel, A. (1988), "Consumption and Investment", in B. Friedman and F. Hahn (eds.), Handbook of Monetary Economics, Amsterdam, North-Holland.
  • Akerlof and Yellen (1985), "A Near-Rational Model of the Business Cycle with Wage and Price Inertia", Quarterly Journal of Economics, p.823-838.
  • D. Backus e J. Driffil, (1985), "Inflation and Reputation", American Economic Review
  • R.J. Barro, 1974, "Are Government Bonds Net Wealth?", Journal of Political Economy
  • R.J. Barro e D.B. Gordon, 1983, "Rules, Discretion and Reputation in a Model of Monetary Policy", Journal of Monetary Economics
  • Bernanke B.S. and Gertler M. (1995) Inside the Black Box: the Credit Channel of Monetary TransmissionJournal of Economic Perspectives vol 9. no.4, Fall, 27-48
  • O.J. Blanchard, 1981, "Output, the Stock Market, and Interest Rates", American Economic Review, 71, 132-143
  • O.J. Blanchard, 1985, "Debt, Deficits and Finite Horizons", Journal of Political Economy
  • Blanchard and Kiyotaki (1987), "Monopolistic Competition and the Effects of Aggregate Demand", American Economic Review, p.647-666.
  • A.S, Blinder e S. Fischer, 1981, "Inventories, Rational Expectations and the Business Cycle", Journal of Monetary Economics, 8, 277-304.
  • Blundell, R., S. Bond, M. Devereux and F. Schiantarelli (1992), "Investment and Tobin's Q", Journal of Econometrics, Vol. 51, No. 1/2, Jan./Feb., pp. 233-257.
  • W.H. Buiter, 1988, "Death, Birth, Productivity Growth and Debt Neutrality", Economic Journal
  • W.H. Buiter, 1989, "After the New Classical Macroeconomics", in Macroeconomic Theory and Stabilisation Policy, Manchester University Press.
  • G. Calvo, 1978, "On the Time Consistency of Optimal Policy in a Monetary Economy", Econometrica
  • Chirinko, R.S. (1993), "Business Fixed Investment Spending: Modeling Strategies, Empirical Results, and Policy Implications", Journal of Economic Literature, Vol. 31, December, pp. 1875-1911.
  • Cooper and John (1988), "Coordinating Coordination Failures in Keynesian Models", Quarterly Journal of Economics, p.441-463.
  • Diamond P. (1982), "Aggregate Demand Management in Search Equilibrium", Journal of Political Economy, p.881-894 (Search & Trade Externalities).
  • S. Fischer, 1977, "Long-Term Contracts, Rational Expectations, and the Optimal Money Supply Rule", Journal of Political Economy, 85, pp. 191-206.
  • Hall, R.E. (1978), "Stochastic Implications of the Life-Cycle - Permanent Income Hypothesis: Theory and Evidence", Journal of Political Economy, Vol. 86, pp. 971-987.
  • Hubbard, R.G. (1998), "Capital-Market Imperfections and Investment", Journal of Economic Literature, Vol. 36, March, pp. 193-225.
  • Kashyap A.K and Stein J.C. (1994) Monetary Policy and Bank Lending, in: Mankiw N.G.(ed) Monetary Policy, University of Chicago Press, Chicago.
  • F.E. Kydland e E.C. Prescott, 1977, "Rules Rather than Discretion: the Inconsistency of Optimal Plans", Journal of Political Economy
  • J.B. Long e C.I. Plosser, 1982, "Trends and Random Walks in Macroeconomic Time Series", Jounal of Monetary Economics
  • R.E. Lucas, 1972, "Expectations and the Neutrality of Money", Journal of Economic Theory, pp. 103-124.
  • R.E. Lucas, 1973, "Some International Evidence on Output-Inflation Trade-Offs", American Economic Review, 63, pp. 326-334.
  • R.E. Lucas, 1976, "Econometric Policy Evaluation - A Critique", Journal of Monetary Economics, Supplemento.
  • Lucas, R.E. Jr. (1988), "On the Mechanics of Economic Development", Journal of Monetary Economics, Vol. 22, pp. 3-42.
  • Lucas, R.E. Jr. (1993), "Making a Miracle", Econometrica, Vol. 61, No. 2, March, pp. 251-272.
  • R.E. Lucas and T.J. Sargent, "After Keynesian Macroeconomics" in Lucas e Sargent (a cura di), op. cit.
  • P.J. Miller (ed.), 1994, The Rational Expectations Revolution, MIT Press.
  • J.F. Muth, 1961, "Rational Expectations and the Theory of Price Movements", Econometrica, 29, pp. 315-355
  • C.R. Nelson e C.I. Plosser, 1983, "Real Business Cycles", Journal of Political Economy
  • C.I. Plosser, 1989, "Understanding Real Business Cycles", Jounal of Economic Perspectives
  • K. Rogoff, 1985, "The Optimal Degree of Commitment to an Intermediate Monetary Target", Quarterly Journal of Economics
  • T.J. Sargent e N. Wallace, 1975, "Rational Expectations, the Optimal Monetary Instrument and the Optimal Money Supply Rule", Journal of Political Economy, 83Scaramozzino, P. (1997), "Investment Irreversibility and Finance Constraints", Oxford Bulletin of Economics and Statistics, Vol. 59, No. 1, pp. 89-108.
  • J. Stiglitz, 1997, "Reflections on the Natural Rate Hypothesis", Journal of Economic Perspectives
  • J. Taylor, 1980, "Aggregate Dynamics and Staggered Contracts", Journal of Political Economy, Febbraio.
  • C.E. Walsh, 1995, "Optimal Contracts for Central Bankers", American Economic Review
  • P. Weil, 1991, "Overlapping Families of Infinitely Lived Agents", Journal of Public Economics

Open Economy Models

  • National and International Money
  • International Monetary Systems: The Gold Standard, Bretton-Woods, The EMS
  • Exchange Rate Volatility and Equilibrium Models
  • The Monetary Approach to the Balance of Payments
  • Sticky Prices and Overshooting
  • Portfolio Models of Exchange Rate Determination
  • Speculative Attacks and Currency Crises

Reference Books:

  • P. De Grauwe, International Money (1996), Oxford University Press
  • B. T. McCallum, International Monetary Economics (1996), Oxford University Press
  • M. Obstfeld and K. Rogoff, Foundations of International Macroeconomics (1996), MIT Press
  • Jones, R.and Kenen, P. (1985), Handbook of International Economics, North Holland, Amsterdam.
  • G. Grossman and Rogoff, K. (eds.) (1996), Handbook of International Economics, vol. III, North Holland, Amsterdam
  • S. Turnovsky, (1997), International Macroeconomics Dynamics, MIT Press, Cambridge (MA)
  • F. Van der Ploeg, (1994), The Handbook of International Macroeconomics, Basil Blackwell, Oxford.

Suggested reading list:

  • Branson, W.H. (1979), "Exchange Rate Dynamics and Monetary Policy", in Lindbeck A., Inflation and Employment in Open Economies, North-Holland.
  • Brock, P. - Turnovsky, S.J. (1994), "The Dependent Economy Model with Traded and Nontraded Capital Goods", Review of International Economics, 2, 306-325.
  • Burnside, C., Eichenbaum, M., Rebelo, S. (2000),"On the fundamentals of Self-Fulfilling Speculative Attacks", NBER working paper, n.6758.
  • Calvo, G.A. (1985), "Currency Substitution and the Real Exchange Rate: the Utility Maximization Approach", Journal of International Money and Finance, 4, 175-188.
  • Dornbusch, R. (1976), "Expectations and Exchange Rate Dynamics", Journal of Political Economy, 84, 1161-1176.
  • Flood, R.P.-Garber, P. (1984), "Collapsing Exchange Rates Regimes: Some Linear Examples", Journal of International Economics, 17, 1-13.
  • Flood, R.P-Marion, N.P. (1998), "Perspectives on the Recent Currency Crisis Literature", IMF working paper, n.130, sept.
  • Karayalcin, C. (1999), "Temporary and Permanent Government Spending in a Small Open Economy", Journal of Monetary Economics, 43, 125-141.
  • Murphy, R.G. (1991), "Macroeconomic Adjustment under Alternative Lending Arrangements", Journal of Economic Dynamics and Control, 15, 103-127.
  • Obstfeld, M. (1996), "Models of Currency Crises with Self-Fulfilling Features", EER, 40, 1037-1048
  • Obstfeld, M.-Rogoff,K. (1995), "The Mirage of Fixed Exchange Rates", Journal of Economic Perspectives, 9, 73-96.
  • Taylor, M. (1995), "Exchange Rate Behavior", Journal of Economic Literature, 33, 13-47.
  • Turnovsky, S.J.-Sen, P. (1995), "Investment in a Two-Sector Dependent Economy", Journal of Japanese and International Economies, 9, 29-55.
  • Velasco, A. (1997), "When are Fixed Exchange Rates Really Fixed?", Journal of Development Economics, 37, 358-372

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METODI QUANTITATIVI
Coordinatore: Prof. Franco Peracchi
Docenti: Giuseppe Arbia, Maria Maddalena Barbieri, Brunero Liseo

Modulo I (Prof. Giuseppe Arbia)

  1. Statistical models. Parametric statistical models. Examples of paramateric models. Conditional parametric models. Non parametric and semi parametric statistical models. Prediction problems. The regression function. Linear predictors. Economic data and statistical models. Typologies of economic data: cross-sections, time series, spatial series, panel data.
  2. Sampling and nonsampling errors. Main sampling schemes (simple, stratified). Nonsampling errors: unobserved heterogeneity, sample selection, nonresponse and missing data, grouped observations, measurement errors. Empirical examples of cross section data.
  3. Typologies of economic time series: low/high frequency data, stock/flows. Stochastic processes and time series. Lag operators. Expected values, stationarity and ergodicity. Non parametric stochastic processes (Martingale, Markovian processes, Brownian motion). Definition and properties of some remarkable parametric stochastic processes (White noise; MA(1), MA(2), AR(1), AR(2), ARMA(1,1), ARMA(p,q), ARMA-ARCH). Autocorrelation and partial autocorrelation. Invertibility and causality. Sample autocorrelation. Nonstationarity. Deterministic trends. Integrated processes. Cointegration. Seasonality. Long-memory processes. Multivariate time series. Example of economic time series data: National account data and high frequency financial data.
  4. Typologies of economic spatial data. Random fields and spatial data. Stationarity and ergodicity in two-dimensions. Spatial autocorrelation. Definition and properties of some remarkable parametric random fields (White noise; Conditional autoregressive). Example of economic spatial data: Regional account data and the European data base REGIO.
  5. Panel data: advantages with respect to pure cross-section or pure time-series. Fixed and random effects models. Attrition and new-entry. Examples of economic panel data: the Europanel.

Reading list

  • Anselin, L. (1988) Spatial econometrics, Kluwer Academic publishers, Dordrecht
  • Arbia, G. (1989) Spatial data configuration in the statistical analysis of regional economics, Kluwer Academic publishers, Dordrecht.
  • Arbia, G. (1996) Analisi econometrica di dati spaziali, Quaderni di statistica, Università "G. d'Annunzio".
  • Arbia, G. e G. Espa (1996) Statistica economica territoriale, CEDAM, Padova.
  • Azzalini A. (1996) Statistical inference based on likelihood, Chapman & Hall, London.
  • Baltagi, B. H. (1998) Econometrics, Springer Verlag, Berlin.
  • Greene, W. H. (1997) Econometric analysis, Prentice Hall International, London.
  • Hamilton, J. D. (1994) Time series analysis, Princeton University Press. Traduzione italiana: Econometria delle serie storiche (1995), a cura di B. Sitzia, Monduzzi editore, Bologna.
  • Harvey, A. C. (1994) Forecasting, structural time series models and the Kalman filter, Cambridge University press, Cambridge.
  • Peracchi, F. (2000) Econometrics, Mc Graw Hill.
  • Spanos, A. (1986) Statistical foundations of econometric modelling, Cambridge University Press.

Lecture schedule

  • Weeks 1 to 3. Monday and Tuesday 11.30 to 13.30. Room TBA.

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Modulo II (Prof.ssa Maria Maddalena Barbieri)

  • La funzione di verosimiglianza.
  • Sufficienza.
  • Logiche inferenziali: il principio del campionamento ripetuto, il principio della verosimiglianza, il metodo bayesiano.
  • Stime puntuali: stimatori e stime di un parametro.
  • Metodi di costruzione degli stimatori: il metodo dei momenti, il metodo dei minimi quadrati, il metodo della massima verosimiglianza.
  • Criteri per la bontà di uno stimatore: errore quadratico medio, distorsione, consistenza.
  • Proprietà asintotiche di uno stimatore.
  • Stimatori bayesiani: distribuzioni a priori non informative, classi coniugate.

Testi di riferimento:

  • Azzalini A.(1996), "Statistical Inference based on the likelihood",Chapman and Hall,London
  • Casella G. and Berger R.(1990), "Statistical Inference",Brooks & Cole
  • Lee, P.M. (1997) Bayesian Statistics, Arnold, New York.

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Modulo III (Prof. Brunero Liseo)

  • Aspetti generali: il lemma di Neyman e Pearson.
  • Il ruolo della verosimiglianza nella costruzione di test statistici: il test basato sul rapporto di massima verosimiglianza generalizzato e sue proprietà asintotiche.
  • Costruzione delle regioni di confidenza.
  • La verifica di ipotesi statistiche da un punto di vista bayesiano.

Testi consigliati:

  • Azzalini A. (1996), "Statistical Inference. Based on the likelihood", Chapman and Hall, London
  • Casella G. & Berger R. (1990), "Statistical Inference", Brooks & Cole
  • Lee P..(1997), "Bayesian Statistics: an introduction ", (2nd ed.) Arnold, London.

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MICROECONOMIA
Coordinatore: Prof. F.C. Rosati
Docenti: Pietro Reichlin, Robert Waldmann, Sandro Brusco

Modulo I (Prof. Pietro Reichlin): Teoria del consumatore

  1. Preferenze e domanda (8 ore): 
    Relazioni di preferenza, funzione di utilita', prezzi, vincoli di bilancio, domanda, interpretazione delle condizioni di ottimo, utilita' indiretta, identita'di Roy, interpretazione del moltiplicatore di Lagrange.

Testi di riferimento:

  • H. Varian, Microeconomic Analysis, 3d ed., Norton, 1992, capp. 7, 8.
  1. Equazione di Slutsky e statica comparata (4 ore):
    Problema di spesa minima, domanda hicksiana e funzione di spesa minima, corrispondenza tra problema di massima utilita' e problema di spesa minima, proprieta' ella funzione di spesa minima, matrice di sostituzione per la domanda hicksiana, equazione di Slutzky e matrice di sostituzione per la domanda marshalliana, surplus del consumatore.

Testi di riferimento:

  • H. Varian, Microeconomic Analysis, 3d ed., Norton, 1992, capp. 8, 10.

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Modulo II (Prof. Robert Waldmann): Teoria dei giochi

 

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Modulo III (Prof. Sandro Brusco): Teoria dell'impresa Tecnologia

  • Massimizzazione del profitto e mimizzazione dei costi Concorrenza perfetta Monopolio
  • Introduzione all' oligopolio

Testi di riferimento:

  • Hal Varian (1984) Microeconomic Analysis, W.W. Norton & Company, New York, capitoli 1 e 2.
  • Andreu Mas Colell, Michael Whinston and Jerry Green (1995) Microeconomic Theory, Oxford University Press, New York, capitoli 5 e 12.

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