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1、FinancialMarketsandtheMacroeconomy.“Mini”-PhDcourseBergen,May22-24,2012Prof.HaraldUhlig,UniversityofChicago,huhlig@uchicago.eduJanuary27,2012AbstractThispartofthecourseinvestigatestheinterrelationshipbetweenfinancialmarketsandmacroeconomics,presentingsomere
2、centdevel-opmentsinthatliterature.Westartfromalog-linearizedperspectiveonassetpricingandmacroeconomicdynamics.Weextendthesetoolstolong-runriskandEpstein-Zinpreferences.Wediscusshighermo-mentsandlargedisasters.NextweturntomodelsofsystemicriskaswellasDSGEmod
3、elsincorporatingafinancialsectorandhousepriceboomsandbusts.Finally,weturntosovereigndebtcrises.Courseschedule:1.lecture:TueMay22nd,9:15-12(withbreak)2.lecture:TueMay22nd,14:15-163.lecture:WednMay23nd,9:15-12(withbreak).(plus:Facultyseminar:14:15-15:30)4.lec
4、ture:ThuMay24nd,9:15-12(withbreak)5.lecture/studentpresentations:ThuMay24nd,14:15-161CourseOutlineThereareselectedpapersforeachlecture,thatwillbediscussedindetail.Participantsareencouragedtopreparethemaheadoftime.Then,themesarelistedwithconsiderablylongerl
5、istsofreferences,forfurtherreading.Theoutlinebelowmayturnouttobetooambitious,inwhichcaseweshallscaleback,dependingonothercoursesthatstudentstook,interest,aswellasbackgrounds.1Lectures1and21.1SelectedpapersBarroandUrsua(2011),Gourio(2011b),Guvenen(2009),Let
6、tauandUhlig(2002),Uhlig(2007a),Uhlig(2010b)1.2Assetpricing,macroeconomicdynamicsandlog-linearization.Boldrin,Christiano,andFisher(2001),BovenbergandUhlig(2008),Cochrane(2001),Duffie(1992),HornsteinandUhlig(2000),Jaccard(2007),Jermann(1998),KliemandUhlig(2011
7、),LettauandUhlig(2002),LettauandUhlig(2000),Uhlig(2007c),Uhlig(2007a)1.3Long-runriskandEpstein-ZinpreferencesBansalandYaron(2004),Borovicka,Hansen,Hendricks,andScheinkman(2010),Guvenen(2009),Hansen,Heaton,andLi(2008),KaltenbrunnerandLochstoer(2010),Rudebus
8、chandSwanson(2009),Tallarini(2000),Tanaka(2010),Uhlig(2010b),Uhlig(2007b)1.4Largerisks,raredisastersandhighermomentsBackus,Chernov,andMartin(2011),Barro(2006),BarroandJin(2010),Barro,Nakamura,Steinsson,andUrs
