Macro II part by John Hassler

Preliminary reading list for the part of Macro II given by John Hassler.

Articles and chapters marked with an asterisk (*) may be read less intensively than the others.

Preliminary notes in SciWord are here and here in pdf.

1. Business Cycles

a) Business Cycle Facts

Trends vs. Cycles, Co-movements, VAR


·         Chapter 12:1-2 in Per Krusell’s lecture notes

·         Stock, J., and M. Watson. "Vector Autoregressions." JEP 15, no. 4 (Fall 2001): 101-115. (PDF)

·         Stock, J., and M. Watson. "Business Cycle Fluctuations in U.S. Macroeconomic Time Series." Chapter 1 in Handbook of Macroeconomics. Vol 1A. Edited by J. Taylor and M. Woodford. Amsterdam; New York: North Holland, 1999. ISBN: 0444501568. (PDF)

·         Ravn, M. and H. Uhlig, “On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations”, Review of Economics and Statistics, May 2002, v. 84 (PDF)

·         *Hassler et al., (1992), “The Swedish Business Cycle: Stylized facts over 130 years.”, Appendix 2-3, IIES Monograph series, No 22. (PDF)

b) The RBC model with endogeneous labor supply

Model setup and solution, Calibration,Does it fit the facts?


·         Chapter 12 in Per Krusell’s lecture notes

·         Prescott, E. C. "Theory Ahead of Business Cycle Measurement." Quarterly Review 10, no. 4 (Fall 1986): 9-22. (PDF)

·         "Finn Kydland and Edward Prescott’s Contribution to Dynamic Macroeconomics." Advance Information on the Bank of Sweden Prize in Economic Sciences, 2004 (PDF)

·         *King, R., and S. Rebelo. "Resuscitating Real Business Cycles." Chapter 14 in Handbook of Macroeconomics. Vol. 1B. Edited by J. Taylor and M. Woodford. Amsterdam, Netherlands, New York, NY, North Holland, Netherlands: Elsevier, 1999, pp. 927-1007. (PDF - 10.3 MB)

c) Asset pricing

How are assets priced? Do the predictions fit the facts?

·         Chapter 10 in Per Krusell’s lecture notes

·         Lucas, R., 1978, "Asset Pricing in an Exchange Economy", Econometrica, November, 1429-45. . (PDF)

·         Mehra, R and E. Prescott, 2003, “The Equity Premium in Retrospect”,  NBER Working Paper No. 9525. (PDF)

·         Weil, Philippe, 1989, “The Equity Premium Puzzle and the Risk-Free Rate Puzzle”, Journal of Monetary Economics, 24, (PDF),

·         *Bansal, Ravi and Amir Yaron, 2005, Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles, Journal of Finance, vol. 59(4), (PDF)

·         *Ljungqvist & Sargent, chapter 13.