Trends, Cycles, and Signal Extraction from a Macroeconomic Perspective

Introduction

No business decision can be made in isolation from general market developments. In this course you will learn about important economic relationships, ranging from macroeconomic accounting identities to simple models describing the behavioral relationships giving rise to these accounting identities. We will study short- and long-run economic fluctuations and discuss the role of productivity and monetary and fiscal policy, both from a theoretical and empirical perspective.

In terms of methodology you will be given a thorough introduction to time series analysis, trend and cycle decompositions, the usage of state-space and factor models, and the celebrated Kalman Filter. These tools are used heavily not only in applied macroeconomic analysis, but also in all other domains where time series analysis is important.

Course content

• Macroeconomic data and the National Account Statistics
  • The most important accounting identities
  • Inflation, interest rates, etc.
• Business cycles, economic growth, and economic policy
  • Sources of business cycle fluctuations and growth
  • The Sveen and Røisland (2018) model
• Time series processes and trend and cycle decompositions
  • Univariate and multivariate time series processes
  • Seasonality
  • Trend and cycle decompositions
• Signal extraction and dimension reduction
  • Dimension reduction
  • State-space models and factor models
  • Kalman Filtering
  • Forecasting