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Excerpt from course description

Trends, Cycles, and Signal Extraction from a Macroeconomic Perspective

Introduction

Complete course description will be ready summer 2022.

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 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 and economic policy
    • Sources of business cycle fluctuations
    • The Sveen and Røisland (2018) model
  • Growth in the long-run
    • Determinants of long-run growth
  • 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

Disclaimer

This is an excerpt from the complete course description for the course. If you are an active student at BI, you can find the complete course descriptions with information on eg. learning goals, learning process, curriculum and exam at portal.bi.no. We reserve the right to make changes to this description.