Monetary Policy in the US: What to Teach?

It’s Not Your Mother and Father’s Monetary Policy Anymore: The Federal Reserve and Financial Crisis Relief

Economic Insight

Here you can find some interesting videos form MIT. These videos present insightful views about many aspects of the world. Of particular interest to me are the one related to economic and finance.

Free and Open Access Books

Here is a collection of websites offering free and open access books:

 Intech Open
Financial Economics Lecture Notes

Optimization Algorithms

There are many situations in which one needs reliable optimization algorithms to solve econometric and statistical problems. I use them mostly for Maximum Likelihood and Generalized Method of Moments estimations. I find the following algorithms useful, flexible, and very powerful:

NLopt:

NLopt is a free/open-source library for nonlinear optimization, providing a common interface for a number of different free optimization routines available online as well as original implementations of various other algorithms. Its features include:

• Callable from C, C++, Fortran, Matlab or GNU Octave, Python, GNU Guile, and GNU R.
• A common interface for many different algorithms—try a different algorithm just by changing one parameter.
• Support for large-scale optimization (some algorithms scalable to millions of parameters and thousands of constraints).
• Both global and local optimization algorithms.
• Algorithms using function values only (derivative-free) and also algorithms exploiting user-supplied gradients.
• Algorithms for unconstrained optimization, bound-constrained optimization, and general nonlinear inequality/equality constraints.
• Free/open-source software under the GNU LGPL (and looser licenses for some portions of NLopt).

Macroeconomic Modelling

The following are two excellent tools for macroeconomic modelling:

Macroeconomic Models Data Base: It has more than 50 macroeconomic models that can be computed in Dynare. The project is headed by Volker Wieland, Professor of Monetary Theory and Policy at Goethe University Frankfurt.

DYNARE: "Dynare is a software platform for handling a wide class of economic models, in particular dynamic stochastic general equilibrium (DSGE) and overlapping generations (OLG) models." It is freely available but you have to run it in MATLAB, so, you need MatLab to be installed in your computer first.

Using Dynare to Solve DSGE Models: This is a short tutorial to get started using DYNARE by Eric Sims, University of Notre Dame. He also has nice documentation on estimating RBC and New Keynesian Models here. A similar tutorial can be found here.


Wouter den Haan: Resources for computation of DSGE models.
 

Estimating Volatilities for Portfolio Management

Resources:

Estimating Stock Correlations

R, Matlab, and Gauss Codes

Random collection of codes in R, Matlab, and Gauss for Econometrics and Macroeconomics:
Motohiro Yogo
Serena Ng
Perron
Frank Schorfheide
Frank Schorfheide
Econometric Theory
R in Finance
Econometrics Journal Online
Stochatic Frontier
Stochastic Volatility
Option Pricing
Andrew Patton
Martin Uribe
Judson Caskey (Stata, Matlab, Shumway Hazard Model)
Efficient Method of Moments Matlab
Raymond Kan
University of Zurich
Simone Manganelli
Journal of Financial Economics 
Bayesian VAR
Wouter J. den Haan