Contents & Objectives:
This course introduces the numerical implementation of economic models. Students will first learn how to program in FORTRAN and to apply numerical methods for solving linear and non-linear equation systems. These methods are then applied in three areas: tax policy analysis with static general equilibrium models, portfolio choice analysis and option pricing, life-cycle decision making and overlapping generation models.
After finishing this course students are able to
(1) implement simple economic models on the computer using Fortran 90,
(2) using Monte-Carlo techniques to find optimal portfolio structures and option prices,
(3) simulate simple reforms of the tax and transfers system,
(4) interpret the simulation results economically.
|1-3||FORTRAN 90: A simple programming language|
|4-5||Numerical solution methods: Linear and nonlinear equation systems, Function minimization|
|6-7||Static general equilibrium analysis of tax policy|
|8-9||Optimal portfolio allocation and option pricing|
|10-12||Life-cycle and overlapping generations (OLG) model for savings and pension policy analysis|
Students that attend this course should have some basic knowledge in microeconomic and macroeconomic theory. It is not required to already have programming skills. Yet, students should know how to use a computer. In addition, they should bring along the willingness to learn programming (which requires that they will program a lot themselves).
Fehr, Hans & Fabian Kindermann (2018): Introduction to Computational Economics using FORTRAN, Oxford University Press.
The final grade will be a sum of the points reached in the assignments. There will be six graded assignments which are solved in groups during the semester.