Seminar: Macroeconomic Shocks – A Data-Driven Investigation

Course content

The seminar is devoted to an independent empirical research project with macroeconomic data. Studying the propagation of macroeconomic shocks – for example a monetary policy tightening, increasing government expenditure, or news about technological innovations – is inherently difficult, because the economy is a complex system of endogenous decisions. At the same time, having convincing evidence on causal relationships of macroeconomic variables is crucial when validating structural macroeconomic models or making policy decisions.

Big data and a number of recent advances have improved our understanding of business cycles with the help of standard macroeconometric models, be it vector autoregressive models (VARs), local projections, or DSGE models. Seminar participants will study the propagation of a shock of their choosing in a canonical empirical model and learn how to implement one of the following tractable yet powerful extensions:

  • Identification: The instrumental variable approach frequently used in microeconometrics can be applied to identifying shocks in macroeconomic time series. It shows, for example, that output responds more to monetary policy shocks than previously thought.
  • Nonlinearity: Fiscal policy might have very different effects in recessions, when production capacities lie idle, than during expansions. These considerations can be accounted for in different non-linear extensions of the model.

A seminar project could revolve around one of the following questions:

  • Does the transmission of monetary policy depend on the level of the interest rate (or in other words: Are negative interest rates effective?)
  • How do recoveries from services-led recessions (like Covid-19) differ from others?
  • How does fiscal policy affect the real exchange rate?
  • Do shocks to financial markets move employment and wages (or vice versa)?
  • How do central bank decisions affect the profitability of banks?
  • Does the impact of stabilization policies depend on the demand composition of output?
  • Are uncertainty shocks inflationary or deflationary?
  • Have the effects of oil price shocks changed since the 1970s?

MSc programme in Economics

The seminar is primarily for students at the MSc of Economics.

Learning outcome

After completing the seminar the student is expected to be able to fulfill the learning outcome specified in the Master curriculum and to be able to:


  • Know the tools and data available to macroeconometricians and how to use them to study macroeconomic shocks and their propagation
  • Identify a policy-relevant macroeconomic question
  • Apply an appropriate model to draw inference from data and answer that question


  • Master a programming language such that an advanced econometric model can be estimated
  • Present scientific evidence in a convincing way
  • Make informed decisions to advance the project efficiently



  • Plan an empirical investigation in a data-rich environment
  • Understand strengths and weaknessess of time series analysis in practice  
  • Discuss empirical findings in light of different, sometimes contradictory economic theories

At the seminar the student is trained independently to
- identify and clarify a problem,
- seek and select relevant literatur,
- write a academic paper,
- present and discuss own paper with the other students at the seminar.

Mandatory activities in the seminar:
- Kick-off meeting
- Finding literatur and defining the project
- Writing process of the seminar paper
- Presentation of own project and paper
- Giving constructive feedback to another student´s paper
- Actively participating in discussions at the presentations and other meetings.

The aim of the presentations is, that you use the presentation as an opportunity to practice oral skills and to receive feedback at the paper. The presentations are not a part of the exam and will not be assessed.

The seminar project paper must be uploaded in Absalon before the presentations, as the opponents and the other seminar participants have to read and comment on the paper. It is important that you upload a paper that is so finalized as possible due to the fact that the value of feedback and comments at the presentation is strongly associated with the skill level of the seminar paper.
The teacher defines what materials may be used for the presentations.

After the presentations, you can with a few corrections improve the seminar paper by including the feedback and comments emerged during the presentations. It is NOT intended that you rewrite or begin the writing of the seminar paper after the presentation has taken place.

In case of a pandemic like Corona the teaching in this seminar may be changed to be taught either fully or partly online. For further information, see the course room on Absalon.

Ascari, G. & Haber, T. (2020). Non-linearities, State-dependent Prices and the Transmission Mechanism of Monetary Policy, Unpublished draft.

Auerbach, A. J. & Gorodnichenko, Y. (2012). Measuring the Output Responses to Fiscal Policy. American Economic Journal: Economic Policy, 4(2), 1-27.

Caggiano, G., Castelnuovo, E. & Pellegrino, G. (2017). Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound. European Economic Review, 100, 257-272.

De Luigi, C. & Huber, F. (2018). Debt Regimes and the Effectiveness of Monetary Policy. Journal of Economic Dynamics and Control, 93, 218-238.

Ramey, V. (2016). Macroeconomic Shocks and Their Propagation, NBER Working Paper 21978.

Ramey, V. & Zubairy, S. (2018). Government Spending Multipliers in Good Times and in Bad: Evidence from US Historical Data. Journal of Political Economy, 126(2), 850-901.

Tenreyro, S. & Thwaites, G. (2016). Pushing on a String: US Monetary Policy Is Less Powerful in Recessions. American Economic Journal: Macroeconomics, 8(4), 43-74.

It is strongly recommended to have followed the course “Macroeconomics III” prior to taking the seminar.

Students will benefit from attending either or both of the following two courses before taking the seminar:
“Advanced Macroeconomics: Business Cycles” or “Advanced Macroeconomics: Structural Vector Autoregressive (VAR) Analysis”

BSc in Economics or similar

Schedule of the seminar fall 2021:

Kick-off meeting:
7 September 2021, 10.15-12.00

Extra meetings / introductory teaching / guidance:
Online tutorials, no in-class meetings

Deadline for submission of commitment paper / project description:
1 October 2021, 10.00

Deadline for uploading a seminar assignment paper in Absalon:
5 November, 12.00

15-16 November, 10.15-16.00

Exam date: 1 December at 10.00 (am)

All information regarding the seminar is communicated through Absalon including venue. So it is very important that you by yourself logon to Absalon and read the information already when you are registered at the seminar.

Continuous feedback during the course of the semester
Feedback by final exam (In addition to the grade)

Resources: A handbook on the most relevant models in Empirical Macroeconomics with time series is provided to seminar participants. Furthermore, students have access to a toolbox of codes and accompanying video tutorials as a basis for their own estimation.

Feedback: Individual feedback is provided in writing after submission of the project description. Once every 3-4 weeks, there is an online meeting for group discussions and collective feedback.

7,5 ECTS
Type of assessment
Written examination
A seminar paper in English that meets the formal requirements for written papers stated in the curriculum of the Master programme and at KUNet for seminars.
All aids allowed

for the seminar paper.

The teacher defines the aids that must be used for the presentations.


Marking scale
7-point grading scale
Censorship form
External censorship
Criteria for exam assessment

Students are assessed on the extent to which they master the learning outcome for the seminar and can make use of the knowledge, skills and competencies listed in the learning outcomes in the Curriculum of the Master programme.


To receive the top grade, the student must with no or only a few minor weaknesses be able to demonstrate an excellent performance displaying a high level of command of all aspects of the relevant material.

  • Category
  • Hours
  • Project work
  • 186
  • Seminar
  • 20
  • English
  • 206


Course number
7,5 ECTS
Programme level
Full Degree Master

1 semester

and venue:
Go to "Remarks".

Exam and re-sits: Go to "Exam".
One class of up to 20 students
Department of Economics, Study Council
Contracting department
  • Department of Economics
Contracting faculty
  • Faculty of Social Sciences
Course Coordinator
  • Gabriel Züllig   (2-76894f74727e7d3d7a843d737a)

Gabriel Züllig

Saved on the 18-11-2021

Are you BA- or KA-student?

Are you bachelor- or kandidat-student, then find the course in the course catalog for students:

Courseinformation of students