Quant Macro Finance

Quant Macro Finance (QuantMFR) is an online research resource repository. The website includes both written pedagogical discussions and software support for relevant computations. It currently features several chapters of the book entitled, “Risk, Uncertainty and Value” by Lars Peter Hansen, Thomas J. Sargent and Jaroslav Borovička, along with associated notebooks that provide access to computational support. This book develops concepts and tools to support uncertainty characterizations and quantifications as they apply to potentially nonlinear stochastic equilibrium models. The QuantMFR website also includes complementary materials on model comparisons for classes on macro-finance models along with other published pedagogical discussions of tools and methods of analysis for stochastic equilibrium models. In addition, the QuantMFR website offers a variety of user-friendly code for interested scholars who wish to apply the methods.

Education is the path from cocky ignorance to miserable uncertainty. –Mark Twain

If you wish to print out any of the pages, we recommend using an A3 setting to preserve the layout.

Currently, a preliminary HTML version of our first 12 chapters are available:

1. Stochastic Processes and Law of Large Numbers

2. Markov Processes

3. Stationary Increments

4. Processes with Markovian Increments

5. Hidden Markov Models

6. Stochastic Responses

7. Multiplicative Functionals

8. Perturbing Multiplicative Functionals

9. Risk, Ambiguity, and Misspecification

10. Exploring Recursive Utility

11. Marginal Valuation

12. GMM Estimation

Other notes and material that may eventually be incorporated into chapters are also available below:

1. Uncertainty Expansion

2. Shock Elasticities

3. Comparative Valuation Dynamics in Production Economies

4. Uncertainty Spillovers for Markets and Policy

Please let us know if you have any feedback regarding the QuantMFR website below: