Important information: the 2021 courses will be held online, for a reduced registration fee of 1,200 EUR per course. The courses will be held in a Cisco/Webex platform.

2021 SPRING COURSES

WEEK 1
April 12-16, 2021 (Online)
From RANK to HANK: Monetary Business Cycle Models with Heterogeneous Agents
Christian Bayer (Bonn University)

Topics covered

  • Borrowing constraints and monetary policy transmission in  RANK, TANK and HANK.
  • Idiosyncratic income risk and wealth distributions in aggregate models.
  • Solving heterogeneous agent models by perturbation methods.
  • Portfolio re-balancing and fiscal-monetary interactions
  • Tools for  the  analysis  of nonlinear  models.

 

WEEK 2
April 19-23, 2021 (Online)
Measuring output gaps and star variables

Fabio Canova (Norwegian Business School)

Topics covered

  • Methods  to  extract  trends  and  cycles
  • Permanent  and  transitory  decompositions.
  • Dating  turning  points
  • Cyclical vs  structural  changes
  • Financial and  real  cycles.

 

2021 SUMMER COURSES 

WEEK 3
July 19-23, 2021 (Online)
Stress Testing
Gianni De Nicolo (Johns Hopkins Carey Business School and CESifo)

Topics covered

  • Stress testing for  banks  and  firms.
  • The  architecture  of stress  testing  at  the  FED and  the  ECB.
  • Fundamentals of  financial  risk  management
  • Forecasting  VaR and  ES
  • Stress testing measures of systemic real and financial risk

 

WEEK 4
July 26-30, 2021 (Online)
Digital currencies on the rise
Harald Uhlig (University of Chicago)

Topics covered

  • Private  (cryptocurrencies)  and  public  moneys.
  • Monetary  policy  with  cryptocurrencies
  • Would  the  Libra destabilize  the  world  economy?
  • Banking stability and  cryptocurrencies
  • International  aspects  of digital  currencies.

 

WEEK 5
Postponed to a later date (TBA)
New Techniques in Macroeconometrics with Applications to Policy and Forecasting
Marco del  Negro (Federal Reserve Bank of New York)

Topics covered

  • Bayesian Econometrics: model  selection,  BVARs,DSGE_BVARs, Large  Bvars.
  • Simulation  methods: Metropolis-Hastings, Gibbs, Sequential Monte Carlo. Application to  online  estimation of  DSGEs
  • Linear and  nonlinear  state  space  models: estimation and simulation smoothers. Applications to Global trends in  interest  rates, Hanks  models, forecasting and  historical decomposition  in  DSGE  models.
  • Combining  models  for  forecasting  and  policy  analysis: optimal  pools  and  dynamics  pools.

Application deadline: July 15, 2021 for the 2021 July courses