Courses

SUMMER COURSES 

WEEK 1
July 14-17, 2020
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 2
July 20-24, 2020
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 3
August 3-7, 2020
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.

FALL COURSES 

WEEK 4
September 28 – October 2, 2020
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 5 
October 5-9, 2020
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.

Application deadline: June 29 for the Summer courses, September 14 for the Fall courses.