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