July 14-17, 2020
Gianni De Nicolo (Johns Hopkins Carey Business School and CESifo)
- 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
July 20-24, 2020
Digital currencies on the rise
Harald Uhlig (University of Chicago)
- 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.
August 3-7, 2020
New Techniques in Macroeconometrics with Applications to Policy and Forecasting
Marco del Negro (Federal Reserve Bank of New York)
- 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.
September 28 – October 2, 2020
From RANK to HANK: Monetary Business Cycle Models with Heterogeneous Agents
Christian Bayer (Bonn University)
- 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.
October 5-9, 2020
Measuring output gaps and star variables
Fabio Canova (Norwegian Business School)
- 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.