Courses 2010
February 8 19 | |
March 1 18 | |
March 22 April 1 | |
April 19 May 7 | |
August 9 20 | |
August 30 September 16 | |
September 27 - October 8 |
ADVANCED TOPICS IN MONETARY ECONOMICS I
February 8 - 19, 2010
This two-week course reviews recent empirical methods and theories in monetary economics.
Professor Juan J. Dolado teaches the first week and introduces newly developed methods in the econometrics of time series. The emphasis is on the interpretation and analysis of non-stationary multivariate, especially vector autoregressive, systems. Topics include Granger-causality, cointegration, error correction models, structural VARs, forecast error variance decompositions,
impulse responses, structural breaks and parameter instability, dynamic general equilibrium models, models with stochastic changes in regime and the relationship between long-memory processes and non-linear models. We illustrate the econometric and economic implications of these concepts
in a variety of applications in the field of macroeconomics and monetary economics. The course is applied, based upon empirical examples, although Professor Dolado provides a few necessary analytical derivations.
Professors Harris Dellas and Giancarlo Corsetti teach in the second week. They cover recent research developments in monetary economics, in particular those pertaining to the conduct and effects of monetary policy. This part of the course is structured around the New Keynesian (NK) model and its Dynamic Stochastic General Equilibrium (DSGE) offspring. It discusses its main features and applications and evaluates its successes and limitations. Particular emphasis will be placed on the discussion of recent modelling suggestions aiming at improving the empirical performance of the NK model and making it a more reliable tool for the analysis of monetary policy. The course will study both large and small open economies within a unified analytical framework. It will stress policy trade-offs specifically raised by the international dimension of the
economy, including the low exchange rate pass-through onto prices, exchange rate volatility, and international spillovers from productivity and fiscal shocks. The approach will emphasize both conceptual and modelling issues.
In general, formal lectures will be given during the morning. The afternoon sessions are used for exercises, group projects and individual reading. Participants will have extensive opportunities to work on concrete problems and data sets using modern statistical software and to discuss their results during the classes. They will be offered the opportunity to familiarize themselves with the way DSGE models are constructed and solved (computed). Participants will also have an opportunity to present their own research work.
The lecturers are Professors Juan J. Dolado, Harris Dellas and Giancarlo Corsetti.
The course is directed to research economists with a Ph.D. degree. Candidates with a master
degree may also be considered if their mathematical and statistical skills are at the Ph.D. level.
MONETARY POLICY, EXCHANGE RATES AND CAPITAL FLOWS
March 1 18, 2010
This three-week course reviews the basics of monetary policy in open economies and examines recent issues related to exchange rates, capital flows, and inflation targeting.
The first part of the course reviews the basics of international monetary economics such as the link between exchange rates and prices, exchange rates and interest rates, exchange rate regimes, and international capital flows. We study the effects of monetary policy in the open economy and analyze the choice of exchange rate regimes. In the second part of the course, we examine in detail some recent topics related to exchange rates and monetary policy. These topics include financial crises, dollarization, global financial imbalances, and the performance of exchange rate regimes. Special emphasis will be given to the strategy of inflation targeting and the issues related to its implementation.
A sizable part of the course is dedicated to the usage of empirical techniques applied to specific issues related to exchange rates and monetary policy. In this perspective, the first week includes a review of statistical concepts and computational techniques, as well as an introduction to the software package Eviews. In addition, participants will be taught basic econometric methods ranging from ordinary least squares to more advanced techniques such as vector autoregression (VAR) analysis.
In addition to the general lectures, experts from the Swiss National Bank explain the conduct of monetary policy in Switzerland. The major topics are: the strategy of monetary policy and its economic effects, the role of the exchange rate for monetary policy, the practical implementation of monetary policy, and the management of foreign exchange reserves.
The lecturers are Professors Philippe Bacchetta, Stefan Gerlach, Philipp Harms and Dirk Niepelt.
The course is designed for staff members in middle management positions of central banks. The ideal age is between 30 and 40 years. Some years of professional experience in the central bank are a precondition for attending the course. Applicants holding a university degree in economics are preferred. We expect participants to be comfortable with elementary mathematics and statistics.
INFLATION FORECASTING AND MONETARY POLICY
March 22 April 1, 2010
This two-week course provides an in-depth analysis of central bank policies aimed at controlling inflation and stabilizing economic fluctuations. We study the basics of monetary policy design using simple models of output, inflation and interest rates. Within this context, we will derive theoretical foundations for inflation targeting and the use of inflation forecasts in policy design and study empirical applications in developed and emerging economies. Issues will include implications of data, parameter and model uncertainty for monetary policy making; the zero bound on nominal interest rates and policy options in a low inflation or deflation environment.
In the first part of the course, which focuses on foundations and extensions of monetary policy in simple models, participants will have the opportunity to review basic analytical methods but also practice the use of a variety of tools for numerical analysis. The second part of this course introduces participants to medium-scale models that are useful for practical policy analysis at central banks. Such models are estimated to fit macroeconomic dynamics. Rather than focusing exclusively on optimal policy design in a single reference model, we pursue a comparative approach to model-based policy analysis making use of a data base of macroeconomic models that includes many models popular in academia and at central banks. Participants will also learn how to use Matlab and Dynare software tools for policy analysis.
Applications will deal with questions regarding the transmission of monetary policy, the degree of output and inflation persistence, the role of the financial sector and financial shocks. Furthermore, differences between large developed economies and small open economies will be studied. Finally, we will discuss strategies for developing robust and effective policies for stabilizing inflation and economic fluctuations with practical applications.
The third part of the course is an applied discussion of inflation forecasting models (time series econometric and DSGE models) and indicators (monetary aggregates, monetary policy stance measures), as well as of the use of their information and forecasts in the monetary policy decision process. Participants will share their experiences in building and using indicators and models for policy analysis and advice.
The lecturers are Professor Volker Wieland and economic advisors of the Swiss National Bank.
The course is designated for heads of research or policy units and research economists with a Ph.D. degree. Candidates with a masters degree may also be considered if their mathematical andstatistical skills are sufficient.
CAPITAL FLOWS AND MONETARY POLICY WITH SPECIAL REFERENCE TO EASTERN EUROPE AND CENTRAL ASIAN ECONOMIES
April 19 May 7, 2010
This three-week course, organized jointly by the Study Center Gerzensee and the Joint Vienna Institute (JVI), examines interrelated issues between monetary policy, capital flows, and financial stability that are of relevance for transition economies, in particular Eastern and Central Asian countries. The first two weeks of the course take place in Gerzensee and the third week in Vienna.
The course will start with a review of the basics of international monetary economics, examining in particular international capital flows and their volatility, but also monetary policy in the open economy, the choice of exchange rate regimes, and the analysis of real exchange rates. This is followed by a discussion of some recent topics related to monetary policy, capital flows and financial stability. These topics include the transmission mechanism of monetary policy, inflationtargeting, financial globalization, theories and the prediction of financial crises. The third week, building on the topics covered previously, will focus on the main monetary policy and financial stability issues being faced by Eastern Europe and the Central Asian region. This section of the course will highlight the role played by capital inflows and their subsequent sudden stop and reversal in the build up to the current financial crisis, and explore monetary and financial policy options to address the current situation and reduce future vulnerabilities.
A part of the course is dedicated to the use of empirical techniques applied to specific issues related to monetary policy, capital flows, and financial stability. In particular, the first week includes a review of econometric techniques, as well as an introduction to the software package Eviews. The course also includes various types of hands-on exercises, a computer game, workshops, and presentations by participants.
The lecturers include Professors Philippe Bacchetta, Filippo Brutti, Philipp Harms and Dirk Niepelt, as well as experts from the International Monetary Fund, the JVI, the Oesterreichische Nationalbank and the Swiss National Bank.
The course is designed mainly for staff members in middle management positions of central banks or finance ministries from Eastern and Central Asian countries. However, it is also open to officials from other transition economies. The ideal age is between 25 and 40 years. Applicants holding a university degree in economics are preferred. We expect participants to be comfortable in the use of elementary mathematics and statistics.
ADVANCED TOPICS IN MONETARY ECONOMICS II
August 9 20, 2010
This two-week course discusses theories and quantitative methods needed to undertake policy analyses with Dynamic Stochastic General Equilibrium (DSGE) models.
The first week is taught by Professor Frank Schorfheide. The course gives an overview of the tools needed to conduct empirical research using vector autoregressions (VARs) and dynamic stochastic general equilibrium (DSGE) models. The course begins with an introduction to Bayesian econometrics and a survey of recent advances in the analysis of structural VARs. It then discusses solution and approximation methods for DSGE models as well as quantitative analysis with calibrated DSGE models. Finally, likelihood-based estimation and evaluation methods for DSGE models are examined. All econometric procedures are illustrated by means of examples and computer exercises. Simple GAUSS and MATLAB programs implementing some of the approaches discussed in class will be distributed during the course. An introduction to DYNARE programming will also be provided. Participants will have the opportunity to apply the methods to specific problems, such as the estimation of the effects of unanticipated changes in monetary policy as well as the estimation of simple stochastic growth and New Keynesian DSGE models.
The second week of the course, taught by Professor Carl E. Walsh, will focus on recent research in monetary economics with lessons that are directly relevant for central banks. The lectures will emphasize theoretical frameworks and their policy implications, with particular attention paid to the empirical foundations of these models. The goal is to investigate what new insights recent theoretical research has provided on the monetary transmission mechanism in closed and open economies, the impacts of monetary policy, the appropriate objectives of policy, the interactions between monetary and fiscal policy, the role of operating procedures, the impact of the zero lower bound, the use of DSGE models, and the implications of financial frictions and uncertainty for policy design. Participants will have the opportunity to engage in discussions on topics of current policy interest, conduct simulation exercises using MATLAB to evaluate macro outcomes in simple models, and discuss ongoing research at major central banks.
The lecturers are Professors Frank Schorfheide and Carl Walsh.
The course is directed to research economists with a Ph.D. degree. Candidates with a masters degree may also be considered if their mathematical and statistical skills are at the Ph.D. level.
INSTRUMENTS OF FINANCIAL MARKETS
August 30 September 16, 2010
This course, organized jointly with the Swiss Finance Institute, provides an introduction to financial instruments and the analysis of capital markets. We take the view of a central banker who needs to understand financial instruments both in terms of their economic role and their actual use. Particular emphasis will be given to how banks and financial institutions should use these instruments to protect themselves against risks.
During the first week of the course, we review fundamental aspects of finance, including concepts such as asset returns, market efficiency, portfolio theory and CAPM. We then take a macroeconomic perspective and analyze the interaction between monetary policy and financial markets. We also examine the foreign exchange market as well as issues related to financial crises.
During the second week, we start with a discussion of futures contracts in general. During this discussion, we will discover the arbitrage principle, a most important concept for risk management and the pricing of financial assets. We move on with a survey of fixed income assets and review important basic concepts, such as how to interpret the information contained in term structures of interest rates and how to extract default probabilities from the term structure of risky bonds. During this review, the participant will also learn the concept of duration and how it can be used to immunize future cash flows. The process of securitisation will be discussed as will the concept of the bad bank, the latter through a case study of the Mellon Bank.
The preceding survey provides the background for an in-depth analysis of advanced financial instruments in the third week of the course as well as an understanding of when and how these instruments should be used for risk management. We review and discuss the characteristics of derivative assets such as options. Several practical exercises, based on actual data, allow participants to become more familiar with these instruments. In the section on risk-management we will discuss concepts such as value at risk as well as expected shortfall.
The lecturers are Professors Philippe Bacchetta, Amit Goyal, Michel A. Habib, Erwan Morellec, Dirk Niepelt and Michael Rockinger.
Experts from Swiss banks and the Swiss National Bank also contribute to the program, emphasizing practical aspects in their presentations.
The course is designed for staff members in middle management positions of central banks. The ideal age is between 30 and 40 years. Several years of professional experience in the central bank are a precondition for attending the course. Applicants holding a university degree in economics or business are preferred. We expect the participants to be comfortable in using mathematics and statistics.
REGULATORY RESPONSES TO THE FINANCIAL CRISIS
September 27 - October 8, 2010
This two-week course is organized in collaboration with Swiss National Bank, Financial Stability and Oversight. The objective of the course is to analyze the regulatory response to the financial crisis and review important aspects of financial stability. We focus on the structures and mechanisms that cause or propagate financial disturbances and on the policy instruments for preventing or fighting crises. Besides the policy discussion, the course combines micro- and macroeconomic concepts with the practical application of statistical and empirical tools. The perspective is of a central banker who is interested in the stability of the financial system as a whole, rather than in the solvency of an individual financial institution.
During the first week we will introduce the theory and empirics of financial instability. We will review (i) fundamental microeconomic issues such as banking system vulnerability, contagion and systemic risk, (ii) the macroeconomic perspective of financial instability and (iii) statistical and empirical techniques of systemic risk assessment. The second week is devoted to the practical application of the basic concepts and to policy issues. Speakers from different institutions will discuss approaches to manage and resolve an ongoing crisis with due attention to institutional and legal and practical aspects. The focus will be on the ongoing crisis, with an evaluation of the implemented measures and of the perspectives for regulatory changes. During the whole course, participants will deepen their understanding in daily exercise sessions. Participant groups will also work on a key topic and will present their results at the end of the course.
The lecturers are Professors Philippe Bacchetta, Urs Birchler, Randall Kroszner, Michael Rockinger and Ernst-Ludwig von Thadden.
Experts from the Swiss National Bank, the Swiss Financial Market Supervisory Authority (FINMA), and the BIS Financial Stability Institute will discuss current financial stability issues.
The course is designed for economists in either research functions or middle management positions, preferably with a few years professional experience. A Master degree is required. The ideal age is between 30 and 40 years.