06.02.-17.02.2012	Advanced Topics in Macroeconometrics
05.03.-22.03.2012	Monetary Policy, Exchange Rates and Capital Flows
26.03-05.04.2012	Inflation Forecasting and Monetary Policy
30.04-11.05.2012	Financial Stability
30.07.-16.08.2012	Monetary Policy in Developing Countries
27.08.-07.09.2012	Advanced Topics in Monetary Economics
17.09.-04.10.2012	Instruments of Financial Markets

 

 

 

This two-week course reviews recent empirical methods in monetary economics.

The first two days are taught by Professor Philippe Bacchetta and will be devoted to reviewing the New Keynesian (NK) model and its Dynamic Stochastic General Equilibrium (DSGE) offspring. Based on this, Professor Juan J. Dolado teaches the remaining days of 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 those concepts in a variety of applications in the field of macroeconomics and monetary economics. The course is applied, based on empirical examples, although Professor Dolado provides a few necessary analytical derivations.

Professor David DeJong teaches the second week, and will focus on the empirical implementation of DSGE models. His lectures will be organized around the following empirical exercise. Beginning with a model environment, a non-linear expectational system of difference equations is derived using Bellman’s Principle of Optimality. The system is then approximated (using linear and non-linear representations), taking the form of a state-space representation. Appropriate data are then identified and aligned with their theoretical counterparts (often by removing trends and isolating cycles). Finally, the likelihood function associated with the state-space representation is evaluated using a filtering procedure.

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 opportunity to work on concrete problems and data sets using 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.

The lecturers are Professors Philippe Bacchetta, Juan J. Dolado, and David DeJong.

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.

 

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 particular, 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 Nils Herger.

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 familiar with elementary mathematics and statistics.

 

This two-week course provides an in-depth analysis of central bank policies aimed at controlling inflation and stabilizing economic fluctuations.

The course starts with a review of the basics of monetary policy design and evaluation in macroeconomic models. First, we study simple policy rules for inflation targeting that may be based on recent outcomes or forecasts of target variables. We will learn how to use macroeconomic model to optimize such rules and investigate how robust they are under model uncertainty.  Then, we will turn to optimal control policies and derive examples in simple New-Keynesian-style models. In doing so, we will review methodogical issues such as the use of dynamic programming, the cases of discretion versus policy commitment, and microeconomic foundations of New-Keynesian models. We will then proceed to practical extensions and empirical applications for developed and emerging economies. Issues to be discussed include the following:

(i)       the zero-lower-bound on nominal interest rates and policy options in a low inflation or   deflation environment;

(ii)     monetary policy in small, open economies and exchange rates;

(iii)    the role of money in monetary policy design;

(iv)   the interaction of monetary and fiscal policies;

(v)     monetary policy transmission and the financial sector;

(vi)   central bank learning under data and parameter uncertainty.

Participants will have the opportunity to review basic analytical methods but also practice the use of tools for numerical analysis. We will 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 learn how to use Matlab and Dynare software tools for policy and forecasting evaluations.

The second part of the course provides a thorough applied review 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 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 and statistical skills are sufficient.

 

This two-week course is organized in collaboration with the Swiss National Bank, Financial Stability and Oversight. It provides an introduction to financial stability, crisis prediction, prevention and management. 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. We will focus on the structures and mechanisms that cause or propagate financial disturbances and on the policy instruments for preventing or fighting crises. The course combines micro- and macro-economic concepts with the practical application of statistical and empirical tools.

During the first week we will introduce the theory and empirics of financial instability. We will review (i) fundamental micro-economic issues such as banking system vulnerability, contagion and systemic risk, (ii) recent research on macro-economic aspects 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. Speakers from different institutions will discuss (i) methods of forecasting and preventing instability and (ii) approaches to manage and resolve an ongoing crisis (with due attention to institutional and legal and practical aspects). 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, Michael Rockinger, Ernst-Ludwig von Thadden, and economic advisors of the Swiss National Bank.

Experts from the Swiss National Bank, the Swiss Federal Banking Commission 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 Ph.D. degree is desirable; participants with a Master degree may be accepted. The ideal age is between 30 and 40 years.

 

The purpose of this three-week course is to provide the analytical and empirical foundations for understanding the role of monetary policy in emerging and transition countries. The following issues, among others, will be addressed: the effectiveness of monetary policy under different degrees of capital mobility; alternative nominal exchange rate regimes; inflation and stabilization; inflation targeting; the Taylor Rule; nominal interest rate determination; the interaction between monetary and fiscal policy; the relationship between monetary policy and the external accounts; global imbalances; monetary policy and international competitiveness; the transmission of interest rate shocks across countries; and monetary policy, macroeconomic stability and growth.

The discussion recognizes that the study of monetary policy cannot be undertaken in isolation, and that issues related to the world economy have to be addressed carefully. Special emphasis will be given to the role of capital flows and international trade.

The first part of the course will review the basic principles underlying the national accounts and the balance of payments. It will analyze the determinants of long-run economic growth and explore the fundamental forces driving current accounts, exchange rates, interest rates and inflation. The second part deals with more advanced topics and will cover the controversies on nominal anchors and credibility, real exchange rates and competitiveness, inflation targeting, external sustainability, globalization and macroeconomic policy, and the determinants of growth. Participants will attend lectures, read assigned articles and will become proficient in the use of state of the art econometric packages (Eviews). Participants will also use specially prepared data sets to analyze the empirical characteristics of some of the models discussed in class. The empirical exercises will draw from real life experiences in Eastern and Central Europe, Latin America, Asia and Africa.

The main lecturer is Professor Sebastian Edwards. Other lecturers are Filippo Brutti, Philipp Harms, and Nils Herger.

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 participants to be familiar with elementary mathematics and statistics.

 

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 Lawrence Christiano. 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. We will consider extensions of the standard New Keynesian DSGE model to include financial frictions. The most prominent approach is based on the costly state verification idea of Townsend and introduced to DSGE models by Bernanke, Gertler and Gilchrist. We will review the micro-foundations of this approach, as well as the impact on estimation and inference of a New Keynesian model. Other approaches to financial frictions may also be considered, such as the recent analysis in Gertler and Kiyotaki. Time permitting, we could consider other topics, such as the interaction of monetary policy and boom-bust cycles and the introduction of unemployment into DSGE models. The course will primarily follow a lecture format, but there will also be computer sessions that will feature the use of Dynare to estimate DSGE models and study monetary policy questions.

The second week of the course, taught by Professor Carl E. Walsh, will focus on recent research in monetary economics with lessons directly relevant for monetary policy. The emphasis will be on theoretical models, with some discussion of their empirical implications. Building on the topics covered during the first week, we will discuss the design of optimal monetary policies, the implications of micro facts on price adjustment for aggregate models of inflation, the consequences of the zero lower bound for monetary policy, policy issues arising in open economies, the integration of modern theories of unemployment into the new Keynesian framework, and fiscal and monetary policy interactions. Morning sessions will be in a lecture format, while afternoon sessions will involve computer exercises, opportunities for participants to discuss their own work, and discussions of current issues facing monetary policy makers.  

The lecturers are Professors Lawrence Christiano and Carl Walsh. 

The course is directed to research economists with a Ph.D. degree. Candidates with a master’s degree may also be considered if their mathematical and statistical skills are at the Ph.D. level.

 

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, Filippo Brutti, Amit Goyal, Michel A. Habib, Nils Herger, 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.

 

Studienzentrum Gerzensee, Dorfstr. 2, CH-3115 Gerzensee, Switzerland