Empirical Methods in Monetary Economics 

Bertinoro, 20 - 25 July 2020

 

Coordinator:

Juri Marcucci
Bank of Italy
Via Nazionale 91, 00184 Rome, Italy
Email: juri.marcucci@bancaditalia.itjuri.marcucci@gmail.com

 

Lecturers

  • James Cloyne (University of California, Davis, USA)
  • Oscar Jordà (University of California, Davis and Federal Reserve Bank of San Francisco, USA) 

 

Basic Requirements

Intermediate knowledge of econometrics

Course outline

This course will cover the modern tools used to study to macroeconomic policy in monetary economics. The course will cover a range of time-series methods, seminal and research papers in the monetary economic literature and some hands-on practical examples. Broadly we plan to cover the following topics, time permitting.

Topics covered

  1. Estimating the empirical effects of monetary policy: an introduction to Vector Autoregression techniques, including both theory and applications of VAR methods in monetary economics. We will also cover the local projections technique that is now widely used in this field.
  2. More recent techniques to estimating the effects of monetary policy, including using historical “narrative” based methods and approaches using high frequency information from financial markets.
  3. The monetary transmission mechanism in theory and in practice. We will cover how to set-up and estimate Dynamic Stochastic General Equilibrium models for policy analysis. This will include minimum distance estimation of DSGE models using impulse response matching, an introduction to state-space models and the Kalman filter, maximum likelihood estimation of DSGE models, an introduction to Bayesian econometrics and Bayesian estimation of DSGE models.
  4. Bayesian VARs: theory and applications.

What can we learn about how policy works from micro data and micro-econometric methods? We will discuss how recent research has started to make use of micro-econometric methods in monetary economics and study some recent examples

 

Venue and timetables

The Module will last one week and will be held in the University Residential Centre, Via Frangipane 6, 47032 Bertinoro (FC). Participants will be hosted in the Centre guest quarters, (as an exception, in case of reduced availability of rooms in the Centre, they will be accommodated in local hotels).

Lectures and tutorials will be in English, with the following schedule:  
Monday to Friday: lectures 9:00-13:00, 15:00-17:00; tutorials: 17:00-19:00.
Saturday: lectures 9:00-13:00

 

Fees and Enrollment

  •  Students, PhD students and temporary university staff: 850€
  •  University staff: 1000€ 
  •  Others: 2500€

Fee includes: accommodation (usually in doube room with breakfast and lunch starting from Sunday evening).

Application deadline   MAY 30th 2020
Fees Payment deadline   June 20th 2020

Programs are conditional to the recruitment of a minimum of 15 participants

Contacts