4th PIER Workshop on Quantitative Tools for Macroeconomic Policy Analysis

April 30-May 4, 2018
ARCH Building
3601 Locust Walk
University of Pennsylvania
Philadelphia, PA 19104

Poster (click to access)

 


The Workshop on Quantitative Tools for Macroeconomic Policy Analysis of the Penn Institute for Economic Research is a unique, week-long program that provides essential training on state-of-the-art quantitative tools for analyzing macroeconomic policy from the world’s leading experts at the University of Pennsylvania. The workshop consists of three-course units, two distinguished guest lectures, the Penn Faculty Lecture, and a half-day workshop on public debt sustainability. Each course unit includes 6 hours of lectures plus 3 hours of applied lab work (including training in the use of computer algorithms). The courses cover nonlinear models of credit booms, financial crises and macroprudential policy (taught by Prof. Enrique Mendoza), financial interconnectedness and macro monitoring and forecasting (taught by Prof. Frank Diebold), and recent advances in DSGE model estimation and analysis of volatility shocks (taught by Prof. Jesús Fernandez-Villaverde). The half-day workshop on public debt sustainability, also taught by Prof. Mendoza, provides training on classic and frontier methods for quantifying sustainable public debt ratios, with applications to advanced and emerging economies. Prof. Alan Blinder and Prof. Guillermo Calvo will give distinguished guest lectures, and Prof. José Víctor Ríos-Rull will give the Penn Faculty Distinguished Lecture.  

To register, please complete and submit the registration form

 

Highlights from Previous Workshops

The previous three Workshops included a combined total of 95 participants from around the globe, including economists from many central banks and government agencies (Argentina, Canada, Chile, Colombia, Costa Rica, England, Finland, Italy, Japan, Korea, Mexico, New Zealand, Panama, Philippines, Spain, Sweden, the Board of Governors of the Federal Reserve and the Federal Reserve Banks of Atlanta, Cleveland, Dallas, San Francisco, and St. Louis), international organizations (BIS, CMCA, ECB, ESM, IDB, IMF, UN), and the financial and corporate sectors (Moody’s, SAP, Pondera Lab), as well as faculty and graduate students from various institutions (Berea College, Drexel, UNC Chapel Hill, Haifa, Indiana, ITAM, Leuven, Minnesota, Rutgers, UC Santa Cruz, Villanova, Virginia, CIDE-Mexico, Nazarbayev University). Click here for more details and a picture gallery of the lectures and events.

 

Course Units

(each unit with six hours of lectures plus three hours of lab sessions and materials)

1) Nonlinear Models of Financial Crises and Macroprudential Policy taught by Enrique G. Mendoza, Presidential Professor of Economics

a. Foundations of quantitative open-economy models with incomplete financial markets

b. Empirical analysis of credit booms

c. Nonlinear open-economy models of financial booms and crises with credit constraints

d. Evaluation and design of macroprudential policy

2) Empirical Methods for Financial and Macroeconomic Monitoring, Modeling, Forecasting and Interconnectedness taught by Francis X. Diebold, Paul F. and Warren S. Miller Professor of Economics

a. Financial Volatility, Macroeconomic Volatility, and Their Interaction

b. Real-Time Macroeconomic Monitoring

c. Modeling and Forecasting the Yield Curve

d. Connectedness in Financial and Macroeconomic Networks

3) Recent Advances in the Econometric Analysis of Dynamic Stochastic General Equilibrium Models taught by Jesús Fernández-Villaverde, Professor of Economics

a. Introduction to Bayesian inference

b. The Metropolis-Hastings algorithm with application to DSGE model estimation

c.  Sequential Monte Carlo methods to estimate DSGE models

d. Using DSGE models to quantify sources of business cycles and effects of monetary and fiscal policy

e. Recent advances in DSGE models: volatility shocks, heterogeneity and massive parallel computation

 

Half-day Workshop on Public Debt Sustainability

 

Tools for evaluating the sustainability of government debt using fiscal reaction functions, simulations of a two-country dynamic general equilibrium model with distortionary taxes and a model of default on domestic public debt, taught by Enrique G. Mendoza, Presidential Professor of Economics

 

Guest Lectures

 

Distinguished Guest Speaker: Alan Blinder 

Gordon S. Rentschier Memorial Professor of Economics, Princeton University 

Distinguished Guest Speaker: Guillermo A. Calvo 

Professor of Economics, International and Public Affairs, Columbia University

Penn Faculty Distinguished Lecture: José Víctor Ríos-Rull 

Lawrence R. Klein Professor of Economics, University of Pennsylvania

 

Essential Information

 

Early registration fee: $5,900 (if paid by January 5, 2018)

Regular fee: $6,250 (after January 5, 2018)

Registration deadline: March 9, 2018

The registration fee includes tuition, 6 nights hotel accommodation at The Warwick Rittenhouse Hotel, breakfast, lunch, and social events (all other costs related to travel, including airport/train station transportation, medical insurance, visas, additional meals, etc., are excluded). 

Registration Form (download PDF form)

Workshop Dates: April 30-May 4, 2018 (expected arrival April 29th, departure May 5th)

Preliminary Schedule (click to access)

Venue: ARCH 108 & 109, 3601 Locust Walk, University of Pennsylvania

Accommodations: The Warwick Hotel (Arrival on April 29th, Departure on May 5th)