3rd PIER Workshop on Quantitative Tools for Macroeconomic Policy Analysis









There is a waiting list which remains active until April 1, 2017 in the event a spot becomes available. For more information, please contact Andréa Giardinelli via email at giara@sas.upenn.edu or via telephone at +1 215-898-9992.

May 1-5, 2017
ARCH Building
3601 Locust Walk
University of Pennsylvania
Philadelphia, PA 19104

Poster (click to access)

The Penn Institute for Economic Research introduced in 2015 the PIER Workshop on Quantitative Tools for Macroeconomic Policy Analysis. This unique week-long program 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 a current topic. Each course unit includes 6 hours of lectures plus 3 hours of lab work, covering financial and macro monitoring and forecasting, recent advances in DSGE model estimation, and nonlinear models of credit booms, financial crises, and macroprudential policy. The half-day workshop for this year focuses on public debt sustainability. Please complete and submit the registration form.


Highlights from Previous Workshops

Over 60 participants from around the globe attended the first two installments of the Workshop. Participants included economists of central banks and government agencies from Canada, Chile, Colombia, England, Finland, Japan, Korea, Mexico, New Zealand, Spain, Sweden, the Board of Governors of the Federal Reserve and the Federal Reserve Banks of Atlanta, Cleveland, Dallas and St. Louis, and from international organizations (BIS, ECB, IDB, IMF, UN). There were also participants from the financial and corporate sectors (Moody’sSAPPondera Lab) and faculty and graduate students from various U.S. and foreign institutions (Berea College, Drexel, Haifa-Israel, Indiana, Leuven-Belgium, Minnesota, Rutgers, UC Santa Cruz, Virginia, CIDE-Mexico, Nazarbayev University-Kazakhstan). 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) 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


2) Recent Advances in the Econometric Analysis of Dynamic Stochastic General Equilibrium Models taught by Frank Schorfheide, 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. Particle filters for nonlinear DSGE models

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


3) Nonlinear Models of Financial Crises and Macroprudential Regulation taught byEnrique G. Mendoza, Presidential Professor of Economics

a. Foundations of open-economy DSGE 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 


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, and a model of default on domestic public debt, taught by Enrique G. Mendoza, Presidential Professor of Economics.


Plenary Lectures


Distinguished Guest Speaker:  Christopher A. Sims 
John J. F. Sherrerd ‘52 University Professor of Economics,Princeton University

Distinguished Guest Speaker: Guillermo A. Calvo
Professor of Economics, International and Public Affairs, Columbia University

Penn Faculty Lecture: Jesús Fernández-Villaverde
Professor of Economics, University of Pennsylvania

Essential Information


Early registration fee$5,900 (if paid by January 6, 2017)

Regular fee$6,250 (after January 6, 2017)

Registration deadlineMarch 10, 2017

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

Registration form

Workshop Dates: May 1-5, 2017 (expected arrival April 30th, departure May 6th)

Preliminary Schedule (click to access)

VenueARCH 108 & 109,  3601 Locust Walk, University of Pennsylvania

Accommodations: Sheraton Philadelphia University City (Arrival on April 30th, Departure on May 6th)