1st PIER Workshop on Quantitative Tools for Macroeconomic Policy Analysis

ARCH Building


May 12-15, 2015
ARCH Building
3601 Locust Walk
University of Pennsylvania
Philadelphia, PA 19104





Gallery of lectures and events
Professor Guillermo Calvo, the distinguished lecturer's lecture on Macroeconomics in a Time of Crisis
Professor Frank Schorfheide's lecture on Recent Advances in the Econometric Analysis of Dynamic Stochastic General Equilibrium Models
Professor Enrique Mendoza's lecture on Nonlinear Models of Financial Crises and Macroprudential Regulation
Teaching Assistant Juan Hernandez teaching a lab for one of Professor Mendoza's lectures.
Casual time at the workshop


Course Units

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


1) Empirical Methods for Financial and Macroeconomic Monitoring, Modeling and Forecasting 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. Estimation of linear and nonlinear DSGE models

c. Using DSGE models to quantify sources of business cycles, relative importance of endogenous propagation mechanisms, effects of monetary and fiscal policy.

d. Tools to evaluate the fit of DSGE models and review forecasting performance

3) Nonlinear Models of Financial Crises and Macroprudential Regulation taught by Enrique 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 


Distinguished Guest Speakers


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

Dinner Keynote Speaker: Gary B. Gorton

Frederick Frank Class of 1954 Professor of Finance and Management, Yale School of Management

Essential Information


Dates: May 12-15, 2015 (expected arrival May 11, departure May 16)

Final Program Schedule

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

Accommodations: Sheraton Philadelphia University City (in May 11, out May 16)

Fee: $5,500 including tuition, 5 nights hotel accommodation, breakfast, lunch, and social events (all other costs related to travel, including transportation, medical insurance, visas, additional meals, etc., are not included in the fee). 

Registration Form