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 cutting edge quantitative tools for analyzing macroeconomic policy from the world’s leading experts at the University of Pennsylvania. The PIER Tools Workshop consists of three six-hour mini-courses, nine hours of practical training sessions (labs), two distinguished guest lectures, the Penn Faculty Lecture, and a half-day, practice-oriented mini-workshop. 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 (taught by Prof. Frank Shorfheide). Prof. Narayana Kocherlakota and Prof. Guillermo Calvo will give the distinguished guest lectures, and Prof. Iurii Manovksii will give the Penn Faculty Distinguished Lecture
The PIER Tools Workshop will feature significant innovations for this 5th edition:
- Extended lab sessions for the courses taught by Professors Mendoza and Schorfheide, consisting of four-and-half hours of training (per course) on the use of computer algorithms distributed prior to the Workshop through a secured website.
- A brand-new half-day mini-workshop on the practice of macroprudential policy entitled Macropru in action: the Financial Policy Committee at the Bank of England taught by Dr. Donald Kohn. This practice-oriented mini-workshop will provide training on the implementation of macroprudential policy bringing to bear Dr. Kohn’s experience as member of the Financial Policy Committee of the Bank of England and Vice Chairman of the Board of Governors of the Federal Reserve.
- Prof. Manovskii’s will present a brand-new Penn Faculty Lecture on heterogeneous-agents New Keynesian models.
- The venue will be the state-of-the-art auditorium of the new home of the Penn Institute for Economic Research in the Perelman Center for Political Science & Economics of the University of Pennsylvania.
Highlights from Previous PIER Tools Workshops
A total of 118 participants from around the globe have attended the PIER Tools Workshop to date, including economists from many central banks and government agencies (Argentina, Brazil, Canada, Chile, Colombia, Costa Rica, England, Finland, Italy, Japan, Korea, Mexico, New Zealand, Panama, Peru, 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, Haifa, HKUST, Indiana, ITAM, LBS, Leuven, Minnesota, Rutgers, UC Davis, UC Santa Cruz, UNC Chapel Hill, Villanova, Virginia, CIDE-Mexico, Nazarbayev University).
Click below for more details and a picture gallery of the past workshops.
1) Recent Advances in the Econometric Analysis of Dynamic Stochastic General Equilibrium Models taught by Frank Schorfheide, Professor of Economics
a. Introduction to Bayesian Inference and DSGE Modeling
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
2) 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. Global v. local methods for solving incomplete markets models
c. Empirical analysis of credit booms and Sudden Stops
d. Nonlinear open-economy models of financial booms and crises with Fisherian credit constraints
e. Quantitative evaluation and design of macroprudential policy in Fisherian models
f. Macroprudential policy hurdles and tradeoffs: Optimal policies v. simple rules (countercyclical capital buffer), credibility, interactions with monetary policy, informational frictions
3) Empirical Methods for Financial and Macroeconomic Measurement, Monitoring, Modeling, and Forecasting taught by Francis X. Diebold, Paul F. and Warren S. Miller Professor of Economics
a. Measuring fundamentals
b. Real-Time macro monitoring ("nowcasting")
c. Yield Curve modeling and forecasting
d. Tracking network connectedness
Half-day Workshop on the Practice of Macroprudential Policy:
Macropru in action: the Financial Policy Committee at the Bank of England
Design and implementation of macroprudential policies, taught by Dr. Donald Kohn, Robert V. Roosa Chair in International Economics at the Brookings Institution, member of the Bank of England Financial Policy Committee (FPC) and former Vice Chairman of the Board of Governors of the Federal Reserve System. This session will explore how the FPC has approached real life financial stability risks. Topics include stress tests for banking systems, decisions to raise and lower the counter cyclical capital buffer and the steps the FPC has taken to deal with financial stability risks associated with important macroeconomic events such as Brexit.
Distinguished Guest Speaker: Narayana Kocherlakota
Lionel W. McKenzie Professor of Economics, University of Rochester
Distinguished Guest Speaker: Guillermo A. Calvo
Professor of Economics, International and Public Affairs, Columbia University
Penn Faculty Distinguished Lecture: Iurii Manovskii
Professor of Economics, University of Pennsylvania
Early registration fee: $5,600 (if paid by January 5, 2020)
Regular fee: $6,200 (after January 5, 2020)
Registration deadline: February 6, 2020
The registration fee includes tuition, course materials (including computer codes & handouts), 6 nights hotel accommodations, breakfast, lunch, coffee breaks and social events. All other costs related to travel, including airport/train station transportation, medical insurance, visas, additional meals, etc. are excluded. Full payment required for confirmation of enrollment.
Cancellations made before February 6 are subject to a 25% fee.
Cancellations made after February 6 are subject to the total fee.
Registration Form 2020 (download PDF form)
Workshop Dates: May 4-8, 2020 (expected arrival May 3rd, departure May 9th)
Preliminary Schedule (click to access)
Venue: Auditorium, Perelman Center for Political Science & Economics, University of Pennsylvania, 133 S. 36th Street, Philadelphia, PA.
Accommodations: Sheraton University City Hotel (Arrival on May 3rd, Departure on May 9th)