3rd PIER Workshop on Quantitative Tools for Macroeconomic Policy Analysis

ARCH building photo

May 1-5, 2017

ARCH Building

3601 Locust Walk

University of Pennsylvania

Philadelphia, PA 19104

Poster (click to access)

Highlights from the 2017 Workshop


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 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 

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