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


Highlights from the 2018 Workshop

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