Workshop Dates: May 1-5, 2023
Schedule (click to access)
Venue: Auditorium, Perelman Center for Political Science & Economics, University of Pennsylvania, 133 S. 36th Street, Philadelphia, PA
The Workshop on Quantitative Tools for Macroeconomic Policy Analysis covers 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 Schorfheide). Carolyn Wilkins and Prof. Gianluca Violante gave the distinguished guest lectures; Prof. Iourii Manovksii gave the Penn Faculty Distinguished Lecture and Prof. Anyl Kashyap presented a mini workshp on macroprudential policy.
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 Prof Anil Kashyap. This practice-oriented mini-workshop will provide training on the implementation of macroprudential policy bringing to bear Professor Kashyap’s experience as member of the Financial Policy Committee of the Bank of England.
- Prof. Manovskii 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.
Course Units
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 Measurement, Modeling, and Forecasting in Macroeconomics and Finance taught by Francis X. Diebold, Paul F. and Warren S. Miller Professor of Economics
a. Real-Time Macroeconomic Monitoring
b. Aggregation of Probability Assessments, with Applications to Inflation and Interest Rates
c. Measuring Dynamic Network Connectedness
d. Robust Estimation in Dynamic Macroeconomic Environments
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 Prof. Anyl Kashyap, Stevens Distinguished Service Professor of Economics and Finance University of Chicago and former member of the Bank of England Financial Stability Committee. This session explored how the FPC has approached real life financial stability risks. Topics included 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.
Guest Lectures
Distinguished Guest Speaker: Carolyn Wilins
Senior Research Scholar, Princeton University, and External Member of Bank of England’s Financial Policy Committee
Distinguished Guest Speaker: Guillermo A. Calvo
Professor of Economics, International and Public Affairs, Columbia University
Penn Faculty Distinguished Lecture: Iourii Manovskii
Professor of Economics, University of Pennsylvania