Budapest School for Central Bank Studies Courses 2017
Concept of training for central bankers The Budapest School for Central Bank Studies, established by the Magyar Nemzeti Bank (the central bank of Hungary) in 2008, offers intensive weekly courses for central bank and government economists in macroeconomics, monetary economics, international economics, banking and financial economics and quantitative and econometric methods specifically tailored to the needs of public policy institutions. Interested academic participants are also welcome to attend. All courses are in English. The programme director is Professor Fabio Canova (BI Norwegian Business School), a world leading expert in the field of macroeconomics and quantitative methods, who has taught numerous courses in central banks and international institutions for almost two decades. The two weeks in the Spring 2017 term (April 3-7 and April 10-13) are devoted to intermediate level courses. These intermediate courses cover essential topics in macroeconomics, monetary economics, international economics and quantitative methods in order to endow staff with diverse educational backgrounds with the fundamental tools of modern macroeconomics. The 2017 titles are The macroeconomics of agent based models and The econometrics of banking data. These courses are aimed at people with a Masters Degree, e.g. mid-career officials who want to refresh their general knowledge, and especially young staff members who desire a systematic introduction to the language and working tools needed to do research-based policy work. The two weeks in the Summer 2017 term (July 24-28, and July 31-August 4) are devoted to advanced topic courses. These advanced courses cover topics in macroeconomics, monetary economics, international economics and quantitative methods that build on the intermediate level courses and develop knowledge on a Budapest School for Central Bank Studies 3
wide range of topics of interest to central bankers. The 2017 titles are The micro and the macroeconomics of banking, and Econometric and policy analyses with large macroeconomic data. These courses are directed at (i) staff who want to fill gaps in their knowledge about important macroeconomic issues, (ii) mid-career officials who want to re-establish links with the frontiers of current macroeconomic research, and (iii) anyone interested in refreshing or acquiring knowledge about recent developments in academic macroeconomics and their application in policy analysis and debates. Price of the courses A 1,200 euro fee per course will be charged for the courses. A weekly session consists of five (or four) days with twenty hours of classes per course. The fee includes course materials and a social event. Computers with Matlab will be available, but participants are also encouraged to bring their own laptop with Matlab installed. Organisation of the courses The number of participants is limited to 30 per course. Spaces are allocated on a first come, first serve basis. Courses are held in the conference centre of the Magyar Nemzeti Bank in downtown Budapest, Hungary. Participants pay for their own travel and accommodation expenses, and meals. The Bank can provide assistance in arranging accommodation. 4 Budapest School for Central Bank Studies
Application and further information Please fill out the application form and return it by email to budapestschool@mnb.hu by 10 March 2017 for the Spring courses and by 30 June 2017 for the Summer courses. For the application form and for further information please email us, at budapestschool@mnb.hu, or visit the School s website at http://www.mnb.hu/en/research/budapestschool-for-central-bank-studies We look forward to meeting you in the Budapest School for Central Bank Studies. Budapest School for Central Bank Studies 5
Spring 2017 Week 1 The macroeconomics of agent based models April 3 April 7, 2017 Junior Maih (Norges Bank) General outline: Agent-based modeling is a technique that explicitly and systematically models the behavior of individual and heterogeneous agents that make up the components of a complex system. Hence, the system behavior emerges from the characteristics of its individual components. Such a technique can be applied to various areas of interest to macroeconomists and policymakers. These applications include business cycles, the housing market, price dynamics, etc. This course provides an introduction to agent-based modeling (ABM) aimed at helping participants get started in the field and researchers looking to add ABM to their research skills. One aspect of the course will be about drawing differences and similarities between ABM and other modeling approaches such as DSGE. We also highlight in passing some of the advantages and drawbacks of each methodology. The course will use Matlab and other alternative programming tools. Topics covered: How can ABM be useful for policymakers Strategies for designing simple models Programming ABMs and running simulation experiments Effective presentation and communication of ABM Pattern oriented modeling 6 Budapest School for Central Bank Studies
Spring 2017 Week 2 The econometrics of banking data April 10-April 13, 2017 Fabio Canova (BI Norwegian Business School) General Outline: In the recent year there has been an effort to collect banking data for a number of units and a consistent period of time to perform stress testing and other policy relevant exercises. Most of the existing econometric techniques which have been developed for micro panels do not apply to banking data either because N is not large or because dynamic heterogeneities are crucial. This course provides an overview of the techniques which are available to conduct sound empirical analyses with banking data and with any cross country panels of macroeconomic data. Topics covered: Static and Dynamic Panel data Partial pooling techniques Panel VARs with and without interdependences Mixed micro-macro data models Budapest School for Central Bank Studies 7
Summer 2017 Week 3 The micro and the macroeconomics of banking July 24-28, 2017 Dean Corbae (University of Wisconsin) General outline: This course studies the banking industry from a micro and macro perspective. After examining aggregate and cross-sectional banking data facts (while we focus on the U.S. there is a budding research agenda for researchers to develop similar facts for other countries), we introduce simple models of banking to try to understand that data. These simple banking models include roles for delegated monitoring, maturity transformation, relationship lending, networks, and strategic interactions among banks. We then study dynamic stochastic models of banking both at the industry and general equilibrium levels. Finally we consider the effect of ex-ante micro- and macroprudential regulatory policies and ex-post bailout policies. At the end of this course you will have a toolkit of quantitative structural banking models to conduct policy and stress test analyses and examine problems at the intersection of finance, industrial organization and macroeconomics. Topics covered: Aggregate and cross-sectional banking data facts. Canonical banking theory: bank runs, delegated monitoring, networks, risk taking. Dynamic Stochastic General Equilibrium Models of Banking Structural Models with Bank Heterogeneity Banking Regulation 8 Budapest School for Central Bank Studies
Summer 2017 Week 4 Econometric and policy analyses with large macroeconomic data July 31-August 4, 2017 Domenico Giannone (Federal Reserve Bank of New York) General outline: This course provides an introduction to modern macroeconometrics with large dataset. We will discuss the estimation and evaluation of dynamic factor models for large cross sections and large vector autoregressive models. Examples and applications will be discussed, including nowcasting, forecasting and scenario analysis. The course will also provide an introduction to classical and Bayesian inference and computations. At the end of the course the participants will be able to do policy analyses and forecasts involving large data set. Topics covered: Forecasting and Nowcasting Scenario analysis. Large scale Bayesian Vector Autoregression (BVAR). Dynamic Factor Models. Budapest School for Central Bank Studies 9
Instructors 2017 Junior Maih Junior Maih received his PhD in economics in 2005 from the University of Oslo, Norway. Currently, he is a senior economist and special adviser at Norges Bank (Central bank of Norway) and associate professor in the department of economics of the Norwegian Business School (BI). Prior to these appointments, he also worked for the International Monetary Fund, in the modeling division of the research department. He has been to several universities (Stanford, Santa Cruz, California Riverside, among others) and central banks (including the bank of Belgium, Banque de France, the bank of Canada, the Atlanta Fed, the Federal Reserve Board, the Bank of Hungary, San Francisco Fed, BEAC) either for giving mini courses, as a visiting scholar or for giving technical assistance. He participates in the development of different toolboxes for solving and estimating structural macroeconomic models in general and DSGE models in particular. Among others, he is the author of the RISE toolbox. Selected publications: Oil and macroeconomic (in)stability (Joint with Hilde Bjørnland and Vegard Larsen). Working Paper 2016/12, Norges Bank Forecast uncertainty in the neighborhood of the effective lower bound, How much asymmetry should we expect? (Joint with Andrew Binning). Working Paper 2016/13, Norges Bank 10 Budapest School for Central Bank Studies
Implementing the Zero-Lower Bound in an Estimated Regime-Switching DSGE Model (joint with Andrew Binning). Working Paper 2016/3, Norges Bank Joint Prediction Bands for Macroeconomic Risk Management (joint with Farooq Akram and Andrew Binning). Working Paper 2016/7, Norges Bank Leaning Against the Wind when Credit Bites Back (joint with Karsten Gerdrup, Frank Hansen and Tord Krogh). Working Paper 2016/9, Norges Bank Budapest School for Central Bank Studies 11
Fabio Canova Fabio Canova is Professor of Economics at BI Norwegian Business School, program director of the Budapest School of Central Bank Studies, Head of Training at the Florence School of Banking and Finance, Director of the International Association of Applied Econometrics, member of the scientific committee of the Euro Area Business Cycle network, member of the scientific committee of ESOBE, a research visitor at the Norges Bank and an editor of the Journal of Applied Econometrics. In the recent past he has been program chair for the European Meetings of the Econometric Society 2014, a panelist of ANVUR in 2013, coeditor of the Journal of the European Economic Association from 2008 to 2013 and a referee for ERC, NSF, ESRC proposals. He has also held The Pierre Werner Chair at the European University Institute from 2012 to 2014, a ICREA research professorship at Universitat Pompeu Fabra from 2005 to 2012 and a chair in Monetary Economics at the University of Bern in 2008. Has has taught classes in numerous universities and given professional courses at the Bank of England, Riksbank, Bank of Italy, Bundesbank, ECB, Bank of Spain, Bank of Portugal, Bank of Hungary, Bank of Argentina, Banco do Brazil, Banco de Peru, South African Central Bank, Central Bank of Indonesia, Swiss National Bank, Banco de Mexico, Banco de La Republica de Colombia, Banco de Venezuela, Bank of Israel, Monetary and Banking Institute of Iran, Waifem, Central Bank of Chile, Central Bank of Korea, Bank of Albania, at the EABCN, at the Central Bank program in Genzersee, the IMF, the EU commission, the UK Foreign Office and UK treasury, among others. He has held consultancy positions with the Bank of England, the ECB, the Bank of Italy, the Bank of Spain, the Norges Bank and the IMF. 12 Budapest School for Central Bank Studies
He has published over 85 articles in international journals and his graduate textbook, Methods for Applied Macroeconomic Research, has been published in 2007 by Princeton University Press and translated in Chinese in 2010. Selected publications: A general algorithm for estimating structural VARs (with F. Perez-Forero), Quantitative Economics, 6(2), 2015 Bridging DSGE Models and the Raw Data, Journal of Monetary Economics, 67, 1-15, 2014 Choosing the variables to estimate singular DSGE (with C. Matthes and F. Ferroni), Journal of Applied Econometrics, 29, 1099-1117, 2014 The Inns and Outs of Unemployment: A Conditional Analysis (with D. López-Salido and C. Michelacci), The Economic Journal, 123, 515-539, 2013 ClubMed? Cyclical fluctuations in the Mediterranean basin (with M. Ciccarelli), Journal of International Economics, 88, 162-175, 2012. Budapest School for Central Bank Studies 13
Dean Corbae Dean Corbae is a professor in the department of Finance, Investment, and Banking at the Wisconsin School of Business. He also holds an appointment in the Economics department at UW. Before coming to Wisconsin, Corbae was the Sebastian Centennial Professor of Business Administration at the University of Texas at Austin. Corbae has been a visiting professor at the Wharton School of the University of Pennsylvania and Cambridge University, as well as a Visiting Scholar at the Federal Reserve Banks of Chicago, Cleveland, Dallas, Minneapolis, Philadelphia, and St. Louis. Corbae is a research associate of the National Bureau of Economic Research. His research has been supported by the National Science Foundation and the Gates Foundation through the Consortium on Financial Systems and Poverty. He has held editorial positions at the Journal of Economic Theory and the International Economic Review, among others. Corbae is the co-author of An Introduction to Mathematical Analysis for Economic Theory and Econometrics published by Princeton University Press. His research in macroeconomics and econometrics has been published in Econometrica, the Journal of Political Economy, and others. His current research projects focus on consumer credit and bankruptcy, foreclosures, and banking industry dynamics. Corbae earned his B.A. in economics from Colgate University and his Ph.D. from Yale University. 14 Budapest School for Central Bank Studies
Selected publications: Leverage and the Foreclosure Crisis, Journal of Political Economy, Vol. 123, 2015, p. 1-65, joint with Erwan Quintin Politico-Economic Consequences of Rising Wage Inequality, Journal of Monetary Economics, Vol. 56, 2009, p.43-61, joint with P. D Erasmo and B. Kuruscu A Finite-Life Private-Information Theory of Unsecured Debt, Journal of Economic Theory, Vol. 142, 2008, p. 149-177, joint with S. Chatterjee and J.V. Rios-Rull A Quantitative Theory of Unsecured Consumer Credit with Risk of Default, Econometrica, Vol. 75, 2007, p. 1525-89, joint with S. Chatterjee, M. Nakajima, and J. V. Rios-Rull Budapest School for Central Bank Studies 15
Domenico Giannone Domenico Giannone holds a PhD from the Universite Libre de Bruxells (ULB), 2004. He is Research Officer at the Federal Reserve Bank of New York and Research Fellow of the Centre for European Policy Research (CEPR). His general fields of research are forecasting, monetary policy, business cycles and growth. He has designed econometric models that are routinely used to inform policy decisions in many institutions, was cofounder and director of Now-Casting.com (a web-based forecasting company), and was a member of the CEPR Business Cycle Dating Committee. He is associate editor for the Journal of Business and Economic Statistics, the Journal of Applied Econometrics, the International Journal of Forecasting and Empirical Economics. Selected publications: Prior Selection for Vector Autoregressions, 2015 (with Michele Lenza and Giorgio Primiceri). Review of Economics and Statistics, vol. 97(2), pages 436-451 A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models, 2012 (with Catherine Doz and Lucrezia Reichlin), Review of Economics and Statistics, 94(4), 1014-1024 Large Bayesian VARs, 2010 (with Marta Banbura and Lucrezia Reichlin), Journal of Applied Econometrics, v25(1), pages 71-92 16 Budapest School for Central Bank Studies
Nowcasting, The Real Time Informational Content of Macroeconomic Data Releases, 2008 (with Lucrezia Reichlin and David Small), Journal of Monetary Economics, 55(4), May 2008, Pages 665-676 Forecasting using a large number of predictors is Bayesian shrinkage a valid alternative to principal components?, 2008 (with Christine De Mol and Lucrezia Reichlin), Journal of Econometrics, Vol. 146, No. 2, October 2008, pages 318-328 Budapest School for Central Bank Studies 17
Magyar Nemzeti Bank Budapest School for Central Bank Studies Courses 2016 URL: http://www.mnb.hu/en/research/budapest-schoolfor-central-bank-studies E-mail: budapestschool@mnb.hu Print: Prospektus SPL consortium H-8200 Veszprém, Tartu u. 6.
A question and some replies to it from the evaluation forms Would you recommend the school/course to a colleague? Replies: I would definitely recommend this school. Absolutely. This course is excellent. Yes, the instructor was very good. The organization was good and the topic was interesting. Yes, because very serious programme, interesting and we learn a lot. Definitely yes. It is very useful for the working agendas in our institution. Yes. Because the course is very useful for central bank staff doing empirical economics. I would strongly recommend it to our colleagues. Yes, because of its added value, level and because it is very up-to-date. Yes, it was useful, instructor was great in terms of teaching these advanced topics, real good.