SPRING COURSES
WEEK 1
The econometrics of financial markets
(March 21-March 25, 2016)
Enrique Sentana (CEMFI)
Topics covered:
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Mean-variance frontiers. GMM estimation and inference
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Inferences about Mean Variance Frontiers for Arbitrage Portfolios and Gross Returns
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Time series models of volatility.
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Beyond mean variance analysis
WEEK 2
Empirical methods for the study of the monetary transmission mechanism
(March 29-April 1, 2016)
Fabio Canova (BI Norwegian Business School)
Topics covered:
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Structural Vector Autoregression.
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Factor models and FAVARS.
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Bayesian approaches to structural time series analysis.
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Panel models, Panel VARs and partial pooling.
SUMMER COURSES
WEEK 3
Exchange rate dynamics and predictability
(June 27-July 1, 2016)
Barbara Rossi (Universitat Pompeu Fabra)
Topics covered:
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Exchange rate dynamics
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Time series models of exchange rates
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Forecasting and evaluation
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Non-gaussianity, time variations, forecast combination.
WEEK 4
Monetary and fiscal interactions in modern central banking analysis
(July 4-8, 2016)
Jesper Lindé (Stockholm School of Economics and Sveriges Riksbank)
Topics covered:
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A practitioners guide to Bayesian DSGE estimation
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Effects of fiscal policy in normal times and at the zero lower bound
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Effects of fiscal policy in currency unions
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International fiscal spillovers in currency unions.
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Impact of impaired credibility on the efficiency of fiscal consolidations
For further details please visit BSCBS website at: http://www.mnb.hu/en/research/budapest-school-for-central-bank-studies/courses
Application deadline: March 2 for the Spring courses, June 5 for the Summer courses