Macroeconomic Modelling and Policy

Key information

Start date: 06 April 2021

Attendance dates:

April 2021: 06, 07, 08, 09

Time commitment: 4 days

Venue:

Distance learning

Contact details:

Overview

This course is aimed at MSc, MRes and PhD students, early researchers, and research staff from central banks, ministries and the private sector, all with some prior experience of macroeconomic modelling.

Its contents differ from the CIMS summer school courses, which are usually held in September. The Easter school is focused on a shorter list of themes, some of which not commonly found in summer schools offered by most economics departments.

Course content

This year, as part of the CIMS Easter school, this course will cover:

  • Inequality in incomplete markets - taught by K. Storesletten
  • Collateral and repo markets - taught by M. Pascoa
  • Optimal fiscal policy - taught by R. Oikonomou
  • DSGE modelling for emerging economies - taught by P.Levine and M. Mirfatah.

Inequality and risk-sharing in models with incomplete markets

Lectured by Kjetil Storesletten

  • Inequality under complete markets (Chatterjee 1994)
  • The standard incomplete market model (Aiyagari 1994, Constantinides and Duffie 1996)
  • Measuring risk sharing (Blundell, Preston, and Pistaferri 2008)
  • How much insurance in the standard incomplete market model? (Kaplan and Violante 2010)
  • Incomplete markets with labor supply – an analytical approach (Heathcote, Storesletten, and Violante 2014)
  • How should tax progressivity respond to rising inequality? (Heathcote, Storesletten, and Violante 2020).

Financial markets: Collateral and repo markets

Lectured by Mario Pascoa

  • Recourse and non-recourse loans; credit secured by durable goods
  • Short term loans backed by securities; over-the-counter versus centrally cleared repo markets; leverage and short-sales; repo specialness
  • Impact of margins on the price of the collateral; the case where the collateral is not reused (mortgages) versus the case where it is reused (repo); evidence from the European sovereign debt crisis; CDS margins and impact on the price of the underlying security
  • The cross-currency-basis and repo: deviations from covered interest rate parity, secured funding frictions and policy interventions in FX.

Optimal fiscal policy

Lectured by Rigas Oikonomou

  • Optimal fiscal policy models under complete and incomplete financial markets:
    • Theory
    • Numerical methods (live).
  • Optimal government portfolios:
    • Theory
    • Numerical methods.

DSGE modelling for emerging economies

Lectured by Paul Levine and Maryam Mirfatah

  • Construction of a small open economy DSGE model with emerging economy features
  • Bayesian estimation of the model using data from an emerging economy
  • Model validation by comparison with second moments of data
  • Monetary and foreign exchange intervention policy
  • Exercises.

Course contributors

Paul Levine profile image

Professor Paul Levine

Professor of Economics

Dr. Maryam Mirfatah profile image

Maryam Mirfatah

Postdoctoral Research Fellow

Placeholder image for staff profiles

Dr Rigas Oikonomou

Senior Lecturer in Economics

Mario Pascoa profile image

Professor Mario Pascoa

Professor of Economics

Placeholder image for staff profiles

Professor Kjetil Storesletten

Vice-Chancellor's Fellow

Software

The lectures will take place via Zoom, so all participants will need Matlab downloaded on their computer for some of the practical sessions (you can get a 30-day free trial from the Matlab site). We also advise you have Dynare installed for day four of this course.

Entry requirements

Applicants must have:

  • A background in macroeconomics with some knowledge of macro-modelling and dynamic optimisation.
  • Basic knowledge of Matlab programming (take a look at an overview of the Matlab features our participants are expected to know).
  • Working knowledge of English.

Recognition of prior learning

A basic prior knowledge of Matlab will help.

Fees and funding

Price per person:

£950

Non-academic participants

£700

Academics

£350

Students

Funding opportunities

The following concessions are available:

  • 10% discount for participants who register by 28 February 2021.
  • 10% discount for participants who have attended a previous course with the Centre for International Macroeconomic Studies.
  • 20% discount for participants from institutions in developing countries.

The concessions above can be combined up to a cumulative 30%.

Participants requiring additional financial assistance can indicate so in their application. Limited funding opportunities are available.

How to apply

Once your application has been reviewed, you will receive an email offering you a place and you will have two weeks to pay the full fees balance to secure this.

Should you require any further information, or for enquiries, please contact the CIMS team at cims@surrey.ac.uk.

Deadline

The deadline for applications is 15 March 2021, but we do encourage interested people to apply as soon as possible as the places will be allocated using a rolling selection process.

Apply now

Terms and conditions

When you accept an offer of a place at the University of Surrey, you are agreeing to comply with our policies and regulations and our terms and conditions. You are also confirming you have read and understood the University's prospective student privacy notice.

Further details of our terms and conditions will follow.

Disclaimer

This online prospectus has been prepared and published in advance of the commencement of the course. The University of Surrey has used its reasonable efforts to ensure that the information is accurate at the time of publishing, but changes (for example to course content or additional costs) may occur given the interval between publishing and commencement of the course. It is therefore very important to check this website for any updates before you apply for a course with us. Read more.