Online Easter School on Fiscal Policy and Sovereign Debt Markets
- Start date:
- 02 April 2024
- Attendance dates:
- 2 - 5 April 2024
- Time commitment:
- 4 days
- Distance learning
- Contact details:
- Centre for International Macroeconomic Studies
- Email: email@example.com
This year’s Easter school will present courses on:
- Optimal fiscal policy (and computational methods)
- Topics in sovereign debt and default
- Secondary markets for sovereign debt (Repo and CDS markets, procyclical and countercyclical margins).
The course will be conducted using the Microsoft Team's platform. The University and the lecturers have extensive experience with online teaching and have state-of-the-art systems to do so, as well as being able to deliver highly interactive lectures.
All sessions will be recorded, though it is expected that participants attend them live, to enable interactions with the lecturers.
Who is this course for?
The 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.
The lectures will take place via Microsoft Team's meetings, and participants will need to have installed Matlab in their computers for some of the practical sessions. Download a 30-day free trial of Matlab.
- Optimal fiscal policy under complete financial markets and solution algorithms
- Numerical methods for optimal fiscal policy under complete financial markets
- Optimal fiscal policy under incomplete financial markets
- Numerical methods for optimal fiscal policy under incomplete financial markets
- Optimal government portfolios
- Numerical Methods for optimal government portfolio.
- Traditional sovereign debt model
- An introduction to quantitative sovereign default model
- Long term duration bond model
- Self-fulfilling debt model
- Quantitative properties of sovereign default models
- Sovereign debt restructurings
- Sovereign debt and fiscal policy.
- 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.
Learning and teaching methods
You will be sent computer codes, lecture notes, and slides ahead of the course. You will also receive direct assistance before the school starts in order to set up all the systems ahead of the online events.
There will be opportunities to discuss your projects and research ideas during virtual coffee breaks.
Applicants must have a:
- Background in macroeconomics with some knowledge of macro-modelling and dynamic optimisation.
- Basic knowledge of Matlab programming.
- Working knowledge of English.
Fees and funding
Price per person:
Discounts are 10% for returning participants and 20% for participants from institutions from developing countries. Discounts are cumulative.
How to apply
Please complete the application form to register your place. Application deadline: 22 March 2024.
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.
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 the full disclaimer.