The Science and Art of Dynamic Stochastic General Equilibrium (DSGE) Modelling (Advanced)
Attendance dates:September 2020: 07, 08, 09, 10, 11, 12
Time commitment: 6 days
Stag Hill campus, University of Surrey, Guildford, Surrey GU2 7XH
- Centre for International Macroeconomic Studies
This course is designed for those engaged in practical macroeconomic modelling work, especially if you are interested in working with models that are either computationally expensive to simulate, highly nonlinear, or infinite dimensional thanks to heterogeneous agents. It is aimed at established researchers and PhD students. Participants should be fluent in Dynare and Matlab.
Our courses featured in the Top Summer Schools in Economics 2019, in Inomics.
The course will explore various advanced topics including applied dynamic programming, non-linear solution methods for DSGE models, DSGE modelling with heterogeneous agents, optimal policy applications and DSGE models with occasionally binding constraints.
- The basic theory of dynamic programming
- Numerical integration
- Function approximation
- Value function iteration
- Policy function iteration
- Projection methods
- Introduction to models with heterogeneous agents
- Solving heterogenous-agent models without aggregate uncertainty: the model of Aiyagari
- Solving heterogenous-agent models with aggregate uncertainty: the Krussel-Smith algorithm
- Alternative algorithms
- Policy communication and central bank design
- Price level targeting and alternative objectives
- Credibility and imperfect commitment
- Time-inconsistency and recursive contracts
- Zero lower bound, exit strategies, and normalisation policy
- Applications to medium and large scale models
- Fiscal policy with heterogeneous agents:
- Public debt, capital and labour taxes
- Life cycle models
- Numerical solutions
- Constrained efficiency with incomplete markets
- Portfolio choice with illiquid assets and the effects of fiscal policy
- Heterogeneous agents in continuous time:
- Theory and numerical implementatio.
- Simple economies with idiosyncratic income risks
- Heterogeneous Agents New Keynesian models
On day five, you can choose to attend one of the following:
- Credit Market Imperfections and Poverty Traps
- Dynamic Stochastic General Equilibrium-Vector Autoregression (DSGE-VAR) Models and Forecasting
- Financial Frictions in Dynamic Stochastic General Equilibrium (DSGE) Models
- Financial Markets: Collateral, Repo and Credit Default Swaps
- Robust Qualitative Methods for Macro
- Tractable Heterogeneous Agents Models (TANK/HANK)
On the final day of the course, we will hold an optional conference. You are invited to submit a paper on some aspect of DSGE modelling. We will select five or six papers to be presented in full with discussants, while the remaining submissions will be given the opportunity to be presented during our poster session. The deadline for paper submission will be 20 July. Notification of acceptance to present a paper in full or in the poster session will be communicated by 3 August.
Hyungseok JooSee profile
Ricardo P. C. NunesSee profile
Kirill ShakhnovSee profile
The practical sessions will take place in computer labs. We provide computers to all participants with Matlab and Dynare installed and set up. For those wishing to use their own computers outside the sessions, it should be noted that Dynare is free software, but Matlab requires a license to be purchased.
Applicants must have:
- A strong knowledge of DSGE modelling
- A working knowledge of English
- Experience in programming in Matlab and Dynare.
Fees and funding
Price per person:
What these fees include
Lunch, refreshments, a course dinner on day three, course notes, the day five workshop and model software are included.
If you would like to stay on our campus throughout your course, we have a limited number of single bed en-suite rooms available. These are charged at £40 per night and include breakfast. If your application is successful, you will receive an email with instructions on how to book our accommodation.
The following concessions are available:
- 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.
How to apply
Deadline for applications is 10 August 2020, but we encourage you to apply as soon as possible as the places will be allocated using a rolling selection process.
If your application is successful, you will receive an email offering you a place and you will have two weeks to pay the full fees balance to secure this.
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 more.