The Science and Art of Dynamic Stochastic General Equilibrium (DSGE) Modelling (Advanced)

Key information

Start date: To be confirmed

Attendance dates:

To be confirmed

Time commitment: 6 days


Distance learning

Contact details:


We have decided to have a virtual Summer School (online) this year. This decision has been made to ensure the safety of our participants, our colleagues and all those involved with the Summer School.

This course will be conducted through the Zoom platform. The University and the lecturers are used to doing online teaching and have state-of-the-art systems to do so. We will limit the number of participants on the course and have additional lecturers per room to ensure a highly interactive experience. Though we will do our best to record all the sessions, we are expecting participants to attend them live to enable you to interact with lecturers and ask questions. We will continue to have coffee breaks to allow for networking.

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.

It will cover the theoretical aspects of the techniques, in addition, it is very hands-on and you will have carefully implemented exercises where you need to modify parts of the codes. This will be done in the lectures, both in groups and with the help of the instructors. You'll receive solutions to all exercises and will be provided with computer codes that you may then use in your own research.


Please note that all participants are required to have their own copy of Matlab since you will be using your own computers. You can download a 30-day free trial of the software beforehand.

Course content

This 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 the final day of the course, we will hold an optional conference. The two keynote speakers are Professor Morten Ravn (UCL) and Professor Kjetil Storesletten (University of Oslo).

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. The deadline for paper submission will be 3 August. Notification of acceptance to present a paper in full or in the poster session will be communicated by 10 August.

Learning and teaching methods

You will be sent computer codes, lecture notes, and slides ahead of the course and will also receive direct assistance before the Summer 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. This will occur both informally during the virtual coffee breaks and virtual dinners, as well as formally during the conference. After the Summer School, lecturers will be available to answer questions and discuss your projects.

Course contributors

Placeholder image for staff profiles

Dr Szabolcs Deak

Lecturer in Economics

Hyungseok Joo profile image

Dr Hyungseok Joo

Lecturer in Economics

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Rigas Oikonomou

Professor of Economics

Kirill Shakhnov profile image

Dr Kirill Shakhnov

Lecturer in Economics

Entry requirements

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:

£1,225 (down from £1,650)

Non-academic participants

£900 (down from £1,200)


£475 (down from £700)


What these fees include

The price includes the one day course on day five and the optional conference on day six.


The following concessions are available:

  • 10% discount for participants who register by July 15
  • 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.

Multiple discounts are not applicable.

How to apply

Applications are currently closed, but please register your interest with us.

Register your interest

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.