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

Key information

Start date: 07 September 2021

Attendance dates:

September 2021: 07, 08, 09, 10, 13, 14, 15

Time commitment: 7 days


Distance learning

Contact details:


Given the spread of Covid-19 and the difficulty in air travel we have decided to deliver the Centre for International Macroeconomic Studies summer school in an online format. This decision has been made to ensure the safety of our participants, our colleagues, and all those involved. The summer school in 2020 was also held online, it was very successful and enabled many participants to attend from all over the world without the need to travel.

The course will be conducted using the Zoom 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. Though we will do our best to record all the sessions, we are expecting participants to attend them live to enable them to interact with lectures and ask questions. 

This course is Dynare-based and provides instructions on the construction and estimation of DSGE models for a closed economy and their use for policy analysis.

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.

Who is this course for?

This course is aimed at people who are already fluent in Dynare and Matlab, but are finding that their ambition currently exceeds what they are able to do with these tools.

This course will be useful to anyone who is engaged in practical macroeconomic modelling work, especially if they are interested in working with models that are either computationally expensive to simulate, nonlinear, or infinite dimensional thanks to heterogeneous agents.


The lectures will take place via Zoom, and participants will need to have installed Matlab in their computers for some of the practical sessions (download a 30-day free trial), as well as Dynare.

Course content

We aim to distribute some of the numerical and computational tricks we have picked up over the course of our careers to enable people to tackle non-standard models.

  • The basic theory of dynamic programming
  • Numerical integration
  • Function approximation
  • Value function iteration
  • Policy function iteration
  • Projection methods.

  •  Introduction to models with heterogeneous agents
  • An analytical Aiyagari model with labor supply
  • Measuring risk sharing
  • Self insurance in terms of savings and labor supply
  • Dynamics of inequality
  • Welfare cost of inequality.

  • Computational issues in 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.

On Wednesday 15 September we will hold a one-day conference.

All participants on the courses are invited to submit a paper on some aspect of macroeconomics or DSGE modelling to be presented in the conference.

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

Kirill Shakhnov profile image

Dr Kirill Shakhnov

Lecturer in Economics

Kjetil Storesletten profile image

Professor Kjetil Storesletten

Vice-Chancellor's Fellow

Entry requirements

Applicants must have a:

  • Background in macroeconomics with some knowledge of macro-modelling and dynamic optimisation.
  • Basic knowledge of Matlab programming (see an overview of the Matlab features our participants are expected to know).
  • Working knowledge of English.
  • Basic knowledge of the RBC and NK Model.

Fees and funding

Price per person:


Non-academic participants





What these fees include

The price includes the four day course, plus the optional stand-alone courses on day five and six and conference on day seven.


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.

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

How to apply

Deadline for applications is 24 August 2021, 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.

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.


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.