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

Key information

Start date: 07 September 2021

Attendance dates:

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

Time commitment: 7 days

Venue:

Distance learning

Contact details:

Overview

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 PhD students, postgraduate students aiming to proceed to a PhD, early researchers and research staff from central banks, ministries and the private sector.

Software

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

The course will explore the basics of Dynare programming, the construction of Bayesian estimation of DSGE macroeconomic models in Dynare, and their use for optimal policy analysis. You will cover the underlying theory proceeding in steps from the real-business cycle theory (RBC) model through to a medium-sized New Keynesian (NK) model.

  • Introduction to the 4-day course
  • Dynare basics
  • RBC model
  • Calibration and use of an external steady state
  • Linearisation.

  • NK model
  • Stability-indeterminacy
  • Introduction to the global sensitivity analysis toolbox in Dynare.

  • Preparing the data including use of various filters
  • An introduction to Bayesian methodology
  • Identification and pre-estimation checks
  • Direct linear estimation of the non-linear NK model.

  • Model comparisons by likelihood races
  • Comparison of second moments of model with data
  • Optimal monetary policy for linear-quadratic problems:
    • The Ramsey problem
    • Optimal time-consistent policy
    • Optimised simple rules.

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

Vasco J. Gabriel profile image

Dr Vasco Gabriel

Reader in Economics

Luciano Rispoli profile image

Dr Luciano Rispoli

Teaching Fellow

Kirill Shakhnov profile image

Dr Kirill Shakhnov

Lecturer in Economics

Alessio Volpicella profile image

Dr Alessio Volpicella

Lecturer in Economics

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.

Recognition of prior learning

Participants should have some prior experience with macroeconomic models and dynamic optimisation, and a basic knowledge of Matlab. No prior knowledge of Dynare is necessary.

Fees and funding

Price per person:

£1,290

Non-academic participants

£950

Academics

£500

Students

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.

Concessions

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.

Funding opportunities

Concessions

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.

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.