9am - 3pm
Monday 9 September - Saturday 14 September 2019
Summer School and Conference on Dynamic Stochastic General Equilibrium (DSGE) Modelling
Following highly successful Easter and Summer Schools in previous years, the Centre for International Macroeconomic Studies (CIMS) in the School of Economics, University of Surrey will hold a five-day Summer School followed by a one-day conference.
Our Summer School has be chosen by Inomics as one of the Top Summer Schools in Economics 2019.
from £200.00 to £1650.00
University of Surrey
Following highly successful Easter and Summer Schools in previous years, the Centre for International Macroeconomic Studies (CIMS) in the School of Economics, University of Surrey will hold a summer school from 9-14 September 2019. The deadline for application is 11 August 2019 although places will be offered on a first-come-first-served basis. The School will consist of two parallel four-day courses, four parallel one-day stand-alone courses on day five (Friday), and a one-day conference on day six (Saturday). Participants can register for all six days, or for only one of the stand-alone one-day courses.
The target participants of the two parallel four-day courses are as follows:
- Foundations of DSGE Modelling is aimed at early researchers with some knowledge of Dynamic Stochastic General Equilibrium (DSGE) macroeconomic models and Matlab, but little or no experience of Dynare
- Advanced Topics in DSGE Modelling is aimed at more established researchers who are already fluent in Dynare and Matlab. 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, highly nonlinear, or infinite dimensional thanks to heterogeneous agents.
The foundations and advanced courses will run in parallel for four days from 9-12 September. Then on day 5, 13 September participants will be able to choose one of four one day standalone courses covering:
- Financial frictions
- DSGE-VAR Models and Forecasting
- Robust Qualitative Methods for Macro
- From Matlab to Python in One Day
For all these courses, notes and model codes will be distributed to participants.
Finally on Saturday 14 September we will hold a one day conference. All participants on the Courses are invited to submit a paper on some aspect of DSGE modelling to be presented in either full or during a Poster session.
Who should attend this summer school and conference?
The main goal of the Foundations of DSGE Modelling course is to provide instructions on the construction and estimation of Dynamic Stochastic General Equilibrium (DSGE) models and for their use for policy analysis. It is Dynare-based and is aimed at
- PhD, MSc or MRes students aiming to proceed to a PhD and early researchers who want to learn about DSGE modelling.
- Researchers and practitioners working at central banks, as well as at other private and public institutions who intend to construct or use DSGE models.
We require participants to have some prior experience with macroeconomic models and dynamic optimization and a basic knowledge of Matlab, but no prior knowledge of Dynare is necessary.
The Advanced Topics in DSGE Modelling course is aimed at more established researchers or advanced PhD students who are already fluent in Dynare and Matlab. 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, highly nonlinear, or infinite dimensional thanks to heterogeneous agents.
The Foundations of DSGE Modelling course starts with an introduction to Dynare programming. It will then proceed to the construction and Bayesian estimation of DSGE macroeconomic models in Dynare and their use for optimal policy analysis. The course material will cover the underlying theory proceeding in steps from the RBC model through to a medium-sized NK model. The course will be thaught by Cristiano Cantore, Vasco Gabriel, Paul Levine, Ricardo Nunes and Bo Yang.
The Advanced Topics in DSGE Modelling course covers 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 course will be thaught by Szabolcs Deak, Antonio Mele, Ricardo Nunes and Jonathan Swarbrick.
One-day stand-alone course
The Foundations and Advanced courses run in parallel for four days. Then on day 5 participants are able to choose one of four one day standalone courses. These course are designed such that participants from both the Foundations and Advanced Courses can join them.
The four full-day course options on day 5 are as follows:
- Financial Frictions in DSGE Models (Paul Levine and Afrasiab Mirza): different modelling approaches; Bayesian estimation and comparison of models; conventional and unconventional monetary policy; implications of financial frictions for optimal policy.
- DSGE-VAR Models and Forecasting (Vasco Gabriel and Bo Yang): Finite VAR approximation to solutions of DSGE models; DSGE-VAR estimation; DSGE forecasts in a Bayesian framework; Estimation and out-of-Sample Forecasting.
- Robust Qualitative Methods (Martin Kaae Jensen): This topic goes to the research frontier of qualitative tools for both static and dynamic equilibrium models. Specific topics that will be covered are: Fixed Point Comparative Statics; Distributional Comparative Statics; Monotone Methods; Examples and Illustrations from Behavioral Growth Models and Heterogenous Agents Models.
- From Matlab to Python in One Day (Antonio Mele): Basic Differences between Matlab and Python; Flow Control; Data Types; Using Scientic Libraries; Economic Examples.
On Saturday 14 September we will hold a one-day conference. All participants on the courses are invited to submit a paper on some aspect of DSGE modelling. The organisers will select 5-6 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 22 July. Notification of acceptance to present a paper in full or in the poster session will be communicated by 29 July.
Full details of the course, the instructors you will meet, reading and software that will be used plus a breakdown of each day's activities view our full programme.
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.
The fees for students are £700 for the 5 day course, or £200 for day 5 only. The fees for academics are £1200 for the 5 day course, or £275 for day 5 only. For participants from central banks, ministries or the private sector the fees are £1650 for the 5-day course, or £450 for day 5 only. Those who register for any of the courses can attend the one day conference for no additional fee.
Participants who have attended a previous CIMS course are eligible for a 10 per cent discount on the 5 day course fee, while participants based at institutions in developing economies are eligible for a 20% discount on the 5 day course fee (multiple discounts are not applicable).
3 course lunches, refreshments, a course dinner on day 3, course notes and model software is included in this cost. Accommodation costs are not included in this price, but the University of Surrey offers accommodation on campus at competitive rates.
To be considered for admission to the foundation course. applicants must have:
- A background in macroeconomics with some knowledge of macro-modelling and dynamic optimization
- A basic knowledge of Matlab programming (see an overview of the Matlab features our participants are expected to know)
- A working knowledge of English
- A basic knowledge of the RBC and NK Model.
To be considered for admission to the advanced course, applicants must have:
- A strong knowledge of DSGE modelling
- A working knowledge of English
- Experience in programming in Matlab and Dynare.
Applicants who have attended previous courses by CIMS will be particularly welcome to apply for the advanced course.
One day standalone course
To be considered for admission to the one day standalone courses applicants must have:
- A background in economics
- A working knowledge of English
- A knowledge of the RBC and NK Model.
The deadline for application is 11 August 2019, but we do encourage interested people to apply as soon as possible as the places will be allocated using a rolling selection process. Once your application has been reviewed, you will receive an email offering you a place and applicants will have 2 weeks to pay the full fees balance to secure their place.
Please note: the deadline for paper submission for our one-day conference will be 22 July. Hence applicants after the deadline for paper submission will only be able to present their paper in the poster session.
The University of Surrey offers accommodation on campus at competitive rates rates (single en-suite rooms including breakfast). Details on how to book will be given once accepted onto the course. Please note that places on the course and for accommodation are on a first come first serve basis.
Please use our online application form.
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