4th Workshop on “Macroeconomics, Money and Finance”

Macroeconomic Forecasting and Uncertainty

 

Organized by the Research group on "Identification and prediction of systemic shocks. Analysis of the macroeconomic determinants of financial risks and its cross-sectional implications."

Sponsored by Bank of Spain, ICAE and department of Economic Analysis, Universidad Complutense de Madrid

Date:

Mond 29 Jan 2018 – Wed 31 2018

 

Venue:

Jose Alberto Blanco Losada Library (Room N101-Building 1)

Instituto Complutense de Análisis Económico (ICAE)

Universidad Complutense de Madrid.

by 

Andrea Carriero

School of Economics and Finance,

Queen Mary, University of London

 This is an advanced course in macro econometrics that will focus on:

i)                    Bayesian VARs,

ii)                  Forecasting with MIDAS

iii)                Uncertainty (Measuring uncertainty and its impact on the economy; Endogeneity of uncertainty; The predictive ability of uncertainty)

 

Monday 29
10:00 - 11:30	Introduction to Bayesian methods
11:30-12:00	Coffee break
12:00: 13:30	Bayesian treatment of the classical linear regression model
14:00-15:30	Lunch
15:30-17:00	Models with time varying coefficients and volatilities
Tuesday 30
10:00 -11:30 -	Bayesian Vector Autoregressions – part A (homoskedastic)
11:30-12:00	Coffee break
12:00: 13:30	Bayesian Vector Autoregressions and this paper – part B (heteroskedastic)
14:00-15:30	Lunch
15:30-17:00		Forecasting with MIDAS – presentation of the paper Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility
Wednesday 31
10:00 - 11:30	Measuring Uncertainty – presentation of the paper Measuring uncertainty and it impact on the economy
11:30-12:30	Coffee break
12:00- 13:30	Endogenous uncertainty
14:00-16:00	Lunch