Descriptions
The COVID-19 pandemic has presented central banks with unprecedented modelling challenges across all policy areas. This course focuses on several modelling developments that should facilitate modelling at central banks during the pandemic and in a post-COVID-19 environment. Methodologies and practical implementations of methods either robust to structural breaks or able to mitigate them are increasingly becoming available. This course will look at several techniques considered to lie at the upper end of intermediate for modelling in the face of large shocks.
Objectives
- know about identification in econometrics and the nature of economic shocks, which is the foundation for causal inference and thus policymaking in central banks;
- be familiar with four structural VAR identification approaches: short-run restrictions, long-run restrictions, sigh restrictions and proxy VARs or external instruments;
- know about machine learning and artificial intelligence and their uses in modern central banking;
- be comfortable with different approaches to trend-cycle decompositions, even in the presence of a structural break in the trend;
- be familiar with synthetic control, local projections and network methods; and
- have been exposed to the Lenza and Primiceri (2020) and Primiceri and Tambalotti (2020) modifications to VAR modelling to address the COVID-19 shock in major macrofinancial time series.
Target Participants
The course is intended for central bank staff whose duty involves significant quantitative analysis and research, be it in monetary policy or financial stability. Participants are expected to have significant quantitative skills and extensive experience using econometric computer programs, of which this course will use quite a few: EViews, R, MATLAB and Octave. Participants are not expected to have access to all of them, but the illustration of the latest techniques requires a broad set of statistical packages. All data and code will be made available during the course.
Resource Persons
The course will be delivered by both SEACEN faculty and experts from other central banks, such as the ECB and the Bank of England, and renowned academics and experts in their field.
