Institutos Universitarios

4thWorkshopMacroFinance


 

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