Empirical Time Series Methods for Macroeconomic Analysis
Lecturer: Professor Luca Gambetti, PhD (Universitat Autònoma de Barcelona)
Date: October 4, 2016 – October 7, 2016
Venue: Halle Institute for Economic Research (IWH) – Member of the Leibniz Association, Kleine Maerkerstrasse 8, 06108 Halle (Saale), Germany, conference room (ground floor)
Registration: until August 15, 2016 via email: firstname.lastname@example.org. The course is designed for at most 25 participants.
Announcement see pdf
The objective of the course is twofold. First, to present some of the most popular time series models designed to analyze the propagation mechanisms and measure the effects of macroeconomic shocks. In particular, we will cover Structural Vector Autoregressive models as well as several extensions like the Factor Augmented VAR, Smooth Transition VAR, Threshold VAR and Time-varying Coefficients VAR. The second objective is to discuss some recent applications of these models in macroeconomics. The focus will be on monetary and fiscal policy shocks, news shocks and technology shocks among others. Matlab programs to implement the theoretical methods and replicate the applications studied in class will be made available to students.
Each day, 9:00–12:00 and 14:00–16:00
Basic knowledge of econometrics and time series econometrics.
I. Structural VAR (SVAR) models
Preliminaries, representation, estimation, identification: short-run restrictions, long-run restrictions, sign restrictions, penalty function approach, mixed
restrictions, the Stock and Watson approach, narrative approach
II. Structural VAR (SVAR) models
Applications, monetary and fiscal policy shocks, technology shocks and news shocks, uncertainty shocks
III. Factor Augmented VAR (FAVAR)
Representation, estimation, inference, applications: monetary policy shocks and the price puzzle, monetary policy and state-level house prices, credit market
shocks, micro-level bank behavior and aggregate shocks
IV. Threshold VAR (TVAR) and Smooth Transition VAR (STVAR)
Application: fiscal policy shocks in booms and recessions
V. Time-varying Coefficients models
Theory, applications: the Great Moderation, monetary policy and stock market bubbles
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