Time Series Models for Macroeconomic Analysis I
Identifying causal relationships and analyzing macroeconomic shocks. PT I.
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Overview
Learning outcomes
Key Topics
Schedule
Who is this Course for?
Admissions
Fees
FAQ
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Course overview
This is the first part of a course focusing on the identification of causal relationships in macroeconomics, a key step to understand economic fluctuations, design sound economic policies, and assess economic theories. The course provides a variety of models and methods to identify macroeconomic shocks and estimate their propagation mechanisms.
The objective of this 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 economic shocks. In particular, we will cover in detail Structural Vector Autoregressive models with a special focus on several identification schemes used in the literature and also present several extensions.
The second objective is to discuss some recent applications of these models in economics. The focus will be on monetary and fiscal policy shocks, news shocks, technology shocks.
Matlab programs to implement the theoretical methods and replicate the applications studied in class will be made available to students.
Faculty
Who is this course for?
This course is designed for:
- Researchers and practitioners working at central banks as well as other private and public institutions
- Masters and PhD students who want to extend their knowledge in macroeconometrics and learn more about frontier research topics
Learning outcomes
Upon completion of this course, you will have:
- Identified causal relationships in macroeconomics to analyze economic fluctuations and policy design
- Mastered time series models, particularly SVAR, for analyzing shock propagation
- Studied various identification methods used in SVAR models to isolate economic shocks
- Applied these models to key macroeconomic shocks, including monetary, fiscal, news, and technology shocks
- Examined real-world applications of these models in economic research and policy evaluation
Key topics for Time Series Models for Macroeconomic Analysis I course
This course will explore the following topics:
Structural VAR
Large information
- FAVAR
- Factor Models
- Common Components SVAR
Nonlinear SVAR
- Smooth Transition SVAR
- Nonlinear Moving Averages
Software / Hardware
- MATLAB will be used during the course. Participants will receive a temporary personal license, provided by BSE, a few days before Summer School begins
- Participants must bring their own laptop to participate in the practical sessions
Why join our Summer School?
All BSE Summer courses are taught to the same high standard as our Master’s programs. Join us to:
Network with like-minded peers and faculty
Study in vibrant Barcelona
Learn from some of the most acclaimed professors and industry experts
Admissions and Requirements
All BSE Summer School applicants must meet the entrance requirements.
Requirements
Summer School applicants normally demonstrate one or more of the following:
- A strong background in Economics or a field closely related to the course topic (Statistics, Law, etc.)
- Postgraduate degree or current Master’s/PhD studies related to the course topic
- Relevant professional experience
Requirements for Time Series Models for Macroeconomic Analysis I course
- Participants must have knowledge of univariate time series models (ARMA models) and basic knowledge of multivariate ARMA
Schedule
Here is your schedule for this edition of BSE Macroeconometrics Summer School Macroeconomic Analysis I course.
Credit Transfers (ECTS)
To be eligible for credit transfer, students must complete a final project.
Students will deliver a short final project one week after the summer school finishes. It will consist in solving a final problem that will include the practical and empirical issues worked on in class.
Consult the Summer School Admissions page for more information about this option.
Certificate of Attendance
Participants who attend more than 80% of the course will receive a Certificate of Attendance, free of charge.
Fees
Multiple course discounts are available; see more information about available discounts. Fees for other courses listed in other Summer School programs may vary.
* Reduced Fee applies for PhD or Master’s students, Alumni of BSE Master’s programs, and participants who are unemployed.
FAQ
Here are some commonly asked questions by participants. Any further queries, please contact our Admissions Team.
Is accommodation included in the course fee?
Accommodation is not included in the course fee. Participants are responsible for finding accommodation.
Are the sessions recorded?
Sessions will NOT be recorded; however, the materials provided by the professor will be available for a month after the course has finished.
How much does each Summer School course cost?
Fees for each course may vary. Please consult each course page for accurate information.
Are there any discounts available?
Yes, BSE offers a variety of discounts on its Summer School courses. See more information about available discounts or request a personalized discount quote by email.
Can I take more than one course?
Yes! you can combine any of the Summer School courses (schedule permitting). See the full course calendar.
Are there any evening activities during the course?
Yes, a social dinner is held once a week for all participants, it is free to attend.
Mix and match your summer courses!
Remember that you can combine this program with courses in any of the other BSE Summer School programs (schedule permitting). Maximise your learning this summer and take advantage of our multiple-course discount.
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