906 - Macroeconomic Modelling and Forecasting Workshop

2–6 December 2019

Description

This hands-on workshop focuses on the process of building and operating small-scale structural macroeconomic models and satellite models for forecasting in central banks. The programme will involve both presentations by CNB economists providing the theoretical background of the topics covered and computer training enabling direct application of the methodologies previously covered. In order to bring the participants as close as possible to a real-life modelling environment, the workshop will be organised as a model-building exercise for a selected country serving as a case study for all participants.

On the structural modelling side the participants will have the opportunity to participate in all key phases of the model building process: reviewing data and stylised facts, setting up the model structure, calibrating the Kalman filter to identify unobserved variables and shocks, forecasting, incorporating judgment and producing alternative scenarios. Matlab-IRIS environment will be used during the course.

Target group

Economists with a reasonable technical background in macroeconomic modelling and forecasting or junior economists whose duties involve/will involve modelling and forecasting.

Topics

  • Work with data and stylised facts, country specific features
  • Forward-looking models, endogenous monetary policy
  • Impulse response analysis
  • Kalman filtering
  • Model testing
  • Forecasting and incorporation of judgement
  • Decomposition of the aggregate forecast
  • Automatization
  • Scenario analysis, uncertainty
Length 5 days
Language English
Number of participants 1–2 from each country
Application deadline 30 June 2019

Note: The application should contain a short motivation letter and CV. Participants will be selected based on their modelling experience as well as assessed utilisation of the acquired methods in their future work.