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Macroeconometrics

Dynamic Causal Effects with BVARs and Local Projections

Master the tools to analyze macroeconomic shocks and shape evidence-based policy with confidence.

20h (10 days)

€795 - €1,375

Online

English

Program date: March 02-13, 2026

Early Bird deadline: January 19, 2026

Learn more

Macroeconometrics

Dynamic Causal Effects with BVARs and Local Projections

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Who is this Course for?

Dynamic Causal Effects with BVARs and Local Projections

Course overview

Understanding how macroeconomic shocks affect the economy is essential for designing effective policy and interpreting economic fluctuations. This course offers a deep dive into the latest empirical time series methods used to identify macroeconomic shocks and analyze their transmission mechanisms, with a strong emphasis on modern Bayesian approaches.

Building on concepts presented in Dynamic Causal Effects with VARs and FAVARs course, this program can be taken as a standalone course or as a complementary follow-up.

Participants will explore the most widely used empirical models for studying the causal effects of macroeconomic shocks, including Bayesian VARs, Local Projections, and IV-based techniques. You will explore how these tools are applied in empirical research to analyze the transmission of monetary, fiscal, technology, news, and uncertainty shocks.

The course combines theoretical foundations with practical, hands-on MATLAB sessions, guiding participants through the replication of key studies and equipping them to apply these techniques to their own data and policy questions.

By the end of the course, participants will be equipped with a robust, practical toolkit for conducting state-of-the-art empirical macroeconomic analysis using advanced time series techniques.

Faculty

Discover what makes this course exceptional

1

Policy-relevant learning: Explore how macroeconomic shocks are transmitted through the economy, knowledge that’s essential for shaping effective monetary, fiscal, and structural policies.

2

Master BVARs and Local Projections: Gain hands-on experience with the latest empirical tools in time series analysis, including Bayesian VARs, Local Projections (LP-IV), and Instrumental Variable (IV) techniques.

3

Integrated theory and practice: Bridge the gap between concepts and application through a balanced mix of lectures and hands-on MATLAB exercises that you can directly apply to your own research.

4

Sharpen analytical thinking: Tackle complex modeling challenges and develop problem-solving strategies that are essential for advanced macroeconomic analysis in academic and policy environments.

5

Designed for Applied Researchers: Ideal for economists and analysts working in central banks, policy institutions, and research environments who rely on robust empirical evidence for decision-making.

6

Personalized research support: Receive feedback on your own projects from instructors and peers to strengthen your applied research skills.

Who is this course for?

This course is specifically aimed at:

Master’s and PhD students in economics or related fields who want to deepen their understanding of empirical macroeconomic analysis, particularly the identification and transmission of macroeconomic shocks
Practitioners working in central banks, policy institutions, and research departments who apply time series methods to assess economic dynamics and support evidence-based policy design

Learning outcomes

The objectives of this course are twofold:

First, to look at some of the most popular time series models designed to analyze the propagation mechanisms and study the causal effects of macroeconomic shocks
Second, to discuss and present some recent empirical applications, focusing on monetary and fiscal policy shocks as well as non-policy shocks such as technology shocks, news shocks and uncertainty shocks

Key topics for Dynamic Causal Effects with BVARs and Local Projections

Take a look at the themes covered during this course.

Bayesian Vector Autoregressions (BVAR)

Priors for VAR
Small-scale BVAR
Large BVAR
Application: Monetary and Fiscal Policy Shocks

Local Projections

Frequentist LP-IV
Bayesian LP-IV

IV Methods

Proxy SVAR, SVAR-IV
LP-IV
Application: High frequency instruments for Monetary Policy

SVAR Approaches Under Noninvertibility

Internal Instruments
Generalized External Instruments
Blaschke Matrices

Course Materials and Software

MATLAB License

Every participant will receive a time-limited personal free MATLAB license before the course starts. You’ll need to install it on your own computer for practical sessions
Additional materials will be provided, and instructors will be available to discuss your research ideas and projects throughout the course

Why should you attend BSE Executive Education courses?

All BSE Executive Education courses are taught to the same high standard as our Master’s programs.

1

Network with like-minded peers from around the world

2

Short courses allow you to learn without a big time commitment

3

Try something new and expand your knowledge and career prospects

Admissions

Are you thinking of applying to BSE Dynamic Causal Effects with BVARs and Local Projections Executive Education course? Check you meet the requirements below.

Program date: March 02-13, 2026

Early Bird deadline: January 19, 2026

Requirements

Candidates are assessed on an individual basis according to their professional or academic background

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Course schedule

The times listed are Central European Time (CET). Compare with your time zone on time.is

Instructors, topics, and schedules are subject to change.

Week 1

Time

1
Mon

2
Tue

3
Wed

4
Thu

5
Fri

14:30-16:30

Lecture

Practical

Lecture

Practical

Lecture

Week 2

Time

1
Mon

2
Tue

3
Wed

4
Thu

5
Fri

14:30-16:30

Practical

Lecture

Practical

Lecture

Practical

Certificate and Fees

Certificate

Participants who attend at least 80% of the course will receive a Certificate of Attendance free of charge. Participants will not be graded or assessed during the course.

Fees

A 10% discount applies when the confirmation payment is completed on or before the announced Early Bird deadline.

Multiple course discounts are available. Find out more information in our Fees and Discounts pdf.

Fees for courses in other Executive Education programs may vary.

Course

Dynamic Causal Effects with BVARs and Local Projections

Modality

Online

Total Hours

20

ECTS

0

Regular Fee

1,375€

Reduced Fee*

795€

* Reduced Fee applies for PhD or Master’s students, Alumni of BSE Master’s programs, and participants who are unemployed.

FAQ

Need more information?

Are the sessions recorded?

Sessions will be recorded and videos will be available for a month once the course has finished.

How much does each Executive Education 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 Executive Education courses. See more information about available discounts or request a personalized discount quote by email.