Dynamic Causal Effects with VARs and FAVARs
Master techniques to identify dynamic causal effects in macroeconomics, improving your skills in analyzing and interpreting complex economic events and policy outcomes.
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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 course introduces key time series methods for identifying causal relationships in macroeconomics, an essential step for analyzing economic fluctuations, evaluating policy, and testing economic theories.
You will learn how to identify macroeconomic shocks and estimate their effects using Structural VARs, Factor-Augmented VARs, and Dynamic Factor Models. The course also covers identification strategies commonly used in empirical research and explores applications focused on monetary, fiscal, news, and technology shocks.
The course combines 10 hours of theory with 10 hours of hands-on MATLAB sessions, where you will implement the techniques and replicate real-world studies.
Faculty
Discover what makes this course exceptional
The perfect blend of theoretical and practical sessions: Apply what you've learned to your own research.
Develop critical thinking and problem-solving skills: Address complex time series analysis challenges in diverse settings.
Learn cutting-edge methods: Use VAR models for analyzing complex time series data.
Gain practical skills in using software tools: Including MATLAB for time series analysis, and enhance your technical proficiency.
Get guidance and feedback: BSE Faculty and peers are available to discuss research projects, enhancing your analytical and research capabilities.
Who is this course for?
This course is specifically aimed at:
- Researchers who want to use the latest advances in macroeconometrics
- Master’s and PhD students aiming to extend their knowledge in macroeconometrics and explore frontier research topics
- Central bank practitioners and those in private and public institutions seeking to update knowledge and acquire the latest techniques
Learning outcomes
The objectives of this course are twofold:
- Look at some of the most popular time series models designed to analyze the propagation mechanisms and study the causal effects of macroeconomic shock
- 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 VARs and FAVARs
Take a look at the themes covered during this course.
Theoretical background
- Representations of the economy: Wold representation, structural representation and their relationship
- Properties: Invertibility, fundamentalness and recoverability
- The identification problem (under invertibility and noninvertibility)
Structural Vector Autoregressions (SVAR)
- Identification schemes: Recursive Short Run, Recursive Long Run, Sign restrictions, Narrative, Proxy-SVAR
- Applications: Monetary Policy, Fiscal Policy, Technology Shocks
Structural Models for Large-N: Factor Augmented VAR (FAVAR), Dynamic Factor Models (DFM) and Common Component SVAR (CC-SVAR)
- Identification schemes: Recursive Short Run, Recursive Long Run, Sign restrictions, Proxy-IV
- Application: Monetary policy
Extension: Nonlinear Structural Vector Moving Averages
- Identification schemes: Short-run recursive and Proxy-IV
- Application 1: Asymmetric Effects of Monetary Policy
- Application 2: Big vs Small Credit Spreads shocks
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.
Network with like-minded peers from around the world
Short courses allow you to learn without a big time commitment
Try something new and expand your knowledge and career prospects
Admissions
Are you thinking of applying to BSE Dynamic Causal Effects with VARs and FAVARs Executive Education course? Check you meet the requirements below.
Requirements
- Candidates are assessed on an individual basis according to their professional or academic background
Identifying Dynamic Causal Effects in Macroeconomics Requirements
- Students must have their own laptop or desktop computer and good Internet connection to be able to follow and fully benefit from the course
Get up to speed with the latest developments in this area in a short period of time.
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
Mon
Tue
Wed
Thu
Fri
Week 2
Mon
Tue
Wed
Thu
Fri
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.
Other course discounts are available. Find out more information in our Fees and Discounts pdf.
Fees for courses in other Executive Education programs may vary.
* Reduced Fee applies to 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.
Can I take more than one course?
Yes! you can combine any of the Executive Education courses (schedule permitting). See the full calendar here.
Related Executive Education programs
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Economics. All rights reserved.
