Identifying Dynamic Causal Effects in Macroeconomics

Learn with our expert faculty

facultyLuca Gambetti
PhD, Universitat Pompeu Fabra
UAB and BSE

Director Instructor

Course overview

Understanding the transmission mechanisms of macroeconomic shocks is key to design effective and sound economic policies and to assess the drivers of macroeconomic fluctuations. The course aims to discuss and present the latest and most important empirical time series methods to identify and estimate the causal effects of macroeconomic shocks. We will discuss a variety of models, including Structural VARs, Dynamic Factor Models and Factor-Augmented VARs, and cover several recent empirical applications, with a special focus on monetary and fiscal policy shocks, as well as non-policy shocks such as technology shocks, credit spread shocks and uncertainty shocks.

The objectives of the course are:

  • First, 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, 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.

Learn state-of-the-art shock identification techniques for macroeconomic and policy analysis

The course is designed for Masters’s and PhD students as well as practitioners with a solid background in univariate time series econometrics and some knowledge of multivariate linear time series models.  

The course includes theory sessions (10 hours) and practical sessions (10 hours). In the practical sessions, you will work in MATLAB to implement the techniques and methodologies covered in the theory lectures. Sessions will be recorded, and videos will be available for a month once the course has finished.

Learn how to apply modern time series methods to your research

This course will be taught online but it will be live and interactive.

INTENSIVE COURSE

Identifying Dynamic Causal Effects in Macroeconomics

Applications will open soon!
  ONLINE
Regular Fee 1325 €
Reduced Fee 775 €

10% early-bird discount applies to payments made on or before January 7, 2025 at 23:59 (CET)

See below for reduced fee eligibility


Early-bird payment deadline: January 7, 2025

  ONLINE
Regular Fee 1325 €
Reduced Fee 775 €

10% early-bird discount applies to payments made on or before January 7, 2025 at 23:59 (CET)

See below for reduced fee eligibility


Last day to apply: February 13, 2025

  ONLINE
Regular Fee 1325 €
Reduced Fee 775 €

10% early-bird discount applies to payments made on or before January 7, 2025 at 23:59 (CET)

See below for reduced fee eligibility

This edition is closed. Next edition TBA.

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