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Macroeconometrics

Structural Macroeconometrics: Foundations

Identify monetary policy shocks and measure their effects on the macroeconomy and financial markets.

17.5h (5 days)

€1,470

Face-to-face

English

Next edition: June 28-July 2, 2027

Early Bird deadline: April 15, 2027

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Macroeconometrics

Structural Macroeconometrics: Foundations

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Who is this Course for?

Structural Macroeconometrics: Foundations

Course overview

This course offers a systematic treatment of the identification of structural shocks in macroeconometrics. Starting from the foundations of VAR and structural VAR models, it builds up progressively from classical identification schemes to advanced statistical methods and instrumental-variable approaches, discussing at each step the assumptions required and their limitations.

Relevant empirical applications are presented throughout the course with a focus mainly on the identification of monetary policy shocks and the measurement of their effects on the macroeconomy and financial markets.

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 analyse economic fluctuations and policy design
Mastered time series models, particularly SVAR for analysing shock propagation
Studied various identification methods used in SVAR models to isolate economic shocks
Applied these models to key macroeconomic shocks, in particular monetary policy shocks
Examined real-world applications of these models in economic research and policy evaluation

Key topics for Structural Macroeconometrics: Foundations course

This course will explore the following topics:

VAR and SVAR, the challenges of identification

The Slutsky-Frisch framework is introduced, and its relevance for the use of VARs is discussed.
The part covers the basics of VARs and the Wold representation, emphasising their role in modelling macroeconomic dynamics and forecasting.
It then discusses the map linking reduced-form VARs and structural VARs (SVARs) in the cases of invertibility, recoverability, and non-recoverability.
Key concepts such as impulse response functions and forecast error variance decompositions are presented.

Classical Identification Schemes

This part introduces the classical approaches to identifying structural shocks in VAR models: recursive identification via the Cholesky decomposition, short-run and long-run zero restrictions, and max-share identification
For each scheme, the lecture discusses the economic assumptions it embeds and how it has been used to identify monetary policy shocks, from recursive VARs in which the policy rate is ordered after slow-moving macroeconomic variables to the well-known shortcomings of these schemes, such as the price puzzle

Advanced Identification: Sign Restrictions and Statistical Identification

This part covers set identification through sign restrictions, including their combination with zero restrictions and the choice of priors and inference methods, and extends it to narrative sign restrictions, which constrain the structural shocks and historical decompositions around key historical episodes
It also covers the recent debate on potential issues with sign restrictions and possible solutions. It then turns to statistical identification via heteroskedasticity and via non-Gaussianity
The lecture discusses the conditions under which these methods deliver point identification, the challenge of giving an economic label to statistically identified shocks, and their application to monetary policy

Instrumental variables and VARs

This part turns to identification strategies based on instrumental variables (IVs), a powerful and increasingly popular approach in the SVAR literature
The lecture introduces proxy/IV SVARs and local projections with external instruments, and discusses the conditions under which external instruments can be used to recover structural shocks, including relevance, exogeneity, and the role of invertibility
The session covers estimation and inference in the presence of weak instruments

High-frequency and narrative identification

The final part applies these tools to the empirical literature.
For monetary policy, it covers high-frequency identification around central bank announcements, the debate on whether market surprises’ predictability reflects information effects or the Fed’s response to economic news, the identification of the effects of unconventional policies such as quantitative easing (QE) and forward guidance, and the transmission of monetary policy through risk premia and financial conditions
It then shows how the same high-frequency approach extends to other settings, such as oil supply news around OPEC announcements, carbon policy shocks from regulatory events in carbon markets, and debt supply shocks from Treasury auctions
Finally, it discusses narrative identification, from narrative measures of monetary policy shocks to narratively identified fiscal and tax shocks, and compares the strengths and weaknesses of high-frequency and narrative instruments

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:

1

Network with like-minded peers and faculty

2

Study in vibrant Barcelona

3

Learn from some of the most acclaimed professors and industry experts

Admissions and Requirements

All BSE Summer School applicants must meet the entrance requirements.

Next edition: June 28-July 2, 2027

Early Bird deadline: April 15, 2027

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.

Time

28

mon

29

tue

30

wed

1

thu

2

fri

11:30 - 13:30

Lecture

16:15 - 17:45

Practical

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.

Course

Structural Macroeconometrics: Foundations

Advanced Bayesian Macroeconometrics

Bayesian Estimation of RANK and HANK Business Cycle Models

Forecasting with Machine Learning

Introductory Bayesian Macroeconometrics

Introduction to Nowcasting and Forecasting

Structural Macroeconometrics: Advanced Topics

Modality

Face-to-face

Total Hours

17.5

ECTS

1

Regular Fee

€1,470

Reduced Fee*

€840

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

Multiple discounts are available.

For more information on discounts for participants funding their own course, please click here.

For more information on discounts for companies and institutions enrolling their employees, please click here.

Full discount conditions are available here.

FAQ

Here are some commonly asked questions by participants. Any further queries, please contact our Admissions Team.

Can I see the full Summer School calendar?

You can view the full Summer School calendar here.

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.

Cancelation and Refund Policy

Please consult BSE Summer School policies for more information.

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.

Contact our Admissions Team

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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