The 2020 Summer School of Econometrics has been CANCELED!
Important Changes!
Due to the COVID-19 Pandemic the 2020 Summer School has been postponed to 2021!
There will be no SIDE Summer School in 2020.
2020 SIdE Summer School of Econometrics
First of all, SIdE is the acronym for the Italian Econometric Association.
The 2020 SIdE Summer School of Econometrics will be again in Bertinoro (FC) (close to Forlì), in the University Residential Center where the Summer School has run for more than 20 years (20 years of CIDE summer school in Bertinoro).
We will have a first summer school on Empirical Methods in Monetary Economics with Oscar Jordà (University of California, Davis and Federal Reserve Bank of San Francisco, USA) and James Cloyne (University of California, Davis, USA) from July 20 through July 25, 2020.
The second summer school will be announced soon.
The dates of the 2020 Summer School are:
- from July 20 through July 25 for Empirical Methods in Monetary Economics (TBC) with Oscar Jordà and James Cloyne.
- TBA
See Details and syllabus will follow soon:
Past Summer School Evaluations
- 2019 Students' Evaluations:
Link to first week evaluation;
Link to second week
- 2018 Students' Evaluations:
Link to first week evaluation;
Link to second week
- 2017 Students' Evaluations:
Link to first week evaluation;
Link to second week
First week:
Empirical Methods in Monetary Economics
Speakers:
Oscar Jordà (University of California, Davis and Federal Reserve Bank of San Francisco, USA)
James Cloyne (University of California, Davis, USA)
Dates: July 20th - July 25th, 2020
Syllabus in pdf (link to appear soon!):
Course Description
This course will cover the modern tools used to study to macroeconomic policy in monetary economics. The course will cover a range of time-series methods, seminal and research papers in the monetary economic literature and some hands-on practical examples. Broadly we plan to cover the following topics, time permitting.
Topics Covered
Estimating the empirical effects of monetary policy: an introduction to Vector Autoregression techniques, including both theory and applications of VAR methods in monetary economics. We will also cover the local projections technique that is now widely used in this field.
More recent techniques to estimating the effects of monetary policy, including using historical “narrative” based methods and approaches using high frequency information from financial markets.
The monetary transmission mechanism in theory and in practice. We will cover how to set-up and estimate Dynamic Stochastic General Equilibrium models for policy analysis. This will include minimum distance estimation of DSGE models using impulse response matching, an introduction to state-space models and the Kalman filter, maximum likelihood estimation of DSGE models, an introduction to Bayesian econometrics and Bayesian estimation of DSGE models.
Bayesian VARs: theory and applications.
What can we learn about how policy works from micro data and micro-econometric methods? We will discuss how recent research has started to make use of micro-econometric methods in monetary economics and study some recent examples.
References
Jordà, Òscar. 2005. "Estimation and Inference of Impulse Responses by Local Projections." American Economic Review, 95 (1): 161-182. DOI: 10.1257/0002828053828518
Òscar Jordà, Katharina Knoll, Dmitry Kuvshinov, Moritz Schularick, Alan M Taylor, The Rate of Return on Everything, 1870–2015, The Quarterly Journal of Economics, Volume 134, Issue 3, August 2019, Pages 1225–1298, https://doi.org/10.1093/qje/qjz012
Òscar Jordà, Moritz Schularick, Alan M. Taylor, The effects of quasi-random monetary experiments, Journal of Monetary Economics, 2019, https://doi.org/10.1016/j.jmoneco.2019.01.021
Jordà, Ò., Schularick, M., Taylor, A.M. et al. Global Financial Cycles and Risk Premiums. IMF Econ Rev 67, 109–150 (2019). https://doi.org/10.1057/s41308-019-00077-1
Joshua D. Angrist, Òscar Jordà & Guido M. Kuersteiner (2018) Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited, Journal of Business & Economic Statistics, 36:3, 371-387, DOI: 10.1080/07350015.2016.1204919
Òscar Jordà, Moritz Schularick, Alan M. Taylor, Macrofinancial history and the new business cycle facts. NBER Macroeconomics Annual 2016, v. 31
James Cloyne, Clodomiro Ferreira, Paolo Surico, Monetary Policy when Households have Debt: New Evidence on the Transmission Mechanism, The Review of Economic Studies, Volume 87, Issue 1, January 2020, Pages 102–129, https://doi.org/10.1093/restud/rdy074
Cloyne, James, Kilian Huber, Ethan Ilzetzki, and Henrik Kleven. 2019. "The Effect of House Prices on Household Borrowing: A New Approach." American Economic Review, 109 (6): 2104-36. DOI: 10.1257/aer.20180086
Lena Boneva, James Cloyne, Martin Weale, Tomasz Wieladek, Firms’ Price, Cost and Activity Expectations: Evidence from Micro Data, The Economic Journal, , uez059, https://doi.org/10.1093/ej/uez059
Second week:
TBA
Speakers:
TBA1
TBA2
Dates: TBA
Syllabus in pdf (link to appear soon!):
Course Description
TBA
To enroll
Please follow the link to the SIDE's website.
Organizer (on behalf of SIDE): Juri Marcucci
Venue: Centro Residenziale Universitario di Bertinoro, Via Frangipane, 6 - Bertinoro (FC), 47032, Italy
Some useful links:
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If you have any further questions, please send an email to "Società Italiana di Econometria - SIdE" at info@side-iea.it