ESF:MPE_AMEM Applied Modelling - Course Information
MPE_AMEM Applied Macroeconomic ModellingFaculty of Economics and Administration
- Extent and Intensity
- 0/1/0. 2 credit(s). Type of Completion: z (credit).
- Ing. Štěpán Mikula, Ph.D. (lecturer)
Mgr. Tomáš Motl (assistant)
- Guaranteed by
- Ing. Daniel Němec, Ph.D.
Department of Economics - Faculty of Economics and Administration
Contact Person: Mgr. Jarmila Šveňhová
Supplier department: Department of Economics - Faculty of Economics and Administration
- Tue 21. 3. 16:20–18:45 VT105, Thu 23. 3. 16:20–18:45 VT105, Tue 28. 3. 16:20–18:45 VT105
- Course Enrolment Limitations
- The course is also offered to the students of the fields other than those the course is directly associated with.
The capacity limit for the course is 24 student(s).
Current registration and enrolment status: enrolled: 4/24, only registered: 0/24, only registered with preference (fields directly associated with the programme): 0/24
- fields of study / plans the course is directly associated with
- Mathematical and Statistical Methods in Economics (programme ESF, N-KME)
- Syllabus (in Czech)
- The course introduces students into basics of applied macroeconomic modeling. The course, led by practitioners with experience from central banks and private sector, will build a small open economy structural macroeconomic model of Czech economy. The model will be brought to data and used to analyze the interventions of the Czech National Bank.
- Block 1: Basic linear macro model Theoretical part: (1.5hr) basic concepts of theoretical models - BC vs long run VAR vs DSGE state-space, steady-state applied modeling basic derivation of the Phillips Curve (perhaps use costly price changes approach rather than Calvo), IS Curve, Monetary Policy Rule, UIP equation Practical part (0.5hr) introduction into IRIS and Matlab - just show the very basic things we need; everything needs to be prepared ahead of time, we will work with preprepared scripts basic model operations - IRFs, ...
- Block 2: Model of a Czech Economy how to bring model to data (only brief examples and intro, not thorough discussion): Bayesian estimation historical interpretation economic consistency (IRFs) in-sample fit introduce ZLB concept introduce Czech economy features (policy FX)
- Block 3: Forecasting Czech economy Theoretical part: (0.75 hr) forecasting process - sectoral analysis, trend assumptions, risk considerations; show the CNB forecast process with judgment - examples of jforecast exogenous, endogenous Practical part (1.25 hr): basic forecast - explain OGR baseline alternatives: different initial conditions different CNB policy
- Language of instruction
- Further Comments
- Study Materials
The course is taught annually.