Recent course outlines

Bank of Canada “Short Course in Macroeconomic Forecasting with Probabilities”, May 2018

Day 1: Monetary policy communication with probabilities, CAMA Shadow Board, opinion pools

Day 2: Nowcasting. density forecasting, output gaps

Day 3: Asymmetric density forecasting, copulas, PROFOR lab

University of Warwick, Masters level, Empirical Applications in Macroeconomic, Financial and Energy Applications (with Anthony Garratt), one semester, ten weeks with MATLAB labs, Winter 2017

Section A

1. Analysis of the recent behaviour of crude oil price

2. Monetary and fiscal policy rules including US deficit sustainability

3. Consumption and income relationship, permanent income hypothesis, long run economic growth

4. Predicting inflation and real output with money

5. The relationship between exchange rates and fundamentals

Section B

1. Prediction with output gaps

2. Pooling experts, inflation and commodity prices

3. Modelling interest rates in the presence of the zero lower bound

4. Modelling non-linear dependence in electricity markets

In the applications we illustrate the use of the following techniques: ARIMA modelling, VARs and VECM’s, growth model, structural breaks, model and forecast combination, copula modelling.

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