CORE Lecture Series in Financial Econometrics with Christiane Baumeister

Prof. Christiane Baumeister will give a series of lectures on "A Bayesian Approach to Identification of Structural VAR Models". Prof. Baumeister is an Associate Professor at the University of Notre Dame. Her primary research interests include the study of time-varying macroeconomic relationships with applications to the oil market and the transmission mechanism of both conventional and unconventional monetary policy using Bayesian methods.

These lectures challenge the current practice of identification of structural vector autoregressions which are the workhorse models in empirical macroeconomics and finance. Drawing structural inference from VAR models requires making use of prior information. This course provides formal tools of Bayesian analysis that allow to incorporate prior beliefs about the underlying economic structure in a flexible way and to characterize the contribution of prior information. The methods introduced in the lectures will be illustrated with applications in economics and finance.

Program

Total Hours: 12h

Monday, October 16, 2017: Bayesian Analysis of Structural VAR Models

10:30 am – 12:00 pm The Identification Problem Revisited
01:30 pm – 03:00 pm Identification Using Inequality Constraints
03:30 pm – 05:00 pm Matlab Application: Labor Market Dynamics

Tuesday, October 17, 2017: The Role of Prior Information

10:30 am – 12:00 pm A Bayesian Interpretation of Traditional Identification Assumptions
01:30 pm – 03:00 pm Matlab Application: Oil Supply and Demand Shocks
03:30 pm – 05:00 pm Matlab Application: Labor Market Dynamics (Continued)

Wednesday, October 18, 2017: Inference in Set-Identified SVAR Models

09:00 am – 10:30 am Optimal Estimates of Impulse Response Functions and Historical Decompositions
11:00 am – 12:30 pm Matlab Application: The Effects of Monetary Policy

Practical Information

Fees and inscription

Participation costs

• 150 € for non UCL Ph.D. students;
• 300 € for others
   

  The course is free for UCL and ULB affiliated.
  Registration costs cover only the 3-day course, the coffee breaks and the welcome lunch.

  Information for the payment

  • IBAN: BE11.3100.9590.0148
  • BIC (SWIFT):  BBRUBEBB
  • Bank address: ING, 2 rue des Wallons, B-1348 Louvain-la-Neuve
  • UCL address: 1 Place de l'Université, B-1348 Louvain-la-Neuve
  • Mandatory communication: M1.11000.024 + Surname + First name

  To register, fill in the online form by October 2, 2017.
  Your inscription will be effective after validation of the payment by our accounting department

  Inscriptions are closed.

Venue

CORE, Voie du Roman Pays 34, 1348 Louvain-la-Neuve, Belgium