CEMFI Summer School

Description

CEMFI
CEMFI Summer School

23 August - 10 September 2021, Madrid, Spain

CEMFI Summer School offers top-level training for practitioners, central bankers, and academics. Participants are exposed to the latest developments in each field. Courses are taught within a five-day period and provide an intensive, rigorous, and in-depth analysis of the topics covered.

CEMFI is an independent non-profit foundation created by the Bank of Spain. CEMFI’s faculty is committed to high-quality research and faculty members publish in the most prestigious international academic journals. Moreover, CEMFI is widely known for its excellence in teaching.

In 2021 all courses will take place either online or in hybrid format, where participants can choose whether to attend the course online or physically at CEMFI.

COURSES:

NEW INSIGHTS FROM BIG DATA INTO INEQUALITY AND RISK
23 - 27 August 2021 (15:30 to 18:30 CEST, hybrid)

Fatih Guvenen (University of Minnesota)

This course studies the growing body of empirical research that draws new insights from big data into economic inequality and micro risks. We will cover both technical tools and substantive economic findings in this area. In particular, we will discuss different types of inequality (in annual versus lifetime incomes; at the top versus elsewhere; between versus within: firms, regions, genders, etc.; inequality in wealth, health, and others), why each type of inequality matters, what we know about them, and how they have changed over time. Similarly, we will discuss different types of micro risks (facing households, workers, or firms), how they vary across the population, the non-Gaussian nature of these risks, and how these risks vary over the business cycle and over longer horizons. We will discuss the new insights into these questions provided by research from big data. Many of the substantive empirical conclusions that we will cover in this course have emerged from the analyses of newly available big data sets based on administrative records, and in many cases, these conclusions are very different from the earlier conclusions reached with smaller, survey-based data sets.
https://www.cemfi.es/studies/css/landing_campaign.asp?cu=10&q=SSR

THE MICROSTRUCTURE OF FINANCIAL MARKETS: DESIGN, PERFORMANCE, AND REGULATION
23 - 27 August 2021 (15:30 to 18:30 CEST, online)

Marco Pagano (University of Naples Federico II, CSEF and EIEF)

The course explains how security prices and liquidity are jointly determined, using both models and evidence from market microstructure, and how the design and regulation of security markets affects their functioning in terms of trading costs, informational efficiency, and volatility. Explicit attention is given to the transparency, fragmentation and trading frequency of security markets, to the pricing of liquidity and to the interaction between market liquidity and funding liquidity, especially in the context of financial crises.
https://www.cemfi.es/studies/css/landing_campaign.asp?cu=11&q=SSR
Participants will receive an electronic copy of the book “Market Liquidity: Theory, Evidence, and Policy” by Thierry Foucault, Marco Pagano, and Ailsa Roëll.
https://oxford.universitypressscholarship.com/view/10.1093/acprof:oso/9780199936243.001.0001/acprof-9780199936243

PRODUCTION AND FINANCIAL NETWORKS
23 - 27 August 2021 (15:30 to 18:30 CEST, online)

Alireza Tahbaz-Salehi (Kellogg School of Management)

Networks provide a natural framework for the study of interactions among different economic units (industries, firms, banks, regions, etc.). The objective of this course is to familiarize the participants with recent developments in the literature on economic and financial networks, with the main focus on the role of networks as a mechanism for propagation and amplification of shocks. The course starts with a general overview of some basic concepts in graph theory. We then study various models of how real and financial interlinkages can translate microeconomic shocks into aggregate fluctuations and systemic crises.
https://www.cemfi.es/studies/css/landing_campaign.asp?cu=12&q=SSR

ADVANCED NUMERICAL METHODS IN MACROECONOMICS
30 August - 3 September 2021 (15:30 to 18:30 CEST, online)

Jesús Fernandez-Villaverde (University of Pennsylvania) and Galo Nuño (Banco de España)

Since the financial crisis one decade ago, macroeconomics has made tremendous advances in incorporating nonlinear phenomena (such as sovereign or banking crises) and non-trivial heterogeneity in households and firms into dynamic general equilibrium models. These advances have, in turn, pushed the boundaries in numerical methods able to solve efficiently nonlinear models. The switch from discrete to continuous time methods in the formulation of macro models, the introduction of machine learning techniques -particularly deep learning- in the solution of these models, and the adoption of parallelization techniques to speed up computations are three of the more relevant developments, with far reaching consequences in the type of problems that macroeconomist can study. In this course we discuss these recent advances, providing students with the necessary tools to apply them to their research agendas, as well as including relevant examples in topics such as monetary policy or financial stability.
https://www.cemfi.es/studies/css/landing_campaign.asp?cu=13&q=SSR

UNSTRUCTURED DATA IN EMPIRICAL ECONOMICS
30 August - 3 September 2021 (15:30 to 18:30 CEST, online)

Stephen Hansen (Imperial College)

Over the past decade, the use of unstructured data has been growing steadily in economics and related disciplines, with a rapid acceleration in the wake of COVID-19. This course will begin with an overview of types of unstructured data and recent applications. We will then cover the basics of processing and filtering such data to produce reliable measurements of economic phenomena, with a focus on text and financial transaction data.
One of the key properties of many unstructured datasets is the vast number of features available for each observation. The remainder of the course will introduce strategies for exploiting this richness, most of which come from the machine learning (ML) literature.
We will first introduce “off-the-shelf” ML methods that empirical economists have productively used in recent research, including matrix factorization, word embeddings, and topic models. The motivating examples for these methods will largely come from text data but we will also discuss other applications including survey data.
The course will conclude by introducing methods for building and estimating new models that link unstructured data to the economic environment of interest more closely than is possible with off-the-shelf models. This will draw on recently introduced probabilistic programming languages that make feasible complex inference problems.
The core ideas from lectures will be complemented by hands-on classes during which students will work through the application of the above techniques to actual datasets.
https://www.cemfi.es/studies/css/landing_campaign.asp?cu=14&q=SSR

EMPIRICAL METHODS FOR PUBLIC POLICY EVALUATION
30 August - 3 September 2021 (15:30 to 18:30 CEST, online)

Mónica Martínez-Bravo (CEMFI)

This course provides a practical introduction to the main tools used for policy evaluation. The cornerstone methodology of the course will be Randomized Control Trials. We will describe the advantages of experimental methodologies to uncover the causal effect of policies. We will discuss technical aspects such as sample size, design of treatment arms, and data analysis. We will also discuss threats to identification and issues of external validity. In a second part of the course, we will discuss non-experimental methods for policy evaluation, such as control functions, matching estimators, regression discontinuity design and difference-in-differences estimators. We will discuss how these methodologies can approximate randomized control trials in exploiting quasi-experimental variation. In a final section we will discuss the complementarities between the use of administrative data and randomized control trials.
https://www.cemfi.es/studies/css/landing_campaign.asp?cu=15&q=SSR

THE ECONOMICS AND ECONOMETRICS OF CLIMATE CHANGE POLICY
30 August - 3 September 2021 (15:30 to 18:30 CEST, online)

James H. Stock (Harvard University)

This course provides an overview of climate change policy, with a focus on the energy transition and on the role of empirical analysis in informing policy prospectively. Carbon pricing is treated as an important part, but only part, of the suite of compatible and interacting policies for reducing emissions. The course includes a brief excursion into the econometric analysis of physical climate data. Any econometric methods beyond standard first year graduate material will be taught in the context of the empirical application.
https://www.cemfi.es/studies/css/landing_campaign.asp?cu=16&q=SSR
This course can also be taken in conjunction with Empirical Methods for the Analysis of the Energy Transition https://www.cemfi.es/studies/css/landing_campaign.asp?cu=19&q=SSR

PANEL DATA ECONOMETRICS
6 - 10 September 2021 (15:30 to 18:30 CEST, online)

Steve Bond (Oxford University)

The purpose of this course is to provide an up-to-date coverage of the main methods and models used in the econometric analysis of panel data, with particular focus on panels where the cross-sectional dimension is large and the time-series dimension is short. The course will cover applications to production functions, investment models, empirical growth models, and the implementation of panel GMM estimators using Stata (xtabond2).
The course will combine pre-recorded lectures, live lectures, and classes. The live lectures will mainly be used to demonstrate how to implement methods in Stata. Exercises will be assigned for participants to do in Stata. The course will be complemented with extensive office hours.
https://www.cemfi.es/studies/css/landing_campaign.asp?cu=17&q=SSR

EMERGING ISSUES IN COMPETITION ECONOMICS AND ANTITRUST
6 - 10 September 2021 (15:30 to 18:30 CEST, online)

Florian Ederer (Yale School of Management)

The course is divided in five topics, each of them covered in one lecture. In each topic, we will survey the relevant theory, critically examine the existing empirical literature, and discuss theoretical and empirical research challenges going forward.
https://www.cemfi.es/studies/css/landing_campaign.asp?cu=18&q=SSR

EMPIRICAL METHODS FOR THE ANALYSIS OF THE ENERGY TRANSITION
6 - 10 September 2021 (15:30 to 18:30 CEST, hybrid)

Mar Reguant (Northwestern University)

The objective of this course is to introduce the participants to key challenges in the energy sector as we decarbonize our economies. The class will be centered on quantitative tools that can assist us in modeling the rapid transformation of the energy sector, with a main focus on electricity markets. We will cover tools of mixed integer programming and machine learning that can assist the quantitative modeling of these complex systems. Each lecture will contain a practical application with data and coding exercises.
https://www.cemfi.es/studies/css/landing_campaign.asp?cu=19&q=SSR
This course can also be taken in conjunction with The Economics and Econometrics of Climate Change Policy. https://www.cemfi.es/studies/css/landing_campaign.asp?cu=16&q=SSR

RECENT DEVELOPMENTS IN BANKING THEORY AND REGULATION
6 - 10 September 2021 (15:30 to 18:30 CEST, hybrid)

Rafael Repullo (CEMFI)

The course provides an overview of some recent banking literature, with especial reference to the role of market power, regulation, and the stance of monetary policy on risk-taking. The course starts with a review of the industrial organization of banking, focusing on the determination of deposit and loan rates, and the implications for bank profitability, under different market structures that range from perfect competition to monopoly. The second session examines the possible existence of a trade-off between competition and financial stability, and the potential contribution of bank capital regulation to ameliorate it. The third session deals with the transmission of monetary policy through the banking system, covering among other things the possible existence of a reversal rate below which further reductions in the policy rate contract lending. The fourth session discusses the risk-taking channel of monetary policy, focusing on the role of market power and the effect of macroprudential policies. The last session reviews research on topics related to the regulation of the Basel Committee such as its loan pricing effects, the rationale for the cyclical adjustment of risk-sensitive capital requirements, and the optimal regulation of liquidity risk. Throughout the course emphasis is placed on the critical examination of the models proposed to address the various topics.
https://www.cemfi.es/studies/css/landing_campaign.asp?cu=20&q=SSR

MORE INFORMATION AND ONLINE APPLICATIONS:
https://www.cemfi.es/studies/css/index.asp
https://www.cemfi.es/studies/css/landing_campaign.asp?cu=00&q=SSR
EMAIL: css@cemfi.es