The Bangko Sentral ng Pilipinas (BSP) hosted the SEACEN-CCBS/BOE-BSP Workshop on DSGE Modelling and Econometric Techniques on 23-27 November 2009 at the Manila Peninsula Hotel, Makati City, Philippines.

I. Course Description

Formal models of the economy are important for central banks. DSGE models develop a consistent framework to study the transmission mechanism of monetary policy and facilitate the identification of shocks that affect the economy. Recent theoretical and modelling advances have resulted in a widely-accepted general equilibrium paradigm as a basis for policy analysis. Econometric techniques are a useful tool to provide a quantitative framework to analyse and forecast economic developments.

This Workshop will focus on the workings of DSGE modelling and the use of advanced econometric techniques for monetary policy analysis. At the end of the Workshop, participants will be able to build and operate DSGE and econometric models for the policy analysis of their own economy. Participants will take part in calibration exercises, learn methods to solve and analyse models as well as use econometric techniques to estimate models.

II. Content

This is an intensive five-day course, which is composed of lectures and practical sessions. The lectures will cover:

• the dynamic stochastic general equilibrium (DSGE) paradigm;
• calibration to determine model parameters;
• solution and control methods for linear rational expectations monetary policy models, the Kalman filter;
• VARs estimation methods;
• estimation of DSGE models using GMM.

Hands-on programming sessions using MATLAB will reinforce the concepts and methods learned in lectures.

III. Target Group

The Workshop is for central bank staff who want to build DSGE and econometric models for monetary policy analysis but lack the practical know how. This course is also relevant for those participants who are not directly involved in DSGE modelling but want to have a general knowledge on the DSGE model and how it can be used in monetary policy management. Candidates need adequate modelling skills and a good background in economics and econometrics. Knowledge of MATLAB and E-Views is not essential but may be an advantage in the practical part of the seminar.

IV. Format

Lectures will be accompanied by computer-based work, where the methods are implemented.

V. Course Programme

Please click on the Workshop Programme.

Last Updated: 23 November 2009
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