Topics in Econometric Models for Macroeconomics and Finance

Euro Area Business Cycle Network Training School

Oesterreichische Nationalbank, Vienna
12th-16th February 2007

Carlo Favero; IGIER, Universita Bocconi and CEPR
E-mail: [email protected]
Teaching Assistants:
Niu Linlin;
Email: [email protected] Agostino Console;

The fifth EABCN Training School is a five-day course on "Econometric Models for Macroeconomics and Finance".

Professor Carlo Favero of Università Bocconi, will teach the course. It is primarily aimed at participants in the Euro Area Business Cycle Network but applications will also be considered from doctoral students and post-doctoral researchers and economists working for commercial organisations (for which a fee will be charged).

The course will consist of five days of lectures (approximately 6 hours per day). The objective is to illustrate how macroeconomics and finance can be integrated in the framework of Present Value models. We shall begin by illustrating how present value models are constructed and why they constitute a framework for integrating macroeconomic information in the determination of asset prices. We shall then illustrate the empirics by considering in turn, the Bond Market, the Stock Market and the relation between Wealth and Consumer Behaviour. Data and draft of the MATLAB and E-VIEWS programme for replication are made available here, as well as a reading list for the discussion. Class notes and codes will be made available before the beginning of the course.

About the instructor

Carlo A. Favero holds a D.Phil. from Oxford University, where he was a member of the Oxford Econometrics Research Centre. He was Associate Professor of Econometrics at Bocconi University from 1994 to 2001 and Professor of Economics since 2002. He has published in scholarly journals on applied econometrics, monetary policy and time-series models for macroeconomics. He is a Research Fellow of CEPR in the International Macroeconomics programme. He is member of the Scientific Committee of the Euro Area Business Cycle Network, and of the Centro Interuniversitario Italiano di Econometria (CIDE). He has been Advisor to the Italian Ministry of Treasury for the construction of an econometric model of the Italian economy. He has also been a consultant for the European Commission, the World Bank and the European Central Bank, on monetary policy and the monetary transmission mechanism.