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13. - 14. Mai 2024

Graduate Center Masterclasses

Empirical Methods for Business-Cycle Analysis


13. - 14. Mai 2024
13 May: 9:30-17:15
14 May: 9:30-12:45


Francine D. Blau Room
DIW Berlin
Room 3.3.002b
Mohrenstraße 58
10117 Berlin


Christian Wolf

This course aims to bring participants to the research frontier on how to estimate the causal effects of macroeconomic shocks, with a particular focus on monetary and fiscal policy. We will discuss how to: plausibly identify those shocks; best estimate their causal effects in finite samples; and finally use those shock causal effects for macroeconomic policy evaluation. The analysis throughout pushes the boundaries on how much we can say without committing to any explicit structural model of the macro-economy.


Students should ideally have some experience in (i) basic linear time series analysis and (ii) linearized structural macroeconomic modeling (both state-space and sequence-space). A list of preparatory readings will be distributed before the class.


Day 1

Lecture 1

  • impulse-propagation framework, SVMA model
  • the SVMA identification challenge

Lecture 2

  • identification through invertibility +: exclusion restrictions (both short-run and longrun),
    sign/magnitude restrictions, max-share, non-Gaussianity/heteroskedasticity
  • applications: monetary policy via recursive ordering, sign restrictions, heteroskedasticity

Lecture 3

  • identification without invertibility (via instruments/proxies)
  • applications: high-frequency financial data for monetary policy & oil shocks

Lecture 4

  • estimating causal effects in practice: LP/VAR equivalence
  • finite-sample recommendations

Day 2

Lectures 5-6

  • identification results: how can we go from policy shock causal effects to systematic policy
    rule counterfactuals?
  • applications: counterfactual evolution of U.S. economy under alternative monetary rules

About the instructor

Christian Wolf an Assistant Professor in the MIT Department of Economics, and a Faculty Research Fellow at the National Bureau of Economic Research. 

His research interests include macroeconomics, monetary economics, and time series econometrics.


If you want to join this short course, please register with the Graduate Center on a first-come, first-serve basis: gradcenter@diw.de



Daniela Centemero
Daniela Centemero

Forschungsmanagerin in der Infrastruktureinrichtung Sozio-oekonomisches Panel