Graduate Center Masterclasses

Prerequisites

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.

Outline

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.

Registration

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