Skip to content!

October 7 - 9, 2024

Graduate Center Masterclasses

Effects of Shocks in Nonlinear and Non-Gaussian Environments

Date

October 7 - 9, 2024
13.30-15.00h
15.15-16.45h
(on all three days)

Location

Karl Popper Room
DIW Berlin
Room 2.3.020
Mohrenstr. 58
10117 Berlin

Speakers

Christian Matthes

What this course is about:

The study of nonlinearities permeates modern macroeconomics.
This course will introduce tools to estimate the possibly nonlinear effects of various (possibly non-Gaussian) economic shocks. The tools/models we will cover come in two classes:

1. Models where nonlinearities and non-Gaussianity help to identify shocks
2. Models where identification assumptions (such as instruments) are borrowed from linear models.

We will study both approaches in detail. Whenever feasible, we will look at example codes (written mostly in Matlab).

Prerequisites:

I will assume knowledge of linear time series models and some Bayesian econometrics - i.e. I will use terminology such as ‘Gibbs Sampling’ or ‘MCMC’ without first deriving these algorithms or proving under what conditions they work. I’ll be happy to provide background reading on these topics.

Course Outline:

We will have 6 classes. Below I list the topics for each class and some representative literature.

  1. Identification of nonlinear Effects via Direct Estimation of Moving Average Models
    Barnichon and Matthes (2018), Barnichon et al. (2022),Barnichon et al. (2022)
  2. Tail risks
    Adrian et al. (2019), Loria et al. (2019)
  3. Identification via Non-Gaussianity
    Lewis (2021), Lewis (2024), Jaroci´nski (2021)
  4. Time-Varying Parameter VARs
    Cogley and Sargent (2002), Primiceri (2005), Del Negro and Primiceri (2015), Amir-Ahmadi et al. (2020)
  5. Instruments and Time-Varying Parameters
    Mumtaz and Petrova (2023), Amir-Ahmadi et al. (2023)
  6. Time Variation as a Direct Function of Observables
    Gargiulo et al. (2024), Kim et al. (2021)

*** Please find the references in the Masterclass Description - Download below ***

About the instructor

Christian Matthes works at the intersection of macroeconomics and econometrics. His main research interests are the econometric analysis of dynamic equilibrium models, the development of linear and non-linear time series models for macroeconomic data, as well as the study of equilibrium models with imperfect information.

A native of Germany, Christian received his undergraduate degree at Goethe University in Frankfurt before coming to the US for his doctoral studies at NYU, where he received MA and PhD degrees.

Prior to coming to IU, Christian worked at Universitat Pompeu Fabra in Barcelona from 2010-2013 and at the Federal Reserve Bank of Richmond’s research department from 2013 until he joined IU in 2019.

Registration

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

keyboard_arrow_up