Workshop on:
MODEL-BASED POLICY ANALYSIS SYSTEMS
WITH MACRO-FINANCIAL LINKAGES
Organised by:
International Monetary Fund
Monetary and Capital Markets Department (MCM)
and
Bulgarian National Bank (BNB)
Sofia, Bulgaria
November 9-13, 2009
HOTEL SHERATON SOFIA
|
Workshop Main Features • Practical modeling techniques. The workshop will focus on how to conduct various experiments using a structural model with bank and household balance sheet effects. • Experiments on a stylized but flexible DSGE model with a banking sector. • Individual hands-on work. The workshop program will include of a lot of guided hands-on computer tutorial and exercises, and individual assignments. • The IRIS Toolbox. The workshop will be exclusively conducted in this state-of-the-art modeling and forecasting Matlab based package. Full codes with detailed comments will be provided. |
PROGRAM
Workshop Team:
Jaromir Benes (International Monetary Fund) [JB]
Rafael Portillo (International Monetary Fund) [RP]
Jérôme Vandenbussche (International Monetary Fund) [JV]
David Vávra (Advisor to the Governor, Czech National Bank) [DV]
Day 1 (Monday, Nov. 9) |
Conceptual Issues: Dynamic Stochastic General Equilibrium (DSGE) Models, Financial and Real Sector Linkages, Description of the Model Used in the Workshop |
|
9:00 a.m.-9:30 a.m. |
Opening Remarks |
BNB |
9:30 a.m.-10:00 a.m. |
Technical assistance on modeling, Forecasting and Policy Analysis Systems (FPAS), workshop objectives and program |
JV |
10:00 a.m.-11:15 a.m. |
The need to improve the modeling of macro-financial linkages in DSGEs: research and policy-making perspectives |
DV/JV |
11.15 a.m.-11.45 a.m. |
Coffee break |
|
11:45 a.m.-1:00 p.m. |
Modeling financial frictions and financial intermediaries in macro models: a survey. |
JV |
1:00p.m.-2:15p.m. |
Lunch |
|
2:15 p.m.-3:45 p.m. |
Broad description of the workhorse model used throughout the workshop: motivation, structure, principles, transmission channels and macro-financial linkages. Description as it could be done to the Monetary Policy Committee. |
DV |
3:45 p.m.-4.00 p.m. |
Coffee break |
|
4:00 p.m.-5.45 p.m. |
[OPTIONAL] Detailed introduction to IRIS |
RP/DV |
8:00p.m.-10:00p.m. |
Welcome dinner |
|
Day 2 (Tuesday, Nov. 10) |
Theoretical Underpinnings of the Model and its Coding in IRIS |
|
9:00 a.m.-10.30 a.m. |
Presentation of the workhorse model |
JB/RP |
Description of the equations, sectors, agents, interaction between real and financial sectors, brief step-by-step derivation. Emphasis on newly added modules: balance sheets of banks, households and the central bank; banks'networth; non-performing loans and central bank FX interventions |
||
10.30 a.m.-11.00 a.m. |
Coffee break |
|
11:00a.m.-12:30p.m. |
Presentation of the model (continued) |
|
12:30 p.m.-2:00 p.m. |
Lunch [Note: Group is split in the afternoon] |
|
2:00 p.m.-3:30 p.m. |
Coding the model in Matlab/IRIS. |
JB/RP/DV |
Coding the model, assigning parameters for the steady state and transitory dynamics. Examining basic model properties. |
||
3.30 p.m.-3.45 p.m. |
Coffee break |
|
3.45 p.m.-5.15 p.m. |
Basic experiments with the model. |
JB/RP/DV |
Modeling issues and best modeling practices: calibration, steady state, deterministic and stochastic properties (hands-on session) |
||
5.15 p.m.-6.30 p.m. |
Homework #1 |
JB/RP/DV |
Day 3 (Wednesday, Nov. 11) |
Using the Model for Policy-Making: Setting up simulation experiments and scenario analysis, parameter sensitivity |
|
9:00 a.m.-10:30 a.m. |
Examining the model properties. Model responses to an external finance shock and interpretation of the outcomes. The effect of shocks to the real and financial sector under increasing degrees of model sophistication are presented. |
JB/RP/DV |
10.30 a.m.-11:00 a.m. |
Coffee Break |
|
11:00 a.m.-12:45 p.m. |
Examining the model properties. Simulation experiments continued. Hand on session. |
JB/RP/DV |
12:45 p.m.-2:00 p.m. |
Lunch [Note: Group is split in the afternoon] |
|
2:00 p.m.-3:30 p.m. |
Examining the sensitivity of the simulation experiments to some of the key model parameters |
JB/RP/DV |
3.30 p.m.-3.45 p.m. |
Coffee break |
JB/RP/DV |
3.45 p.m.-4.45 p.m. |
Solutions to Homework #1 |
JB/RP/DV |
4.45 p.m.-6 p.m. |
Homework #2 (analysis of a scenario) |
|
Day 4 (Thursday, Nov 12) |
Using the Model in Monetary Policy Analysis: Foreign exchange interventions and macro-prudential regulation |
|
9:00 a.m.-10:30 a.m. |
Introducing foreign exchange interventions in the model |
JB/RP/DV |
10.30 a.m.-11:00 a.m. |
Coffee break |
|
11:00 a.m.-12:45 p.m. |
Banking sector regulation experiments (reserve requirements, credit growth limits, minimum bank capital) |
JB/RP/DV |
12:45 p.m.-2:00 p.m. |
Lunch [Note: Group is split in the afternoon] |
|
2:00 p.m.-3:45 p.m. |
Banking sector experiments: hands-on exercises |
JB/RP/DV |
3:45 p.m.-4:00 p.m. |
Coffee break |
|
4.00 p.m.-5.00 p.m. |
Solutions to Homework #2 |
JB/RP/DV |
5.00 p.m.-6:00 p.m. |
Homework #3 |
JB/RP/DV |
Day 5 (Friday, Nov 13) |
Looking forward: the regulatory agenda and wrap-up |
|
9:15a.m.-10:30a.m. |
The regulatory agenda |
JV/DV |
10:30-11:00 a.m. |
Coffee break |
|
11.00 a.m.-12:00 p.m. |
Solutions to Homework #3 |
RP/DV |
12:00 p.m.-12:45 p.m. |
Wrap-up |
Team |
12:45 p.m.-2:00 p.m. |
Lunch |
|
Afternoon |
Social event |
|
8:00p.m.-10:00p.m. |
Farewell dinner |
The Workshop team:
Jaromir Benes (jbenes@imf.org) is currently working for the Economic Modelling Team in the Research Department of the IMF. His research focuses mainly on the interactions between the real and financial sectors in emerging market economies and low income countries. He is the creator of The IRIS Toolbox, an economic modelling toolbox. Before joining the Fund, he worked in the Reserve Bank of New Zealand and the Czech National Bank. In the past seven or so years, Jaromir has also been providing technical assistance to other central banks worldwide.
Rafael Portillo (rportillo@imf.org), a national of Venezuela, is an economist in the Resarch Department at the IMF. He is currently working on the modeling of monetary policy in low-income countries, including the role of money targets and sterilized FX interventions in the monetary policy framework, and on the macroeconomics of aid inflows. He holds a Ph.D. from the University of Michigan.
Jérôme Vandenbussche (j vandenbussche@imf.or g) is an economist in the IMF's Monetary and Capital Markets Department (MCM), where he coordinates and takes part in MCM's technical assistance program and financial sector surveillance activities in several CESE and Maghreb countries. He previously worked in MCM's central banking division on monetary policy implementation issues.
David Vavra (David.Vavra@cnb.cz) is advisor to the governor of the Czech National Bank. He also works as a consultant for the IMF on monetary and other issues in a number of countries, including Serbia, Ukraine or Croatia. In the past several years David has been providing assistance to a number of central banks in the areas of monetary policy, transitions towards a flexible exchange rate and inflation targeting, and macroeconomic modeling and forecasting. David's research interests lie in monetary policy issues of emerging and developing economies, macroeconomic modeling, economic growth and development.
