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Advanced Courses in Economics for Doctoral Students and Faculty Members 2019

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Advanced Courses in Economics for Doctoral Students and Faculty Members 2019 www.szgerzensee.ch Foundation of the Swiss National Bank ADVANCED COURSES IN ECONOMICS FOR DOCTORAL STUDENTS AND FACULTY MEMBERS 2019 TABLE OF CONTENTS Program Description 3 Courses 3-8 Admission 8 Program Fees 8 Other Information 9 Advanced Courses in Economics 2019 PROGRAM DESCRIPTION Each year, the Study Center Gerzensee offers Advanced Courses in Economics for Doctoral Students and Faculty Members. In each of these week-long courses, a leading international academic teaches material at the frontier of economic research. While the courses are primarily designed for students preparing their thesis, they are also open to faculty members and other interested individuals with a solid back- ground in economics. Courses consist of formal lectures of 3 hours each day, usually starting at 10.30h on Monday and finishing at 12h on Friday. The remaining time is available for reading, discussions and group work. Courses may require preparatory readings. At the end of the course participants obtain a Certificate of Participation. Optionally, participants can take an exam. Upon request, the Study Center reports the grade to the participant's institution. However, it is the responsibility of participants to obtain ECTS equivalence with their institutions. COURSES 29.04. - 03.05.2019 Behavioral Finance, joint with Swiss Finance Institute Kent Daniel, Columbia Business School 11.06. - 14.06.2019 Recent Advances in Bayesian Macroeconometrics Frank Schorfheide, University of Pennsylvania 05.08. - 09.08.2019 HAM: Heterogenous Agents Models. Crafting, Mariacristina de Nardi, Federal Reserve Calibration and Estimation Bank of Minneapolis 12.08. - 16.08.2019 Optimal Fiscal and Monetary Policy Mikhail Golosov, University of Chicago 09.09. - 13.09.2019 Numerical Methods Felix Kübler, University of Zurich 23.09. - 27.09.2019 The Macroeconomics of Credit and Asset Bubbles Jaume Ventura, CREI 3 www.szgerzensee.ch BEHAVIORAL FINANCE, JOINT WITH SWISS FINANCE INSTITUTE Kent Daniel APRIL 29 - MAY 3, 2019 mics, behavioral finance, and the experi- Columbia Business School mental psychology literatures. Broad topics This course is intended for advanced Mas- to be covered are: empirical evidence on ters and PhD students intending to do re- security markets (anomalies); evidence on search in economics and finance. This individual and institutional behavior; limits course will review the current state of of arbitrage; psychology, judgment and knowledge in behavioral finance. There will decision making; and theories linking be several lectures, but most sessions will security price anomalies and behavioral center around discussions of important biases. In most sessions, we will begin the papers in the academic literature. The pa- class with an experiment. pers will come from the behavioral econo- Kent Daniel is the William von Mueffling areas of behavioral finance and asset pri- Professor of Business in the Finance and cing. In addition to other awards, his acade- Economics Division at the Graduate School mic papers received the 1997 and 1999 of Business at Columbia University. From Smith-Breeden awards for the best paper in 1996 to 2006, Kent was at the Kellogg the Journal of Finance. His papers have School of Management at Northwestern been reprinted in several books. He recei- University, where he was the John and He- ved 2016 Dean's Award for teaching len Kellogg Distinguished Professor of Fi- excellence at Columbia Business School, nance (on leave from 2004-2006). Previous- and the Sidney J. Levy Teaching Award for ly, he served on the faculties of the Universi- 1996-1997 and 2000-2001 at the Kellogg ty of Chicago and the University of British School. Columbia. Kent is a research associate at the National Between 2004 and 2010, Kent was with the Bureau of Economic Research. He has ser- Quantitative Investment Strategies group at ved as an associate editor for the Journal of Goldman Sachs Asset Management. He Finance, as a director of the American Fi- became a managing director and head of nance Association, and as a director of the the QIS equity research effort in 2005, and Western Finance Association. Kent received a co-chief investment officer in 2009. a B.S. with honors in Physics from the Cali- fornia Institute of Technology in 1981 and Kent's academic research, both theoretical an M.B.A. from UCLA in 1987. He received and empirical, has been primarily in the his Ph.D. in Finance from UCLA in 1992. RECENT ADVANCES IN BAYESIAN MACROECONOMETRICS Frank Schorfheide JUNE 11 - 14, 2019 (4-days) proceed with sequential Monte Carlo tech- University of Pennsylvania niques, designed for irregular posteriors. The lectures will discuss recent advances in Finally, we cover the use of particle filters to the Bayesian estimation of state-space mod- approximate likelihood functions of non- els and dynamic stochastic general equilibri- linear DSGE models and other nonlinear um (DSGE) models, focusing mostly on state-space models. We also discuss the computational techniques, illustrated in the embedding of particle-filter likelihood ap- context of substantive applications. We proximations into a Metropolis-Hastings begin with an introduction to Bayesian in- algorithm. ference. We proceed with the estimation of The lectures are based on the following unrestricted state-space models and linear- book: Herbst, Ed and Frank Schorfheide ized DSGE models, discussing Gibbs sam- (2015): Bayesian Estimation of DSGE Mod- pling and Metropolis-Hastings algorithms to els, Princeton University Press. The lectures generate draws from the posterior distribu- are accompanied by MATLAB exercises. tion of DSGE model parameters. We then 4 Advanced Courses in Economics 2019 Frank Schorfheide is a Professor of Eco- Schorfheide’s research areas are economet- nomics at the University of Pennsylvania and rics and empirical macroeconomics. Much currently serves as a Chair of the Depart- of his work can be classified as macroecon- ment of Economics. He is also a Research ometrics and is related to the Bayesian anal- Associate at the National Bureau of Eco- ysis of dynamic stochastic general equilibri- nomic Research (NBER) and a Research Fel- um (DSGE) models. His research provides a low at the Centre for Economic Policy Re- set of tools that are useful for empirical search (CEPR). He served on the editorial work with modern macroeconomic models, board (as co-editor) of the International including forecasting and policy analysis. He Economic Review from 2005-2009 and as has applied these methods to analyze the co-editor of Quantitative Economics from sources of business cycle fluctuations and to 2011-2018. He has been a Visiting Scholar study the effects of monetary policy. In re- at several central banks in the U.S. and oth- cent years, he has also worked on forecast- er countries. ing with dynamic panel data models. HAM: HETEROGENOUS AGENTS MODELS. CRAFTING, CALIBRATION AND ESTIMATION Mariacristina de Nardi AUGUST 05 - 09, 2019 the couple in a dynamic framework. Key Federal Reserve Bank of Minneapolis concepts that will be covered include The course will start with a baseline version wealth inequality, entrepreneurship, and of a life cycle model of consumption and more generally how saving motives lead to savings. Then, we will cover several applica- wealth inequality. kKKKKKKKKKKKKKK tions of these models (and their computati- on) in which agents face various kinds of We will discuss how to take these models risks and make decisions such as savings to data and calibration versus estimation and labor supply in a rich environment. methods, including the method of simula- These applications will be in the areas of ted models. We will critically evaluate the understanding savings and consumption, successes of these models, their shortco- both over the life cycle and at retirement, mings, and their policy implications. The investing in health and human capital, stu- aim of the course is bringing the students dying how these decisions lead to inequali- to the frontier of research and generating ty, and opening up the box of the single ideas and discussions for research projects. agent construct and looking at modelling Mariacristina De Nardi is a Senior Scholar of Economic Policy, the Journal of Political at the Opportunity and Inclusive Growth Economy, the Journal of Monetary Econo- Institute at the Federal Reserve Bank of Min- mics, The Journal of the European Associa- napolis, a Professor at UCL and a Faculty tion, and the American Economic Review. Research Fellow at the CEPR and NBER. Her She has also worked at the Chicago Fed as research focuses on savings, wealth inequa- a Senior Economist and Policy Advisor and lity, social security, health, medical expen- as an Assistant Professor at the University ses, entrepreneurship, and taxation. De of Minnesota. De Nardi received a B.A. Nardi's research has been published in from the University of Venice in Italy and a the Review of Economic Studies, the Review Ph.D in Economics from the University of of Economic Dynamics, the Oxford Review Chicago. 5 www.szgerzensee.ch OPTIMAL FISCAL AND MONETARY POLICY Mikhail Golosov August 12 - 16, 2019 macroeconomic models. We will discuss University of Chicago analytical and computational techniques in This course will focus on analysis of norma- studying such problems, and quantitative tive prescriptions for the conduct of fiscal insights from the models calibrated to the and monetary policy in the commonly used economic data. Mikhail Golosov is a professor of econo- Fellowship as well as the National Science mics at the University of Chicago. Golosov Foundation CAREER Grant. His is a fellow of has also held positions at Princeton Universi- the Econometric Society and a distinguished ty, Yale University and the Massachussetts CESifo affiliate. His research covers topics in Institute of Technology. He is currently co- macroeconomics, public finance and politi- editor of the American Economic Review. cal economy. Golosov was awarded the Sloan Research NUMERICAL METHODS Felix Kübler SEPTEMBER 09 - 13 , 2019 Prerequisites: University of Zurich The course is by and large self-contained.
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