Posted 5/14/09
CEMFI
SUMMER SCHOOL IN ECONOMICS AND FINANCE
Madrid, Spain
24 August - 11 September 2009
CEMFI's Summer School in Economics and Finance (SSEF)
offers top-level training for practitioners, central
bankers and academics. Participants are exposed to the
latest developments in each field. Courses last for four or
five days and provide, in an intensive form, a rigorous and
in-depth analysis of the topics covered.
CEMFI is an independent non-profit foundation created by
the Bank of Spain and is devoted to graduate teaching and
research in economics. CEMFI is located in a beautiful
building dating from 1887 in a quiet area in the center of
Madrid, near the Prado Museum.
COURSES:
PANEL DATA ECONOMETRICS:
August 24-28, 2009 (10:00am to 2:00pm)
Steve Bond (University of Oxford)
The purpose of this course is to provide an up-to-date
coverage of the main methods and models used in the
econometric analysis of panel data, with particular focus
on panels where the cross-sectional dimension is large and
the time-series dimension is short. The course will cover
applications to production functions, investment models,
and empirical growth models, and the implementation of
panel GMM estimators using Stata (xtabond2).
ADVANCES IN MONETARY POLICY ANALYSIS:
August 24-28, 2009 (4:00pm to 8:00pm)
David Lopez-Salido (Federal Reserve Board)
This course provides a deep and rigorous presentation of
the New Keynesian models used for the analysis and design
of monetary policy. The course starts describing the
ingredients of a prototypical New Keynesian framework that
integrates staggered price setting into a dynamic
stochastic general equilibrium model with optimizing
private agents. After discussing in detail the non-linear
representation of its equilibrium conditions, as well as
the more familiar first-order approximation, the course
covers a number of applications, discussions and extensions
around the baseline model. Applications include comparing
the performance of an optimal monetary policy with
alternatives such as discretionary policy, a "timeless"
policy or a "loose commitment" policy. The implications of
alternative rationalizations for inflation and output
persistence, the interaction of nominal and real
rigidities, the introduction of financial frictions, and
the zero lower bound on the nominal interest rate are also
discussed.
STRUCTURAL ECONOMETRICS FOR INDUSTRIAL ORGANIZATION:
August 24-28, 2009 (4:00pm to 8:00pm)
Victor Aguirregabiria (University of Toronto)
This course deals with methods and applications of
structural econometrics in industrial organization (IO),
with emphasis in models of endogenous market structure. We
will study techniques for the estimation of static and
dynamic structural models of demand, pricing, entry-exit,
investment, and product positioning in oligopoly
industries. Using empirical applications, we will
illustrate how these models and techniques can be used to
evaluate the effects of factual and counter-factual
policies such as mergers, new products, taxes, or
environmental policies.
COMPANY VALUATION:
August 31-September 4, 2009 (4:00pm to 8:00pm)
Andres Almazan (University of Texas at Austin)
This course will study the foundations, techniques and
applications of corporate valuation. The course is self-
contained and includes an introduction to financial and
derivative valuation. After introducing the concept of
cost of capital, the course will cover the free-cash flow
valuation method, valuation by comparables, and valuation
by arbitrage. Special attention will be given to real
option valuation, the use of market information in
corporate valuation, and the valuation of mergers and
acquisitions. The last part of the course is devoted to
methods of enterprise valuation and will include a
discussion of the specificities of the valuation of
financial institutions. The presentation will be
complemented with exercises, practical cases, numerical
examples, and research articles.
NEW TOOLS FOR SHORT TERM FORECASTING:
August 31-September 4, 2009 (4:00pm to 8:00pm)
Gabriel Perez Quiros (Banco de Espana)
The course is intended to provide participants with the
necessary tools to apply state of the art techniques for
the forecasting of macroeconomic variables, with special
emphasis on recent developments in "nowcasting" and real-
time forecasting and on the questions raised by the recent
economic situation. The course will cover the required
econometric theory but with the intention of putting it
into practice in specific forecasting situations. The
course is then completely oriented to practitioners and
their trainers. Participants will receive computer codes
that exactly match the techniques covered in class in order
to guarantee their applicability to real data. The syllabus
covers a wide range of forecasting problems and linear and
non-linear econometric methods, but it is designed to be
self-contained.
THE ECONOMICS OF TELECOMMUNICATIONS:
September 7-10, 2009 (10:00am to 2:00pm)
Tommaso Valletti (Imperial College London and University of
Rome)
This course deals with the main characteristics of a
network industry such as telecommunications. In this
industry elements of natural monopoly coexist with
potentially competitive segments, which have interesting
implications for oligopoly models of competition. This
course will pay attention, in particular, to how
wholesale/interconnection contracts can be used to
influence competition at the retail level, and to whether
any kind of regulatory intervention is warranted. The
course will also cover issues related with current
regulatory practice, touching upon questions such as
Universal Service Obligations, and spectrum auctions.
Discussions will take into account recent empirical
evidence that has assessed the impact of regulation in
telecommunications during the last decade.
FINANCIAL GLOBALIZATION, VOLATILITY AND CRISES:
September 7-11, 2009 (10:00am to 2:00pm)
Luis Serven (World Bank)
Bubbles, crises and crashes are not new phenomena, but
their frequency and severity have been on the rise in
recent years, as shown by the emerging market crises of the
last two decades and, especially, the global crisis that
started in 2008. These events raise new questions about the
costs and benefits of international financial integration,
the contribution of capital flows and financial innovation
to macroeconomic fragility, the mechanisms behind the
international propagation of turbulence, and the national
and global policy responses to limit macroeconomic
vulnerability. This course will review recent analytical
and empirical contributions that aim to understand the
incidence and effects of bubbles and crises, the factors
behind their propagation, and the macroeconomic policies to
limit macro-financial vulnerability in a world of deepening
international financial integration.
CREDIT RISK MODELING:
September 7-11, 2009 (4:00pm to 8:00pm)
David Lando (Copenhagen Business School)
The course is an introduction to the key areas of credit
risk analysis emphasizing the basic model structure, and
the empirical implications of the models for corporate bond
markets, default, recovery, and for the markets for credit
derivatives. We start with the basic Merton model, building
on the Black-Scholes model, and generalize it to more
realistic settings, including settings with dynamic capital
structure. Time permitting, applications dealing with the
evolution of ratings will be discussed. The course will
then turn to the intensity-based framework which is useful
for specifying dynamic models of credit spreads, for
pricing credit default swaps, and for pricing
collateralized debt obligations. The forth day of the
course will be devoted to the modeling of corporate bond
yield spreads, CDS premia, and the different factors which
contribute to credit spreads, such as risk premia for
bearing default risk, illiquidity, and incomplete
information. The last session will cover methods for
analyzing correlated defaults, putting special emphasis on
the implications of correlation for the pricing of CDOs.
APPLICATION PROCEDURE/FURTHER INFORMATION:
http://www.cemfi.es/studies/ssef/school.asp?lang=en
Email: MAILTO:ssef@cemfi.es