CEMFI Summer School
Summer School Announcement

26 August - 13 September 2013, Madrid, Spain

CEMFI Summer School offers top-level training for practitioners, central bankers, and academics. Participants are exposed to the latest developments in each field. Courses are taught within a five-day period and provide an intensive, rigorous, and in-depth analysis of the topics covered.

ABOUT CEMFI: Centro de Estudios Monetarios y Financieros (CEMFI) is an independent non-profit foundation created by the Bank of Spain. CEMFI's faculty is committed to high-quality research, and faculty members publish in the most prestigious international journals. Moreover, CEMFI is widely known for its excellence in teaching.

CEMFI occupies a beautiful 19th century palacio located in a quiet area in the center of Madrid, between the Retiro Park and the Prado Museum.

COURSES:

CAUSAL INFERENCE AND PROGRAM EVALUATION
26 - 30 August 2013 (9.30am to 1.00pm)
Alberto Abadie (Harvard University)

Program evaluation applies econometric techniques to assess the impact of public policies, such as job training programs, and other interventions of interest. The goal of this course is to prepare students to conduct and read critically program evaluation studies. The course will focus on recent advances in program evaluation, as well as on the most relevant empirical applications. We will study a variety of evaluation designs, from random assignment to quasi-experimental evaluation methods. We will analyze the strengths and weaknesses of alternative evaluation methods.
http://www.cemfi.es/studies/css/course.asp?c=10

LIQUIDITY, BUSINESS CYCLES, AND PUBLIC POLICY
26 - 30 August 2013 (3.30pm to 7.00pm)
Nobuhiro Kiyotaki (Princeton University)

We consider alternative macroeconomic frameworks with financial frictions to understand financial crisis, business cycles, and public policy. The course begins with a historical overview of financial crises and basic financial-accelerator models which emphasizes the interaction between borrowing constraint, asset prices, and aggregate production. We then introduce liquidity constraints in addition to borrowing constraints in order to examine the business cycles and monetary policy. Finally, we introduce financial intermediaries and government financial capacity to study financial crisis, sovereign debt crisis, credit policies, and macro prudential policies. By developing these frameworks, we aim to understand the recent financial crisis and the roles played by the public policies.
http://www.cemfi.es/studies/css/course.asp?c=11

EMPIRICAL ANALYSIS OF MARKETS WITH ASYMMETRIC INFORMATION
2 - 6 September 2013 (9.30am to 1.00pm)
Liran Einav (Stanford University)

The course will focus on recent empirical research on insurance markets. Both markets are plagued with various aspects of asymmetric information, including moral hazard and adverse selection. The industrial organization and competitive environment of such markets is not well understood, and the increased availability of excellent data from these markets makes them great candidates for further research. The narrow objective of this course is to bring participants closer to the research frontier in these areas. At a more general level, I hope to balance two objectives: learning how to identify and pose interesting questions, and learning how to formulate and execute empirical analysis that sheds light on these questions. I will also try to highlight the use of theory to guide hypothesis testing and the specification of empirical models.
http://www.cemfi.es/studies/css/course.asp?c=12

BEHAVIORAL FINANCE
2 - 6 September 2013 (3.30pm to 7.00pm)
Harrison Hong (Princeton University)

This course covers recent advances in the field of behavioral finance, with particular attention to the economics of speculative bubbles and financial crises. The goal of this course is to provide an overview of recent developments in this field but with an eye towards future research. The course is also a blend of theory and empirics. Part I introduces market efficiency and tests of efficiency, with an emphasis on natural experiments. Part II analyzes the effects of increasing I.Q. in financial markets on asset prices and the potentially destabilizing influence of sophisticated arbitrageurs. This section also examines the relationship between compensation and the risk of finance firms in the context of the recent banking crisis. Part III presents a model of asset price bubbles based on disagreement (or divergence of opinion) among investors and short-sales constraints that can account for key stylized facts related to trading volume and asset price bubble dynamics. This model can explain in a unified manner both equity and credit bubbles. We will also incorporate this speculation due to disagreement into a multi-period Capital Asset Pricing Model (CAPM) setting and obtain radically different implications from the CAPM, in which low risk assets obtain high expected returns. Part IV describes how these building blocks can be used to develop real implications of mispricings for corporate decisions such as capital structure, investments, and financial innovations. Part V examines the role of networks, social influences and status effects in generating slow diffusion of information and in magnifying bubbles and crises.
http://www.cemfi.es/studies/css/course.asp?c=13

NOWCASTING, SHORT-TERM FORECASTING, AND TURNING-POINTS REAL-TIME DETECTION. COMPARING AND UNDERSTANDING THE DIFFERENT MODELS
2 - 6 September 2013 (3.30pm to 7.00pm)
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 and turning points, with special emphasis on recent developments in "nowcasting" and real-time forecasting and on the questions raised by the recent economic situation, forecasting extreme events and the shape of the business cycle. The course covers the required econometric theory but with the intention of putting it into practice in specific forecasting situations. The course is oriented to practitioners and applied economists. Participants will receive pieces of computer code that exactly matches the techniques covered in class in order to facilitate their application to real data. In particular, participants usually estimate during the week a dynamic large and small linear and non-linear factor model for his/her chosen economy and are able to compare their specification with that made with MIDAS models, Bridge equations, and Mix frequency VARs. Each session starts with the presentation of a forecasting technique, followed by the review of the econometric theory required for its analysis, and the detailed explanation of computer programs that can be used to obtain the forecasts. The syllabus covers a wide range of forecasting problems and linear and non-linear econometric methods, but it is designed to be self-contained.
http://www.cemfi.es/studies/css/course.asp?c=14

PANEL DATA ECONOMETRICS
9 - 13 September 2013 (9.30am to 1.00pm)
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, empirical growth models, and the implementation of panel GMM estimators using Stata (xtabond2).
http://www.cemfi.es/studies/css/course.asp?c=15

CITIES, PRODUCTIVITY, AND MIGRATION
9 - 13 September, 2013 (3.30pm to 7.00pm)
Gianmarco Ottaviano (London School of Economics) and Diego Puga (CEMFI)

The course focuses on the role of cities as engines of productivity growth and human capital accumulation in the global economy. It aims to provide both a solid introduction to research in the field of economic geography for those who approach it for the first time as well as a deeper analysis of key issues in this area for those who may already be some familiarity with it. It connects theoretical foundations, empirical analysis, and policy implications. We begin by studying the advantages that yield higher firm productivity and greater worker earnings in bigger cities. We then look at the disadvantages, related to higher land and house prices and traffic congestion. Combining advantages and disadvantages, we look at the urban system as a whole and study its evolution and the growth of cities. We then move to studying how migration and diversity in cities affects productivity. Finally, we establish connections with international trade to study the relationship between migration, productivity, and offshoring.
http://www.cemfi.es/studies/css/course.asp?c=16

BANKING THEORY AND REGULATION
9 - 13 September 2013 (3.30pm to 7.00pm)
Rafael Repullo (CEMFI)

The course will cover the main tools that have been developed to understand the role of banking in contemporary economics. The course starts with the industrial organization of banking, focussing on the determination of deposit and loan rates under different market structures that range from perfect competition to monopoly and different regulations like reserve and capital requirements. Then it discusses the effect of informational imperfections such as adverse selection and moral hazard on the equilibrium allocation of credit. Next the course covers the role of banks in providing insurance against liquidity risk, which provides an explanation for the existence of bank runs and a rationale for deposit insurance. We then examine the relationship between regulation in the form of either capital requirements or competition policy and the stability of the banking system. In particular, the possible existence of a trade-off between competition and financial stability, and the potential contribution of bank capital regulation to ameliorate this trade-off will be carefully discussed. The course concludes with an overview of bank regulation from Basel I to Basel III.
http://www.cemfi.es/studies/css/course.asp?c=17

FINANCIAL GLOBALIZATION
9 - 13 September, 2013 (9.30am to 1.00pm)
Luis Serven (World Bank)

The massive increase in cross-border asset positions over the last quarter-century has altered in fundamental ways the linkages among the world's economies. It has brought new opportunities for growth and efficiency but also new risks derived from the amplification and propagation of macrofinancial shocks across an integrated world. This course will review recent analytical and empirical contributions on the patterns of financial globalization, its consequences for growth and macroeconomic stability, and the policy challenges that globalization poses for managing aggregate risk in afinancially integrated world.
http://www.cemfi.es/studies/css/course.asp?c=18

MORE INFORMATION AND ON-LINE APPLICATIONS: http://www.cemfi.es/studies/css/index.asp, Email: css@cemfi.es