CEMFI Summer School

20 August - 14 September 2012, 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.


20 - 24 August 2012 (3.30pm to 7.00pm)
Hyun Song Shin (Princeton University)

This short course is an introduction to global liquidity, financial stability, and macroprudential policy with an emphasis on the practical application of the concepts to policy issues. The course begins with some foundational topics in microeconomics and corporate finance relevant to banking and financial stability, with emphasis on bank balance-sheet management. We then develop an analytical framework for studying procyclicality and financial stability. This framework highlights the usefulness of specialized monetary aggregates, so-called "non-core liabilities" of the banking sector, which serve as a measure of the risk appetite of financial intermediaries, both domestic institutions and their foreign creditors, thereby serving as an indicator of financial vulnerability. The framework is then applied to the analysis of capital flows, especially the role of global banks as the carriers of global liquidity conditions across borders. The course reviews the institutional backdrop for cross-border banking, and documents the empirical evidence on the determination of cross-border banking flows and risk premiums. The course concludes with a review of the practical tools of macroprudential policy and capital flow management (CFM) policies that can mitigate the build-up of financial vulnerabilities.

27 - 31 August 2012 (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.

27 - 31 August 2012 (3.30pm to 7.00pm)
Nobuhiro Kiyotaki (Princeton University)

This course considers alternative frameworks to think about financial frictions and aggregate economy activity in order to understand financial crisis, business cycles, and public policy. The lecture begins with a historical overview of financial crises and basic financial accelerator models which emphasizes the interaction between borrowing constraint, asset price, 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 policy, and macro prudential policy. By developing these frameworks, we aim to understand the recent financial crisis and the roles played by the public policies.

27 - 31 August 2012 (9.30am to 1.00pm)
Aviv Nevo (Northwestern University)

The course provides a graduate-level introduction to recent developments in Empirical Industrial Organization. It is designed to provide a broad introduction to topics and industries that current researchers are studying as well as to expose students to a wide variety of techniques. We begin with estimation of production and cost functions. Next we will review static models of demand, with a particular focus on discrete choice models. We will discuss modeling, estimation, computation, and applications. The applications will cover measurement of market power, simulation of the effects of mergers, computation of welfare gains, and price discrimination. We will then move to dynamic demand models with a particular focus on demand for storable and durable goods. Throughout the emphasis will be on the usefulness and the limitations of the range of tools currently available for analysis.

3 - 7 September 2012 (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).

3 - 7 September 2012 (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 then completely oriented to practitioners and applied economists. Participants will receive computer codes that exactly match the techniques covered in class in order to guarantee their applicability to real data. In particular, students usually estimate during the week a dynamic large and small linear and non-linear factor model for his/her chosen economy. All these models are state-of-the-art forecasting tools, which can be used immediately in his/her institutions. 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.

3 - 7 September 2012 (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 regulations such as reserve or 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.

10 - 14 September, 2012 (9.30am to 1.00pm)
Philip Lane (Trinity College Dublin)

The course will begin with an introduction to the measurement issues involved in capturing cross-border financial positions. Next, Section 2 will review the underlying theoretical foundations for cross-border financial flows (consumption smoothing, efficient global allocation of capital, risk sharing). Section 3 will address the bilateral patterns in international financial holdings, since the matrix of cross-border exposures is far from uniform. Section 4 will explore the interactions between financial globalization and exchange rates, including the valuation impact of exchange rate fluctuations on international balance sheet variables. Sections 5 and 6 investigate the implications of net imbalances in cross-border positions and how financial globalization affects the dynamics adjustment process by which such imbalances are resolved. The final two sections provide a financial globalization perspective on the current global financial crisis and the current European financial crisis. Section 7 will probe how cross-border financial positions affected the transmission and dynamics of the global financial crisis, while Section 8 will address the specific analytical issues that arise in dealing with external imbalances and capital flows inside a monetary union. In addition, it will cover the role of official capital flows in replacing private capital flows (both ECB liquidity flows and official lending from EFSM/EFSF/IMF).

10 - 14 September, 2012 (3.30pm to 7.00pm)
Marco Pagano (University of Naples Federico II, Imperial College and EIEF)

The topic of the course is liquidity and price formation on securities markets. The structure and performance of prominent real-world securities markets is described and examined using theory and evidence from the financial economics literature. The issues covered in the course are how to measure trading costs; how trading on stock exchanges is organized and regulated, and how this affects their functioning in terms of trading costs, informational efficiency, volatility and other measures of performance. Explicit attention is given to the interactions of market liquidity with (i) asset prices and (ii) corporate finance.

10 - 14 September, 2012 (9.30am to 1.00pm)
Esteban Rossi-Hansberg (Princeton University)

This is a course in urban and regional economics. We study the main economic forces that lead to the existence of cities and regional agglomeration. In particular we study the theory and evidence on the emergence of cities and their effect on worker productivity, urban amenities, and congestion. We discuss the problems in measuring these urban characteristics, the methodologies to do it, as well as the design of optimal urban policy. We also study the economic theory and evidence on the internal structure of cities together with the urban and housing policies that can enhance welfare. Finally, the course analyzes the role cities play in aggregate economic development and the structural transformation.

MORE INFORMATION AND ON-LINE APPLICATIONS: See: http://www.cemfi.es/studies/css/index.asp or email: css@cemfi.es

Posted 4/15/12