This course will introduce participants to some useful methods for trend-cycle decomposition of macroeconomic variables, along with major empirical findings regarding the behaviour of output gaps, trend inflation, the natural rate of interest, and household consumption. Nonlinear models and asymmetries will also be considered in order to examine implications for the nature of business cycles and the effectiveness of stabilization policies.
The course is divided into three lecture sessions, each followed by a practice session.
Day 1 – Monday, Sep 13, 2021
Topic: “Basic univariate approaches to trend-cycle decomposition”
Morning lecture session from 09:00 AM - 12:00 NOON (CEST)
Afternoon practice session from 01:30PM - 3:30PM (CEST)
Overview of univariate approaches to trend-cycle decomposition, with a focus on unobserved components models, the Beveridge-Nelson filter, and when to consider structural breaks versus stochastic trends
We will look at links between permanent and transitory shocks to the macroeconomy, how to avoid spurious cycles, imposing smoothness on stochastic trends, and testing for structural breaks over time.¨
Day 2 – Wednesday, Sep 15, 2021
Topic: “Multivariate methods of trend-cycle decomposition and applications”
Morning lecture session from 09:00 AM - 12:00 NOON (CEST)
Afternoon practice session from 01:30PM - 3:30PM (CEST)
Further analysis of trends and cycles based on multivariate unobserved components models and the multivariate Beveridge-Nelson decomposition, with consideration of mixed-frequency systems and robustness to model misspecification
We will look at multivariate estimates of the output gap, trend inflation, the natural rate of interest, and consumption behavior, as well as the reliability of nowcasts of the output gap based on mixed-frequency data.
Day 3 – Friday, Sep 17, 2021
Topic: “Nonlinear dynamics and business cycle asymmetries”
Morning lecture session from 09:00 AM - 12:00 NOON (CEST)
Afternoon practice session from 01:30PM - 3:30PM (CEST)
Estimation allowing for nonlinearities, with consideration of different types of business cycle asymmetries and implications for trend-cycle decomposition
We will look at the evidence for nonlinear dynamics in macroeconomic variables and what these nonlinearities suggest about the nature of business cycles and the effectiveness of stabilization policies.
The practice sessions each day will focus on providing hands-on expertise with the methods most relevant to central bankers using EViews, Matlab and/or R.
How to apply:
The course will take place online. More information about logistics will be circulated closer to the date.
Candidates who have a CEPR profile should apply by submitting their CV online at:
https://portal.cepr.org/eabcn-training-school-business-cycle-measurement-and-facts by 6pm (UK time), 15 August 2021. If you do not currently have a CEPR profile, please create a new one here and then click on the registration link.
Spaces on this course are limited to ensure consistent quality of experience for those accepted.
PhD students must also send a statement that specifies the ways participating in the school will be useful for their current research (max 300 words). Applications from Ph.D. students without a statement will not be considered.
Participants from non-academic institutions where the employer is not a member of the EABCN network are charged a reduced course fee of EUR 1,000.
About the Instructors:
James Morley is a Professor of Macroeconomics at the University of Sydney. He is a Fellow of the International Association for Applied Econometrics and has been a visiting scholar at various policy institutions worldwide, including the Bank of Canada, the Bank for International Settlements, and the Reserve Bank of New Zealand. He is a former President of the Society for Nonlinear Dynamics and Econometrics and is currently Co-Editor of The Economic Record. His research focuses on the empirical analysis of business cycles, stabilization policies, and sources of persistent changes in macroeconomic and financial conditions.
For more information on EABCN, visit the website.
