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Internal Economics Training

Macroprudential Policy Modeling for Open Economies (Self-Financed)

Deadline passed

Session No.: IT 20.01

Location: Washington, D.C., United States

Date: February 19-21, 2020 (3 days)

Primary Language: English

    Target Audience

    Officials, primarily in ministries of finance, economy, and planning, or in central banks.

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    Qualifications

    It is required that candidates have an advanced degree in economics, strong analytical skills, and a very good knowledge of English. Courses will be conducted in English with no interpretation.

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    Course Description

    This course studies quantitative models of macroprudential policy in open economies using a DSGE framework of financial crises with incomplete insurance markets and credit constraints. Through lab sessions including Matlab codes and user guides, the course provides training on the use of global, nonlinear methods to solve incomplete-markets models with occasionally binding credit constraints, including applications to macroprudential policy. The course starts with a canonical perfect-foresight, small-open-economy model. This is followed by a stochastic setup with non-insurable income shocks, which is then enriched by adding credit constraints to study financial crises and sudden reversals of capital inflows, including models with debt-to-income and loan-to-value constraints. The course then examines how to use these models to evaluate macroprudential policy. The analysis includes optimal policy with and without commitment (i.e., time inconsistency), environments with unconventional shocks (e.g. noisy news and regime changes) or where learning about financial innovation leads to deviations from rational expectations, and interactions between monetary and financial policies.

    Target Audience:Economists interested in learning analytical foundations and quantitative tools for the assessment of macroprudential policy in open economies using a nonlinear DSGE model that allows for financial frictions and macro-financial linkages. A sound grounding in Ph.D. level macro theory and some knowledge of computational methods used in macro modeling are recommended.  

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    Important Note for Internal Economics Training Courses

    Internal Economics Training (IT) courses are self-financed. The IMF will not charge officials for attending courses. However, all travel, insurance, hotel, and living costs will need to be covered by the agency sponsoring the participants.

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