Model-Based Monetary Policy Analysis and Forecasting (MPAFx)
Deadline passed
Session No.: OL 20.13
Location: Course conducted online
Date: February 26, 2020 - April 30, 2020 (9 weeks)
Primary Language: English
Target Audience
All government officials are welcome to register. The course is particularly well-suited for officials in central banks that are in the early stages of introducing Forecasting and Policy Analysis Systems (FPAS) with IMF assistance. The course is offered in English.
Qualifications
Participants are expected to have a background in undergraduate macroeconomics, statistics, and econometrics. Participants are provided with guidance on how to access Matlab or Octave software.
Course Description
This online course, presented by the Institute for Capacity Development, introduces participants to quarterly projection macroeconomic models developed as a core of FPAS (Forecasting and Policy Analysis Systems). It demonstrates how to implement in a macroeconomic modeling software the canonical quarterly projection model (QPM) suitable for inflation targeting central bank. The course covers the macroeconomic motivation of the QPM, its key properties, implementation of the model in Matlab/IRIS toolbox, model calibration and hands-on filtration exercises.
Course Objectives
Upon completion of this course, participants should be able to: Explain the key building blocks of a canonical semi-structural QPM. Interpret the key model equations from a macroeconomic point of view. Implement a simple QPM using a specialized software for macroeconomic modelling. Distinguish the key elements of a QPM in a state-space form (i.e. shocks, observable and unobservable variables, measurement and transition equations, steady-state parameters, equation coefficients). Identify necessary codes for data transformation, filtration and evaluation of the QPM properties. Apply the basic IRIS Toolbox functions for solving the model. Create output reports using model codes. Develop a basic calibration of the QPM.
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