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5 - FNB - Finance and Banking

FNB 240 - Model-Based Monetary Policy Analysis and Forecasting

Code Start Date Duration Venue
FNB 240 23 October 2023 5 Days Istanbul Registration Form Link
FNB 240 18 December 2023 5 Days Istanbul Registration Form Link
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Course Description

This course provides rigorous training on the use of simple Dynamic New Keynesian (DNK) models to conduct monetary analysis and forecasting; it emphasizes analysis of monetary policy responses to macroeconomic imbalances and shocks. Participants are provided with the tools necessary to develop or extend the model to fit their own monetary policy framework.

Course Objectives

  • Understanding the fundamentals of Forecasting and Policy Analysis System (FPAS)
  • Acquiring and applying tools used in modern central banks to conduct monetary policy analysis 
  • Conducting nowcasting and near-term forecasting 
  • Using the model to develop consistent medium-term quarterly projections 
  • Identifying risks in the baseline forecast 

Who Should Attend?

  • Staff doing macroeconomic analysis
  • Mid-level to senior officials responsible for monetary policy decision making

Course Details/Schedule

Day 1

  • Monetary Policy Frameworks and Transmission Channels
  • Forecasting and Policy Analysis System (FPAS)
  • Consistency of Policy Objectives and Macro
  • Uncovered Interest Rate Parity (UIP)
  • Interpreting economic trends

Day 2

  • New Keynesian Model for Policy Analysis
  • Output Gap Equation 
  • Phillips Curve
  • Exchange Rate
  • Monetary Policy Rule 

Day 3

  • Solving the Model
  • Estimating Long-Run Trends and Gaps
  • Tuning the multivariate filter
  • Model filtration and recalibration
  • Methods in Model Parameterization
  • Assessment of Model Properties

Day 4

  • Nowcasting in the FPAS context
  • State Space Models,
  • Dynamic Factor Models (DFM)
  • Near-Term Forecasting
  • Vector Auto Regressions (VARs)
  • Forecasting using VARs

Day 5

  • Extending the Core Model: Fiscal Policy
  • Fiscal rules and fiscal accounting
  • Long term trends and crowding out Simulations
  • Risk Analysis under Uncertainty