Euro Area Business Cycle Network Training School

Topics in Econometric Models for Macroeconomics and Finance
Oesterreichische Nationalbank, Vienna

12th-16th February 2007

Deadline: 30 November 2006


General Description

The fifth EABCN Training School will be a five-day course on "Econometric Models for Macroeconomics and Finance".

Professor Carlo Favero of Università Bocconi, will teach the course. It is primarily aimed at participants in the Euro Area Business Cycle Network but applications will also be considered from doctoral students and post-doctoral researchers and economists working for commercial organisations (for which a fee will be charged).

The course will consist of five days of lectures (approximately 6 hours per day). The objective is to illustrate how macroeconomics and finance can be integrated in the framework of Present Value models. We shall begin by illustrating how present value models are constructed and why they constitute a framework for integrating macroeconomic information in the determination of asset prices. We shall then illustrate the empirics by considering in turn, the Bond Market, the Stock Market and the relation between Wealth and Consumer Behaviour. Data and draft of the MATLAB and E-VIEWS programme for replication are made available here, as well as a reading list for the discussion. Class notes and codes will be made available before the beginning of the course.

The following topics will be covered:

1. The Basics of Present Value Models, linearization, forward projections and a framework to integrate macroeconomics and finance

2. Models for the Term Structure
2.1 The Empirical Evidence on the Expectations Theory
2.2 No Arbitrage Models, Macroeconomic Factors and Risk Premium
2.3 Empirical Models of the Yield Curve
2.4 The Predictability of Risk-Free Rates

3. Consumption and Asset Price Fluctuations

4. Present Value Models for the Stock Market
4.1 Recursive Modelling and Model Combination

Administrative Information

The course will take place at the Oesterreichische Nationalbank, Vienna, and the participants will be invited to make their own arrangements regarding their accommodation and meals. Further information will be available to applicants. Candidates should fill in the attached application form and return it to CEPR's Meetings Manager, Gabrielle Schachter ( by 30th November 2006. We ask that you send a current version of your CV with your application. Click here for an application form.

EABCN and CEPR gratefully acknowledge the generous provision of facilities by the Oesterreichische Nationalbank for this course.

About the instructor

Carlo A. Favero holds a D.Phil. from Oxford University, where he was a member of the Oxford Econometrics Research Centre. He was Associate Professor of Econometrics at Bocconi University from 1994 to 2001 and Professor of Economics since 2002. He has published in scholarly journals on applied econometrics, monetary policy and time-series models for macroeconomics. He is a Research Fellow of CEPR in the International Macroeconomics programme. He is member of the Scientific Committee of the Euro Area Business Cycle Network, and of the Centro Interuniversitario Italiano di Econometria (CIDE). He has been Advisor to the Italian Ministry of Treasury for the construction of an econometric model of the Italian economy. He has also been a consultant for the European Commission, the World Bank and the European Central Bank, on monetary policy and the monetary transmission mechanism.